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OmniScan
Scan for Seasonality
Last Activity 9/19/2020 1:35 AM
7 replies, 525 viewings

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Duxx

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Subject : Scan for Seasonality
Posted : 11/9/2019 8:09 PM
Post #30622

Lets say I want to know the first day of every qtr... which stocks have the best seasonality for this qtr? How would you do that?

Thank you
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Greg

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Subject : RE: Scan for Seasonality
Posted : 8/26/2020 8:19 AM
Post #31213 - In reply to #30622

I was thinking that seasonality might be a valuable tool and wondered if anyone had every attempted a scan for seasonality. There is never much mentioned about the module. I see Duxx made that request some time ago without response. So I will ask again. It seems that it might be a useful addition to the standard scan lists in Omniscan that Nirvana might undertake.
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Diamondjag

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Subject : RE: Scan for Seasonality
Posted : 8/26/2020 11:04 AM
Post #31214 - In reply to #31213

We've had this discussion before. I have been frustrated with the Seasonality module in OmniTrader for years. You can scan for the current month but not the upcoming month. Jim Dean once suggested some coding that would allow you to do this.

For now, you have to have the Seasonality Module 2. In OT, right click on a Focus List column, click on Add Indicator Column, in the Library scroll down to the indicators that say "Seasonality", pick what you want to see. And, of course, there's the Seasonally Tool. At minimum they need to incorporate an easily accessible, sortable list of stocks with high seasonality for the upcoming week, month, even day.

Nirvana has seasonality tools but there is a lot more that Nirvana could do with seasonality ... see Seasonaltrader.com ... if they had the time to focus on it. Maybe an idea for OT 2021.
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Greg

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Subject : RE: Scan for Seasonality
Posted : 8/26/2020 11:16 AM
Post #31215 - In reply to #30622

Thanks for the supportive response. It seems like it would be worthy pursuit.
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THOMAS HELGET

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Subject : RE: Scan for Seasonality
Posted : 8/26/2020 12:12 PM
Post #31216 - In reply to #31215

Guys, Guys:

Why didn't you just ask?

I agree with you - I too want to know what the projection for is for this month and next month as well as this quarter and next quarter.

So, attached are four Indicators that can be put in the Focus List as Indicator Columns or plotted on the price chart.

You need to enter two things as Parameters - the number of years lookback and either the Mean, Direction, Standard Deviation or z-score that you want the value for.

Also you should check the reported or plotted value against the Seasonality Module to make sure you are getting what you think you should be getting. And you will periodically have to adjust things as the years pass.

For example here is the z-score for PZZA this month (0.18) and for next month (3.13) shown displayed in a Focus List Indicator Column:



You can also do the same for the Quarterly Values.

WARNING! WARNING! WILL ROBINSON!

These values take a while to calculate so if you are going to run this over a large symbol list put your face mask on and go out to Papa John's and get a pizza observing the correct social distancing.

You should note that you really only have to run the To Do List once a month (or once a quarter) as these values will not change often.

Also make sure that your profile has enough bars to do the calculation you desire. You will require data for one more year than you are looking to do your calculations for (above 10 years) so you should start your data from at least January 1, 2009. For safety above I started at January 1, 2008. If a stock's price history doesn't go back that far no value will be shown on the chart or Focus List.

These indicators took a real long time to perfect and I hope you will enjoy them and that it might prompt Nirvana Systems to update the Seasonality Module to include something like them (running hopefully faster) in the future.

Tom Helget

[Edited by THOMAS HELGET on 8/26/2020 12:22 PM]

Attached file : Make Sure You Are Getting Want You Think You Are Interested In.jpg (127KB - 85 downloads)
Attached file : indNextMonthSeasonalityPrediction.txt (7KB - 18 downloads)
Attached file : indNextQuarterSeasonalityPrediction.txt (7KB - 11 downloads)
Attached file : indThisMonthSeasonalityPrediction.txt (7KB - 10 downloads)
Attached file : indThisQuarterSeasonalityPrediction.txt (7KB - 10 downloads)

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LSJ

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Subject : RE: Scan for Seasonality
Posted : 8/26/2020 12:50 PM
Post #31217 - In reply to #30622

Thanks, Tom.
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Greg

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Subject : RE: Scan for Seasonality
Posted : 8/26/2020 12:51 PM
Post #31218 - In reply to #30622

As always Thank You for your generous response Tom. I am no expert, but it seems to me that seasonality rightly integrated and executed could tweak the of success of trades taken as a means of minimizing risk on a couple of levels. If I know that an issue has x% of acting a particular way within a particular time-frame it might assist in avoiding an untimely exit or entry. It could strengthen consistency and PPT as well as reduce drawdowns. It would seem sensible to me that the movers and shakers of the market do some or perhaps many things on a time line, calendar basis (seasonality) perhaps even BOT trading tailored to seasonal expectations. That should show up in the data in some strong way for one to exploit.

Dave, thanks for the SeasonalTrader suggestion. I believe OT has many if not all and more of the abilities of that site. We just need some guidance on how to get the ducks in a row and quacking.
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LSJ

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Subject : RE: Scan for Seasonality
Posted : 8/26/2020 12:56 PM
Post #31219 - In reply to #30622

I've been a fan of seasonality for a long time. There are lots of paid sites for seasonality info. Here's a paid/free one I like that gives quite a bit of information even on the free version. https://charts.equityclock.com/category/energy
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