Building and Comparing Historical Seasonality Curves
Summary
The indicator builds a calendar-year seasonality curve by accumulating daily price changes for each month and day across a selected historical date range. Users can set start and end dates, show or hide the curve’s high and low points, and calculate changes either in raw price units or as percentages of the previous close. Percentage changes make comparisons across periods with different price levels more interpretable. It is intended for daily charts in ProRealTime version 11.
The document illustrates the method with Lean Hogs, comparing data before 1995, data from 1995 onward, and the full history. The curves look similar, which the author interprets as evidence of recurring seasonality in that market. This is a visual comparison rather than a statistical test: no significance measures, out-of-sample results, or trading rules are provided. Similar historical shapes alone do not establish that a seasonal pattern will persist or be profitable after costs.
Key ideas
- The indicator accumulates daily price changes by calendar day to form a seasonality curve.
- Date boundaries let users compare curves across different historical samples.
- Percentage-based changes help compare periods with different price levels.
- The Lean Hogs example suggests a recurring pattern, but offers no statistical validation or trading-performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.