Measuring Weekly Seasonality with Rolling Historical Returns
Summary
The indicator summarizes weekly seasonality for a chosen market using a rolling historical window. For each week number, it displays the share of observations in which the weekly close exceeded the open and the average weekly gain. Users can choose lookback periods of 5, 10, 15, or 20 years, then compare the readings to see whether a seasonal pattern appears across different samples or is strengthening or weakening.
A configurable band around a 50% up-week rate distinguishes readings near an even split from higher or lower rates. Because the displayed values update on a rolling basis, the document advises consulting the prior year’s reading for the same week number when assessing the coming week. It also warns that week 53 results are unreliable. The description offers no performance tests, statistical significance method beyond the configurable visual band, or evidence that historical tendencies predict future returns; the indicator is a way to inspect seasonality, not proof of a tradable edge.
Key ideas
- The indicator reports the historical up-week percentage and average gain for each week number.
- Lookback windows of 5, 10, 15, and 20 years allow comparison across sample lengths.
- A configurable range around a 50% up-week rate marks readings treated as close to an even split.
- For the next week’s reading, consult the prior year’s value for that same week number.
- Week 53 readings are described as unreliable and should not be used.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.