Universal Seasonal™ for TradersStudio® Turbo
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Seasonal trading patterns exist not only for various commodities which you might expect like corn and soybeans, but they also exist for most futures markets. Believe it or not the stock indexes have some of the strongest seasonal patterns. In addition, individual large-cap stocks also show seasonal patterns on the S&P500 or Dow 30.
Seasonal trading requires data series with long histories. It’s best if you have as long historical data as possible. There are many web sites and services that sell seasonal information about various markets. The problem is that these sites’ seasonal tests are mostly done 100% in hindsight from these sources. As such you may wind up with bad statistical correlations. To add insult to injury, these services also are not cheap. Some of these services cost $300-$400 a year with this hindsight flaw.
My Universal Seasonal add-in for TradersStudio Turbo will calculate a walk-forward season on any data series to which it is applied. It also includes seasonal trading systems which generate 100% mechanical signals. You can apply these seasonal ideas to anything from real commodities to individual stocks, and this package will generate updated signals year after year as long as you have the data.
The Universal Seasonal add-in has several different types of seasonal indicators and strategies, from classic seasonal calculations to the Ruggiero/Barna Seasonal index, which I discussed in my book, Cybernetic Trading Strategies.
The Ruggiero/Barna Seasonal Index (included with this add-in) is calculated as follows:
- Develop your seasonal and update it as you walk forward in your data.
- For each trading day of year, record the “next n-day” returns and the percentage of time the market moved up (for positive returns) or down (for negative returns).
- Multiply this n-day return by the proper percentage.
- Scale the numbers calculated in step 3 between -1 and 1 over the trading year. This is the output value known as the “Ruggiero/ Barna Seasonal“, whose type of walk forward calculation will give you the most realistic and reliable measure of a given seasonal pattern. This is so, as most seasonal patterns do not become obvious until several years after the bias begins to occur, thus it would be impossible to profit from earlier trades.
The Ruggiero/Barna Seasonal Index combines both average returns and percentage accuracy into a standardized indicator. By running this indicator over the same data, it is possible to outperform the S&P500.
This test was performed on SP_REVCSV. You shall find this data bundled with the Universal Seasonal package. The result of this system is spread over the period of April 22nd, 1982 (4/22/1982) to January 29th 2015 (1/29/2015). We did the backtesting using these parameters: 250.00 a point for complete history and no slippage and commission. We just wanted to see the market bias.
We have made 3600 points during this period while buy and hold was about 1800 so this system produced double the return of the classic buy and hold strategy.
The Universal Seasonal also has many other tools, which are exclusive to it. I have included a trend seasonal index. This index measures the likelihood of a market to trend based on seasonality. In addition, I also have a seasonal volatility index which is great for option traders.
This powerful tool is only $179.00, which is half of what a single year of commodity seasonality reports would cost you from Moore research. And on top of that, this tool combined with upgraded data, can generate analysis not only for futures, but financial markets, indexes, stock sectors, bonds, and individual large cap stocks. Plus, this software can produce better analysis because it is done using walk-forward methodology.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.