Seasonal and directional strength

move(vars Data, int Length, int Horizon, var Percentile): var

Returns the price move within a given time horizon in percent, based on the given percentile of all such price moves in the Data series. Example: if the function returns 10 at Horizon = 20 and Percentile = 95, then in 95% of all cases the Data value rised by 10% or less within 20 bars (meaning that it rised by more than 10% in 5% of all cases). Uses the Percentile function. Generates a series and therefore must be called in a fixed order in the script.

season(vars Data, int Length, int Horizon, int Season): var

Returns the price move within a given time horizon in percent, based on the current time/date and the average seasonal move in the Data series. For instance, if the function returns 10 at Horizon = 20 and Season = 4, then the Data series rised by an average 10% within 20 bars after the current time/date in the past years.

Parameters:

Data A data series, usually from price functions price(), priceClose() etc.
Length The length of the data series, f.i. the LookBack period.
Horizon The price change duration in bars.
Percentile The price changes percentile to return, f.i. 5 for the lowest 5% or 95 for the highest 5%.
Season 1 for daily, 2 for weekly, 3 for monthly, or 4 for annual changes.

Remarks:

Example:

function run()
{
  StartDate = 2010;
  BarPeriod = 1440;
  LookBack = 252;	// 1 year
 
  vars Prices = series(price());
  if(!is(LOOKBACK)) {
    LifeTime = 1;
    var Season = season(Prices,LookBack,LifeTime,2);
    if(Season > 0)
      enterLong();
    else if(Season < 0)
      enterShort();
  }
}

See also:

asset, ROC

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