Seasonality Plotter

Seasonalities

Many financial markets exhibit seasonalities (see Rozeff and Kinney, 1976). This script creates a plot of a seasonality of an asset using command line.

Description and usage:

https://macrosummary.substack.com/p/the-seasonality-plotter?s=w

Warning:

This script does not account for any trading costs, nor does it clean the data for future roll. The results and the backtest (in the function) gives only a rough estimate of the performance, but is not realistic. Usage on your own risk.

Command line

python seasonality_plotter --symbol "CL=F" --interval "1wk" --period "max" where symbol can be any symbol on yahoo finance.

• symbol takes in a yahoo finance symbol
• interval takes in the interval, daily (1d), trading week (5d), weekly (1wk), monthly (1mo)
• period takes in the data length, e.g. data since 510 trading days.
• daily is an optional parameter and requires using daily intervals. You can decide which seasonality is measured, the weekday (wd, default option) or the day of the month (m).
• backtest creates a very rough backtest without any consideration to cost or execution or asset roll.

Example for Crude Oil