Quantitative Monthly Seasonality Dashboard
** Overview
The "Quantitative Monthly Seasonality Dashboard" is an advanced statistical overlay designed to evaluate calendar anomalies, historical performance metrics, and volatility filters for swing traders and portfolio managers.
Instead of relying solely on traditional seasonal tendencies (e.g., "Sell in May"), this indicator calculates a multi-factor **Quant Score (0-100)** by cross-referencing historical monthly win rates, profit factors, average returns, and current daily market volatility.
** How It Works
1. Historical Month Backtest: Evaluates the current calendar month across a user-defined historical lookback period (default: 20 years).
2. Key Metrics Evaluated:
- Win Rate (%): Historical percentage of positive-closing months.
- Profit Factor: Gross gains divided by gross losses for the specified month.
- Average Return (%): Expected mean return for the month.
3. Volatility Expansion Filter (Bollinger Bandwidth): Measures 20-day daily Bollinger Bandwidth to ensure the market is in an expansion/trending regime rather than a low-volatility squeeze.
4. Proprietary Quant Score (0-100): Combines and normalizes all quantitative metrics into a single rating score:
- Eligible (Long): Triggers when the asset passes win rate, profit factor, and volatility thresholds.
- Flat / No Trade: Indicates insufficient historical edge or suppressed volatility.
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** Features & Capabilities:
- Non-Repainting Logic: Uses strict `lookahead_off` multi-timeframe requests to preserve backtest accuracy without forward bias.
- Real-Time Month Tracker: Monitors current live month returns against historical benchmarks.
- Customizable Thresholds: Fully adjustable win rate requirements, profit factor filters, and historical lookback windows.
** Best Practices:
- Top-Down Filter: Apply on Daily or Monthly charts across major indices (SPY, ES1!, QQQ), Commodities (USOIL, XAUUSD), and Mega-Cap Stocks.
- Macro Alignment: Combine this seasonal quantitative score with order flow tools or macro regime indicators to build high-probability multi-timeframe strategies.
The "Quantitative Monthly Seasonality Dashboard" is an advanced statistical overlay designed to evaluate calendar anomalies, historical performance metrics, and volatility filters for swing traders and portfolio managers.
Instead of relying solely on traditional seasonal tendencies (e.g., "Sell in May"), this indicator calculates a multi-factor **Quant Score (0-100)** by cross-referencing historical monthly win rates, profit factors, average returns, and current daily market volatility.
** How It Works
1. Historical Month Backtest: Evaluates the current calendar month across a user-defined historical lookback period (default: 20 years).
2. Key Metrics Evaluated:
- Win Rate (%): Historical percentage of positive-closing months.
- Profit Factor: Gross gains divided by gross losses for the specified month.
- Average Return (%): Expected mean return for the month.
3. Volatility Expansion Filter (Bollinger Bandwidth): Measures 20-day daily Bollinger Bandwidth to ensure the market is in an expansion/trending regime rather than a low-volatility squeeze.
4. Proprietary Quant Score (0-100): Combines and normalizes all quantitative metrics into a single rating score:
- Eligible (Long): Triggers when the asset passes win rate, profit factor, and volatility thresholds.
- Flat / No Trade: Indicates insufficient historical edge or suppressed volatility.
---
** Features & Capabilities:
- Non-Repainting Logic: Uses strict `lookahead_off` multi-timeframe requests to preserve backtest accuracy without forward bias.
- Real-Time Month Tracker: Monitors current live month returns against historical benchmarks.
- Customizable Thresholds: Fully adjustable win rate requirements, profit factor filters, and historical lookback windows.
** Best Practices:
- Top-Down Filter: Apply on Daily or Monthly charts across major indices (SPY, ES1!, QQQ), Commodities (USOIL, XAUUSD), and Mega-Cap Stocks.
- Macro Alignment: Combine this seasonal quantitative score with order flow tools or macro regime indicators to build high-probability multi-timeframe strategies.
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Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.