how to analyze periodical pattern?
Author: wbzhang
Creation Date: 10/5/2010 10:40 AM
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wbzhang

#1
During backtesting, I understand there is a "by period" tab. This tab can analyze the return for each week/month, and their distribution.

But can I analyze the periodical patterns? For example, I backtested for 10 years. I want to see the difference between Monday, Tuesday,... and Friday. For example, Monday/Friday may have bigger excess returns .. something like that.

Similarly, the different patterns between Jan, Feb, and Dec are also desired.
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Eugene

#2
You may refer to days of week, months etc. in WealthScript Strategies like this:

Strategy Name: Quaterly Event Finder
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Eugene

#3
But wait, there's more: analyze perodic patterns in week numbers with GetWeekNumber from Community Components.
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