Forecast Cycles page
The seasonality analyzes cycles up to 1 year. In Forecast Cycles page the cyclical analysis extends to larger cycles (2, 3, 5, 10, 20+ years), considering also smaller ones (3mo, 6mo, 1y).
Introduction
In this page is possible to compute the most important cycles in the history of a Ticker and see their extension in the future.
The stronger is the cycles relevance in a financial instrument price evolution, the more is likely that price will follow the cycles extension.
How it is calculated
Since it a purely mathematical analysis, it's possible to extend the function into the future.
A brief description of the computations:
- The trend is removed from the price of a Ticker
- dozens of sinusoidal cycles are applied, and the ones that approximate best the detrended prices are chosen.
- This results in a function consisting of a sum of many cycles, each one with a different weight given by its relevance.
Plot Forecast Cycles Chart
The Cycles analysis and forecast is available for:
- all Tickers in database
- some Macro & Stats Indicators
To plot a chart it's possible to:
- select a Ticker or Indicator from the drop-down Menu, or
- search and select a Ticker from the search-box
Chart Description
Below the charts there is a description of the backtest just done. It tells:
- the most important Cycles found, sorted by their relevance
- the historical-data used to fit the Cycles (In-Sample data)
- the Minimum and Maximum Cycles that have been tested
Advanced Filters
After the chart has been drawn, by clicking the lens icon in the bottom-right corner of the page, a window with Advanced Filters will be opened.
It has the following settings:
- Year From and Year To
- The starting and ending years to be used to fit the cycles to the historical data (In-Sample period). To fit means to compute which cycles have been more adapt to model the time series.
- For example:
- if 'Year From'='2010'
- and 'Year To'='2019'
- ==> the cycles will be fitted to the time-series using data from '2010-01-01' to '2019-12-31', and
- ==> the cycles extension will start from 2020-01-01.
- Default Values, if you leave the field blank:
- Year From: the first year available in the historical data.
- Year To: the last year available in the historical data (the current one).
- Cycle MIN and Cycle MAX
- The periods in years of the Minimum and Maximum Cycles to be tested.
- For example
- if 'Cycle MIN'='0.5'
- and 'Cycle MAX'='10'
- ==> it will be tested cycles from 6 months to 10 years.
- Default Values, if you leave the field blank:
- Cycle MIN: 0.25 years, equal to 3 months.
- Cycle MAX: up to 70 years, depending to the number of years available in historical data.
It is possible to explore the platform for Free, and decide later whether to become a Premium member, to unlock full data of Forecast Cycles Charts, and more.
