Creating customized fundamentals



There are two kinds of fundamentals in Timing Solution: Time series and Single events.

Time series are day by day or week by week or any other period data. For example, Sunspot activity number. It  is the value calculated for Sunspot activity everyday, it is more than 150 years already. 


This feature allows to draw together Sunspot activity index and some financial instrument, let it be VIX:

We can assume that there is lagged (or leading) correlation between Sunspot activity and implied volatility. The length of this lag is 4-5 years.
With Time series, we can explore different data in regards to different markets.

Single events are instantaneous events that happen from time to time. For example, the days when Feds change rates. Though these dates are announced ahead and recorded, they are not periodic.
Look at S&P500 index chart together with FED dates. Here they are (vertical stripes here correspond to those fundamental dates):

In this case we can run Efficiency test module to see how S&P500 moves around this fundamental event.

Building time series fundamentals

The easiest way to build customized time series fundamental event is:

The program will save it as a regular Excel *.csv file. You can modify/update this file. Here are some examples of content of this file:

12.31.1749 23:59:60,94.05986
01.04.1750 15:39:30,94.53217
01.08.1750 07:18:60,95.0036
01.11.1750 22:58:29,95.47414
01.15.1750 14:37:59,95.94378
01.19.1750 06:17:29,96.41253
01.22.1750 21:56:59,96.88038
01.26.1750 13:36:29,97.34733


05.20.1994 13:30:00 0.0112663
05.21.1994 13:30:00 0.0101617
05.22.1994 13:30:01 0.0093511
05.23.1994 13:30:01 0.0087146
05.24.1994 13:30:02 0.0082382
05.25.1994 13:30:02 0.0080814

The date format here is MM/DD/YYYY

Now you can use these fundamentals' model regular way in ULE module: in "Fundamental" tab, open your model and click "Calculate":

Pay attention: if you update fundamentals Excel files manually, click "Update Fundamentals" button to reflect these changes in Timing Solution:

Building single events fundamentals

To create single events in Fundamentals tab, click this button:

Type there your events using MM/DD/YYYY  date format:

Save this file. Let it be my_dates.fnd_d file ( *.fnd_d extension is added automatically). And after that you can download and calculate this fundamental regular way, exactly as you did with the previous model:

Pay attention: you can point the exact time for your events, in this case do not forget to define the time zone, like this:

07/22/2015 2:15PM
09/17/2015 9:34AM

It means that the first event took place on 07/22/2015 at 2:15PM; time zone here 5 hours West.

You can use military time style as well:

07/22/2015 14:15
09/17/2015 9:34

If all events take place at the same time (but different date), you can record these events this way:


All these events took place at 10:30AM.