Sprd/Bfly Enhancement | Weekly Release 8/12/22

Enhancement


[Seasonality] To the Annual Date Range, added the options to show “x” days prior to the set date


In the CCY Sprd/Bfly sheet, traders can access RiskVal’s Seasonality analysis. To do so, double click any cell with historical data & in the historical graph click the “Seasonality” button.


The seasonality section allows traders to set an “Anchor” for the analysis. The first option, “Eco Event”, allows traders to set one of the many economic calendar events as the anchor. The other two options for anchors are “Monthly Date Range” & “Annual Date Range”.


This week’s release includes an enhancement to the “Annual Date Range” anchor. After entering “Start Date” and “End Date” as “MMM-dd”, the number of time series will be constrained by the original “Start Date” - “End Date” range set in the lower part of the graph. In this week’s release, a filter has been added to allow traders to plot “x” days prior to the set start date.


Traders can normalize the date by checking the “Normalize” box. By doing so, traders can visualize seasonal behavior of strategies to the same point and measure their relative performance to one another rather than their absolute levels.

With this new enhancement, traders can now normalize to a date that isn’t the first day in the date range.


To include/apply all the changes to the Seasonality analysis traders should hit “Apply”.