The end-of-month effect

• 10/20/2024 at 7:36 PM #239276
  dubbzie

  Hi all,

  I want to  go long at the close on the fifth last trading day of the month, and exit at the close of the third trading day of the next month. Anyone able to make script for this strategy?

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  justisan

  

  dubbzie

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  10/21/2024 at 4:11 PM #239296
  Iván

  Hi! here you have a code. It must be backtested in daily timeframe.

  myday=openday myDayOfWeek = opendayofweek MyMonth=openmonth MyYear=openyear businessdaysleft = 0 //------------------------------------------// //-----Check leap year----------------------// //------------------------------------------// //input:YEAR LeapYear = 0 If MyYear mod 4 = 0 then If MyYear mod 100 = 0 then If MyYear mod 400 = 0 then LeapYear = 1 Endif Else LeapYear = 1 Endif Endif //------------------------------------------// //-----Calculate max days in month----------// //------------------------------------------// MaxDay = 31 If MyMonth = 4 or MyMonth = 6 or MyMonth = 9 or MyMonth = 11 Then MaxDay = 30 Endif If MyMonth = 2 then x = LeapYear MaxDay = 28 + x Endif myDayMax=MaxDay FOR count = myday to myDayMax DO IF myDayOfWeek >= 1 and myDayOfWeek <= 5 THEN businessdaysleft = businessdaysleft + 1 ENDIF myDayOfWeek = (myDayOfWeek + 1) MOD 7 NEXT //------------------------------------------// //-----Open long position-------------------// //------------------------------------------// dayscheck=5 if not longonmarket and businessdaysleft=(dayscheck+1) then buy 1 contract at market endif //------------------------------------------// //-----Close long position------------------// //------------------------------------------// newmonth=openmonth<>openmonth[1] if onmarket then n=n+1 if n>=3+dayscheck then sell at market endif else n=0 endif

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  myday=openday myDayOfWeek = opendayofweek MyMonth=openmonth MyYear=openyear businessdaysleft = 0 //------------------------------------------// //-----Check leap year----------------------// //------------------------------------------// //input:YEAR LeapYear = 0 If MyYear mod 4 = 0 then If MyYear mod 100 = 0 then If MyYear mod 400 = 0 then LeapYear = 1 Endif Else LeapYear = 1 Endif Endif //------------------------------------------// //-----Calculate max days in month----------// //------------------------------------------// MaxDay = 31 If MyMonth = 4 or MyMonth = 6 or MyMonth = 9 or MyMonth = 11 Then MaxDay = 30 Endif If MyMonth = 2 then x = LeapYear MaxDay = 28 + x Endif myDayMax=MaxDay FOR count = myday to myDayMax DO IF myDayOfWeek >= 1 and myDayOfWeek <= 5 THEN businessdaysleft = businessdaysleft + 1 ENDIF myDayOfWeek = (myDayOfWeek + 1) MOD 7 NEXT //------------------------------------------// //-----Open long position-------------------// //------------------------------------------// dayscheck=5 if not longonmarket and businessdaysleft=(dayscheck+1) then buy 1 contract at market endif //------------------------------------------// //-----Close long position------------------// //------------------------------------------// newmonth=openmonth<>openmonth[1] if onmarket then n=n+1 if n>=3+dayscheck then sell at market endif else n=0 endif

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  justisan, dubbzie, robertogozzi, druby

  

  Iván

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  10/21/2024 at 7:38 PM #239307
  dubbzie

  Thanks, Ivan!😃

  

  dubbzie

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  05/23/2025 at 2:13 PM #247562
  justisan

  Hi,

  finally I came to test this day counting algo, and realized that it works perfectly for months which do not contain any exchange holidays, and so it does not count correctly for the months with exchange holidays. for this moment I assume there is no real posibility to consider in the algo correctly those months with exchange holidays: for that we would need to have “in the background” all exchange holidays of the past (for the backtesting)  and for the future (for live implementation), for specific exchange, right? I assume still one could do it manually: collect past exchange holidays manually (or let collect them by AI if one trusts AI :-D) and put them in the code…

  so I will probably collect exchange holidays for my exchange of interest, but anyway – I still don’t have an idea, how to consider them in the code, so counting runs correctly. do you have and idea, Ivan? or anybody else? I mean, if let’s say 1st of May is exchange holiday and this day in the year xyzw is not on weekend, how could I possibly tell it in the code, so counting is adjusted?

  thanks,

  justisan

  

  justisan

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