Hi all,
I want to code out a simple system that goes long on the 3rd to last trading day of the month and then exits on the last day of the month. Does anyone know how to code this simple idea? I can’t fathom how to reliably identify the trading day of the month, using the DAY, MONTH, YEAR functions.
Any help would be greatly appreciated.
Thanks
There you go (non tested):
Once Count = 0
Once TradeON = 1
If OpenMonth <> OpenMonth[1] then
TradeON = 0
Count = 0
Endif
If OpenDay <> OpenDay[1] Then
Count = Count + 1
Endif
If Count > 2 then
TradeON = 1
Endif
you need to add TradeON to your conditions to enter a trade.
Roberto – That is the third day of the month and not the third to last day of the month.
We will need some calculation based on month and year to know how many days are in any month so that we can decide if it is three days from the end of the month.
We also need to know if we are counting trading days or actual days. It is more complicated than I want to get into after a glass of wine!
He wrote “on the 3rd to last trading day”.
Third to last is three trading days before the end of the month. Your code starts counting three days from the start of the month.
We need to know which month and year it is and then calculate how many days are in that month (allowing for leap years), then we need to know what day of the week three days before the end is and tweak our count back if it is a Sunday (unless the OP is happy with six candle weeks). We will then know what the third trading day before the end of the months date is and can just check to see if today is that day or not.
This is some date math functions I made, despite many errors in past years data https://www.prorealcode.com/topic/tomorrows-date/
So at the beginning of each month trading should be disabled, then max days in the month should be detected, then counting backwords from the last day, 3 trading days need to be found, to reenable trading.
It’s not as straightforward but can be done.
Cheers guys. I figured it would be a challenge. I’ll have a play around with Roberto’s functions.
Maybe something of interest related to this strategy here: (snippets to find last day and last trading day of the month)
coding help about buy and sell on certain days of the month
This sindicator will return the 3rd last trading day of the month (if the month ends on Monday it will return Thursday). It uses my functions that will be automatically imported when you import the indicator:
ONCE DayStart = 0 //day of the month on which trading will start
IF OpenMonth <> OpenMonth[1] THEN
DayStart = 0
Count = 0
LastDay = CALL DayMax[OpenMonth,OpenYear]
FOR i = LastDay downto 1
MyDate= (OpenYear * 10000) + (OpenMonth * 100) + i
MyDOW = CALL GetDayOfWeek[MyDate]
IF MyDow > 0 AND MyDow < 6 THEN
Count = Count + 1
IF Count = 3 THEN
DayStart = i
Break
ENDIF
ENDIF
NEXT
ENDIF
RETURN DayStart
You can clear a flag, say variable TradeON (set it to 0), at the beginning of the month, then reenable it when OpenDay=DayStart.
You can remove OPEN from Date, Year and Month if you prefer using those returned when a candle close, instead of when it opens.
This is the sample code for the strategy:
DEFPARAM CumulateOrders = false
ONCE TradeON = 0 //trading disabled by default
IF OpenMonth <> OpenMonth[1] THEN
TradeON = 0 //trading disabled at the beginnin of each month
DayStart = CALL "My Indicator"
ENDIF
IF OpenDay = DayStart THEN
TradeON = 1
ENDIF
IF Not OnMarket AND TradeON = 1 THEN
BUY 1 CONTRACT AT MARKET
SET TARGET pPROFIT 100
SET STOP pLOSS 50
ENDIF
Thanks you so much Roberto, that really is a very useful set of functions. Many thanks for sharing them and helping with this. Alas the system ideas was not profitable, over the long term. The anecdotal evidence over the last few years looked like the might have been some alpha there in the T bonds but going back to 2000 it fails miserably. Nevermind. Good be able to test it.
Hi guys many thanks for this thread. Roberto – I have one question to u – What about if I want to go long on a specfic day and date – how can I do this. I tried this but does not work:
//Set Buy- and SellTime
BuyTime = 0
SellTime = 0
//Set Entry date
IF (date = 20210113) and (time=220000) Then
BuyTime = 1
ENDIF
IF (date = 20210118) and (time=220000) Then
SellTime = 1
ENDIF
Greetings
Salah
What timeframe are you using?
That’s why it doesn’t work. In a Daily TF you cannot access times, so there will never be 220000.
This is because code is always executed when a candle closes.
You have to have to use a TF with candles closing on a 1-hour boundary.
Many thanks Robert – what do I need to change in my code then?
Greetings
