trading on specific days of the month

• 07/30/2019 at 10:00 AM #103770
  Albert FX

  Hi everyone.
  I would kindly ask you for a suggestion to set up trading only on certain dates or days of the week.
  I already know and use the “Dayofweek” function and I know how to set the system to operate, for example, only on Friday.
  But I would like to ask you how to set up trading only on the first Friday of the month and not on every Friday of the month, especially to have a report of the operations relative only to the first Friday of each month.
  Thank you so much for your kind help.

  GRAZIE, CIAO !

  

  Albert FX

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  07/30/2019 at 10:28 AM #103775
  robertogozzi

  You should use  a flag, say TradeOn, and clear it when first launched and when OnMarket.

  Add TradeOn to your conditions.

  When you spot a month change, Month<>Month[1], set TradeOn.

  As soon as you detect Thursday enter your trade and clear TradeOn.

  

  robertogozzi

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  07/30/2019 at 10:31 AM #103776
  Vonasi

  Something a bit like this?

  Choose the number of the day of the week you want and the number of the week you want with ChosenDay and ChosenWeek variables.

  It’s an indicator but can easily be adapted into a strategy.

  chosenday = 5 chosenweek = 2 if openmonth <> openmonth[1] then newmonth = 1 daytotrade = 0 weekflag = 0 endif if newmonth and opendayofweek = chosenday then weekflag = weekflag + 1 endif if weekflag = chosenweek and opendayofweek = chosenday then daytotrade = 1 endif if opendayofweek <> chosenday then daytotrade = 0 endif return daytotrade

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  chosenday = 5 chosenweek = 2   if openmonth <> openmonth[1] then newmonth = 1 daytotrade = 0 weekflag = 0 endif   if newmonth and opendayofweek = chosenday then weekflag = weekflag + 1 endif   if weekflag = chosenweek and opendayofweek = chosenday then daytotrade = 1 endif   if opendayofweek <> chosenday then daytotrade = 0 endif   return daytotrade

   

  

  Vonasi

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  07/30/2019 at 11:34 AM #103785
  Vonasi

  I’ve been doing some testing and as an indicator the above works just fine as it uses OPENDAYOFWEEK which is great in an indicator as we are working on the fly with the current forming candle. In a strategy however you have to decide the day before whether to trade tomorrow at the open of the candle so we are supposed to use DAYOFWEEK which returns tomorrows day number. However I was testing on a daily time frame and there are major issues due to PRT’s data switching from 5 day weeks to 6 day weeks at some point around the beginning of 2007. This means that prior to the 2007 data change on a Friday the DAYOFWEEK returns a value of 6 and the next day is a Monday but after the 2007 data change the 6 opens a trade on a Sunday.

  It should be simple to code round this with a date filter but the change is not a clean one and there are even some rogue DAYOFWEEK values pre 2007!

  We must be careful when using DAYOFWEEK when backtesting if it is involved in any strategy decisions!

   

  

  Vonasi

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  07/30/2019 at 11:53 AM #103788
  Vonasi

  It gets even more difficult to understand what a DAYOFWEEK value actually means. If you use it in an indicator then it has the same data problem with the switch from 5 day weeks to 6 day weeks but also returns different values and it can’t decide whether a value of 5 tells us that tomorrow is a Friday or a Sunday or even a Monday if pre 2007!

  

  Vonasi

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  07/30/2019 at 12:20 PM #103796
  GraHal

  Link to code above added to here

  Snippet Link Library

  1 user thanked author for this post.

  Vonasi

  

  GraHal

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  07/30/2019 at 1:34 PM #103801
  Albert FX

  Hello everyone and thank you so much for your answers.
  I also tried some very simple solutions to program and use and reading the PRT manual maybe I found a solution that I would like to share with you and know what you think.
  if the month starts right on Friday the “DAY” function will be equal to 1.
  if the month starts instead with Saturday the “DAY” function will tell me that the first Friday of the month will be as maximum equal to 7.
  in any of these two cases the first Friday of the month must always have a “DAY” value of less than 8.
  so if I connect the “DAY” function and the “DAYofWEEK” function I can get:
  IF (Day < 8 AND DayOfWeek = 5) THAN ….
  if these two conditions are true I will have the indication that it is the first Friday of the month.
  what do you think ? can it work?

  Ciao GRAZIE !

  

  Albert FX

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  07/30/2019 at 1:54 PM #103804
  robertogozzi

  This will only buy the first Friday of any month (not tested):

  Once TradeOn = 0 If TradeOn = 0 and Not OnMarket Then If openmonth <> openmonth[1] Then TradeOn = 1 Endif Endif If TradeOn and opendayofweek = 4 and MyConditions Then Buy 1 contract at market TradeOn = 0 Endif

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  Once TradeOn = 0 If TradeOn = 0 and Not OnMarket Then    If openmonth <> openmonth[1] Then       TradeOn = 1    Endif Endif If TradeOn and opendayofweek = 4 and MyConditions Then    Buy 1 contract at market    TradeOn = 0 Endif

  edit Tested on DAX 1min and it works as expected, replace 4 with 1 to 5 as needed

  

  robertogozzi

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  07/30/2019 at 1:55 PM #103805
  robertogozzi

  You will need to add TP & SL to make it exit.

  

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  07/30/2019 at 2:26 PM #103806
  Vonasi

  robertogozzi wrote:

  This will only buy the first Friday of any month

  Days Wednesday Thursday and Friday can all be easily coded by checking the previous days OPENDAYOFWEEK value but Monday is a difficult one due to the unclean data due to changes from 5 day to 6 day weeks. In a strategy the OPENDAYOFWEEK  before a Monday was 5 when we had 5 day weeks and 7 when we had 6 day weeks but there is also the odd value of 6 thrown in during the change over! The change over seemed to be introduced and then withdrawn and then reintroduced. For Tuesdays there is the issue of holidays – if you are looking for a Tuesday and there was no Monday candle then the OPENDAYOFWEEK for the previous day will be the Friday value of 5.

  Far too complicated and makes coding strategies with selective trading days virtually impossible.

  The difference between indicator values compared to strategy values also makes everything a bit of a nightmare!

  The image shows strategy values for OPENDAYOFWEEK at the top and indicator values for OPENDAYOFWEEK at the bottom during the 2007 switch from 5 day to 6 day weeks.

  

  Vonasi

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  07/30/2019 at 5:52 PM #103825
  Vonasi

  I coded the following to calculate the exact day of the week using the key value method. I wanted to compare the day calculated from OPENDATE to the OPENDAYOFWEEK returned day. It was a bit of a futile exercise as it just confirmed that the numbers returned by indicators are totally different to those returned by strategies. If we had a crystal ball and could know what the next candle date is going to be on our chart then we could use it to calculate the correct day of the week. I guess We will just have to wait and see if PRT fix the different values between strategies and indicators and see if they can do something about the fact that DAYOFWEEK is pretty useless for auto-trading as it currently is unless you are backtesting on a limited history.

  I post the code here just in case anyone wants to know what day their birthday will be on in 2050!! Mine’s a Sunday so that will be nice. 0 = Sunday 1 = Monday, 2 = Tuesday and so on.

  mydate = opendate //or whatever date you want to look for Y = round((myDate / 10000) - 0.5) MM = round((myDate - ((Y * 10000))-0.5) /100) DD = round(mydate - (Y * 10000) - (MM * 100)-0.5) C = round((y / 100) - 0.5) YY = y - (c *100) a = round((yy / 4)-0.5) b = a + DD if mm = 1 or mm = 10 then b = b + 1 endif if mm = 2 or mm = 3 or mm = 11 then b = b + 4 endif if mm = 5 then b = b + 2 endif if mm = 6 then b = b + 5 endif if mm = 8 then b = b + 3 endif if mm = 9 or mm = 12 then b = b + 6 endif LeapYear = 0 If y mod 4 = 0 then If y mod 100 = 0 then If y mod 400 = 0 then LeapYear = 1 Endif Else LeapYear = 1 Endif Endif if (mm = 1 or mm = 2) and leapyear then b = b - 1 endif if y > 2000 then b = b + 6 endif b = b + yy result = b mod 7 myday = result - 1 return myday as "Day of Week"

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  mydate = opendate //or whatever date you want to look for   Y = round((myDate / 10000) - 0.5) MM = round((myDate - ((Y * 10000))-0.5) /100) DD = round(mydate - (Y * 10000) - (MM * 100)-0.5) C = round((y / 100) - 0.5) YY = y - (c *100)   a = round((yy / 4)-0.5) b = a + DD   if mm = 1 or mm = 10 then b = b + 1 endif   if mm = 2 or mm = 3 or mm = 11 then b = b + 4 endif   if mm = 5 then b = b + 2 endif   if mm = 6 then b = b + 5 endif   if mm = 8 then b = b + 3 endif   if mm = 9 or mm = 12 then b = b + 6 endif   LeapYear = 0 If y mod 4 = 0 then If y mod 100 = 0 then If y mod 400 = 0 then LeapYear = 1 Endif Else LeapYear = 1 Endif Endif   if (mm = 1 or mm = 2) and leapyear then b = b - 1 endif   if y > 2000 then b = b + 6 endif   b = b + yy   result = b mod 7   myday = result - 1   return myday as "Day of Week"

   

  

  Vonasi

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  11/28/2019 at 12:35 PM #113836
  Bel

  Great insight Vonasi, thanks👍🏽

  Also how about buying on specific days lets say on the 11th each month? If Day=11 works but once 11th falls into weekend it stops working. Doing If Day=11 Or Day=12 will open 2 trades on the following days instead of 1 on either day which is not the weekend:/

  Regards,

  Bel.

  

  Bel

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  11/28/2019 at 12:57 PM #113843
  Bel

  Got the code working but its a bit of a riddle why not to make it easier for such a simple task🤷🏽‍♂️

  

  Bel

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