Turn of month

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  • 04/02/2023 at 8:09 PM #212674 quote
    HannesA
    Participant
    Senior

    Hello

    I wounder if someone could help with code for this turn of month strategy?

    Does multitimeframe solve the problem to buy at close with daily bars?

    Entry conditions for TOM
    Buy from the 18th trading day of the month and 4 days ahead if the closing price is lower than yesterday.

    Exit condition for TOM
    The strategy sells on the first day after the end of the month if the profit is at least 1%, alternatively on the 6th trading day regardless of the profit.

    Thanks for a great forum!

    04/14/2023 at 5:18 PM #213307 quote
    robertogozzi
    Moderator
    Master

    You want to buy on or after the 18th trading day of each month AND 4 days ahead or IF 4 days ahead… (provided the closing price of the 4th prior day is lower than the closing price of the 5th prior day)?

    04/14/2023 at 8:21 PM #213319 quote
    HannesA
    Participant
    Senior

    I want to buy on or after the 18th trading day of each month and 4 days ahead if the closing price is lower then yesterday.
    Example 18th trading day, close today higher then yesterday, no entry.
    19th trading day, close today lower than yesterday, entry.

    04/15/2023 at 3:00 PM #213331 quote
    robertogozzi
    Moderator
    Master

    There you go:

    DEFPARAM CumulateOrders = False
ONCE DayCount = 0
ONCE Tally    = 0
IF Month <> Month[1] THEN
   DayCount = 0
   Tally    = 0
   IF OnMarket AND ((PositionPerf * 100) >= 1) THEN
      SELL at Market
   ENDIF
ENDIF
DayCount = DayCount + 1
IF (DayCount = 6) AND OnMarket THEN
   SELL at Market
ENDIF
IF DayCount = 18 THEN
   Tally = Tally + 1
ENDIF
IF Not OnMarket AND (Tally > 0) AND (Tally <= 4) THEN
   BUY 1 Contract at Market
ENDIF
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Turn of month


ProOrder: Automated Strategies & Backtesting

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HannesA @hannesa11 Participant
Summary

This topic contains 3 replies,
has 2 voices, and was last updated by robertogozzi
2 years, 10 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 04/02/2023
Status: Active
Attachments: No files
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