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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