Trading Day of Month

• 12/14/2019 at 10:03 PM #114902
  Thally

  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

  

  Thally

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  12/14/2019 at 10:43 PM #114905
  robertogozzi

  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

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  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.

   

  

  robertogozzi

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  12/14/2019 at 11:27 PM #114909
  Vonasi

  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!

  

  Vonasi

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  12/15/2019 at 12:28 AM #114911
  robertogozzi

  He wrote “on the 3rd to last trading day”.

   

  

  robertogozzi

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  12/15/2019 at 9:13 AM #114922
  Vonasi

  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.

  

  Vonasi

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  12/15/2019 at 10:13 AM #114923
  robertogozzi

  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.

  

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  12/15/2019 at 10:09 PM #114943
  Thally

  Cheers guys. I figured it would be a challenge. I’ll have a play around with Roberto’s functions.

  

  Thally

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  12/16/2019 at 1:41 PM #114979
  Nicolas

  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

  

  Nicolas

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  12/17/2019 at 11:04 AM #115036
  robertogozzi

  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

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  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

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  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

   

   

  3 users thanked author for this post.

  atxeel, Thally, Nicolas

  

  robertogozzi

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  12/17/2019 at 10:11 PM #115125
  Thally

  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.

   

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  robertogozzi

  

  Thally

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  01/07/2022 at 10:16 PM #184855
  814591

  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

  

  814591

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  01/07/2022 at 10:21 PM #184857
  robertogozzi

  What timeframe are you using?

   

  

  robertogozzi

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  01/08/2022 at 12:14 AM #184858
  814591

  daily

  

  814591

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  01/08/2022 at 2:16 AM #184860
  robertogozzi

  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.

  

  robertogozzi

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  01/09/2022 at 10:28 PM #184984
  814591

  Many thanks Robert – what do I need to change in my code then?

  Greetings

  

  814591

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