How to Identify Last Trading Day of Month in EL?

[BlueHorseshoe 10]

I'm hoping that someone can help me out with EL code to identify the last trading day of the month as part of a strategy entry condition?

 

Any help would be greatly appreciated.

 

Bluehorseshoe

[Tams 20]

I'm hoping that someone can help me out with EL code to identify the last trading day of the month as part of a strategy entry condition?

 

Any help would be greatly appreciated.

 

Bluehorseshoe

 

there is no direct keyword for such a function;

you have to build yourself a filter.

 

eg.

if month = jan
and date = 29
and day = fri
then last.trading.day = true;

[BlueHorseshoe 10]

there is no direct keyword for such a function;

you have to build yourself a filter.

 

Hi Tams,

 

Thanks for your reply. Your suggestion is what I had attempted to do (in a very clunky and inelegant fashion!). I found it very difficult to incorporate weekend dates into a filter. I'm not convinced that my solution below works - can you see any obvious issues with it?

 

variables:
m(0),
count(0),
dom(0),
sess(0),
buywindow(false);

sess=CurrentSession(0);
If sess<>sess[1] then begin
m=month(d);
if m<>m[1] then
count=1
Else count=count+1;
dom=dayofmonth(d);
End;

If dayofweek(date)<4 then
BuyWindow = 	(m=1 and dom=31) or 
		(m=2 and dom=28) or 
		(m=3 and dom=31) or 
		(m=4 and dom=30) or 
		(m=5 and dom=31) or 
		(m=6 and dom=30) or 
		(m=7 and dom=31) or 
		(m=8 and dom=31) or 
		(m=9 and dom=30) or 
		(m=10 and dom=31) or 
		(m=11 and dom=30) or 
		(m=12 and dom=31);

If dayofweek(date)=4 then
BuyWindow = 	((m=1 and dom=31) or (m=1 and dom=30)) or 
		((m=2 and dom=28) or (m=2 and dom=27)) or 
		((m=3 and dom=31) or (m=3 and dom=30)) or 
		((m=4 and dom=30) or (m=4 and dom=29)) or 
		((m=5 and dom=31) or (m=5 and dom=30)) or 
		((m=6 and dom=30) or (m=6 and dom=29)) or
		((m=7 and dom=31) or (m=7 and dom=30)) or 
		((m=8 and dom=31) or (m=8 and dom=30)) or
		((m=9 and dom=30) or (m=9 and dom=29)) or
		((m=10 and dom=31) or (m=10 and dom=30)) or
		((m=11 and dom=30) or (m=11 and dom=29)) or
		((m=12 and dom=31) or (m=12 and dom=30));

If dayofweek(date)=5 then
BuyWindow = 	((m=1 and dom=31) or (m=1 and dom=30) or (m=1 and dom=29)) or 
		((m=2 and dom=28) or (m=2 and dom=27) or (m=2 and dom=28)) or 
		((m=3 and dom=31) or (m=3 and dom=30) or (m=3 and dom=29)) or 
		((m=4 and dom=30) or (m=4 and dom=29) or (m=4 and dom=29)) or 
		((m=5 and dom=31) or (m=5 and dom=30) or (m=5 and dom=29)) or 
		((m=6 and dom=30) or (m=6 and dom=29) or (m=6 and dom=28)) or
		((m=7 and dom=31) or (m=7 and dom=30) or (m=7 and dom=29)) or 
		((m=8 and dom=31) or (m=8 and dom=30) or (m=8 and dom=29)) or
		((m=9 and dom=30) or (m=9 and dom=29) or (m=8 and dom=28)) or
		((m=10 and dom=31) or (m=10 and dom=30) or (m=10 and dom=29)) or
		((m=11 and dom=30) or (m=11 and dom=29) or (m=11 and dom=28)) or
		((m=12 and dom=31) or (m=12 and dom=30) or (m=12 and dom=29));


If (BuyWindow or DayofMonth(date)=1) then
Buy this bar;

[Tams 20]

keep plugging, you are on the right track

[Tams 20]

another idea

 

month31 = jan or mar or may or jul or aug or oct or dec;

if month31 = true
and day = fri 
and date >= 29
then last.trading.day = true;

[onesmith 10]

What bar interval are you using? What is the symbol? Is the symbol day session only or does it include a night session?

 

I'm hoping that someone can help me out with EL code to identify the last trading day of the month as part of a strategy entry condition?

 

Any help would be greatly appreciated.

 

Bluehorseshoe

[BlueHorseshoe 10]

What bar interval are you using? What is the symbol? Is the symbol day session only or does it include a night session?

 

Hi Onesmith,

 

The strategy is for trading the ES contract, though I generally test such things against other closely correlated instruments (ES.D, Spiders, YM, Big S&P, Diamonds, NQ etc) as a measure of robustness. In other words, I would expect it to have a positive expectancy regardless of whether the Globex session were included in the testing.

 

It aims to take advantage of the 'window dressing' that is common around the end/start of the month, and therefore provides for long entries only. The entry is made intraday once other conditions have been met (in addition to the end of month condition that I am struggling to code).

[BlueHorseshoe 10]

another idea

 

month31 = jan or mar or may or jul or aug or oct or dec;

if month31 = true
and day = fri 
and date >= 29
then last.trading.day = true;

 

Now why didn't I think of that? Thanks!

[jipskin 10]

Very simple:

 

vars: lastTradingDay(false);
lastTradingDay = false;
If month(date of next bar) <> month(date) then begin
lastTradingDay = true;
end;

[Tams 20]

Very simple:

 

vars: lastTradingDay(false);
lastTradingDay = false;
If month(date of next bar) <> month(date) then begin
lastTradingDay = true;
end;

 

well... smart idea, but not a well thought out solution.

 

What if the current bar is a Friday?

[andriuking 10]

With this is enougth. Works in intraday bar.

 

//Calculo de la sesion del mes

If time = 0005 and month(date) <> month(date[1]) then Sesion = 1

Else If time = 0005 then Sesion = Sesion[1] + 1

Else Sesion = Sesion[1];