Backtesting Chinese holidays - Wealth Lab Forum

tradercn

#1

9/28/2011 4:05 PM

In China's stock market, oct 1st is the national day, and thus a holiday. I want to buy at the open of the last trading day before oct 1st, and sell at the close of the first trading day after oct 1st.

So I built a simple rule: Buy at Market: Date is before a Calendar Date(Oct 1); Sell at Market: Date is after a Calendar Date(Oct 1). I have two problems here.
1, how to buy at open? there is no such command.
2, from the chart, the trading signals all are wrong. For example, the buying signal was triggered on 2010/1/5, and the selling signal was triggered on 2010/10/11. I looked through the code, but could not see any mistake. Here is the code:

Eugene

#2

9/28/2011 4:15 PM

1 - BuyAtMarket is buy at open.

2 -

a) 2010/1/5 is perfectly before Oct 1, isn't it? The entry does what it's programmed to do: buy if Date < Oct 1. It will buy whenever a date falls between last exit and Sept 30, on ANY date.

b) So does the exit: sell at Close after Oct 10.

tradercn

#3

9/28/2011 4:19 PM

You are amazing, Eugene.
How can I set the last trading day before or the first trading day after some specified day with a program? I am not a programmer, please understand my difficulty. Many thanks.

Cone

#4

9/29/2011 1:38 AM

Although the exit signal will work, it would be difficult to create this type of entry rule with the Strategy Builder - although I think it's possible by combining several more conditions with day-of-week logic. The weekends are the complicating factor.

But there are plenty of coding solutions here. One way is to let the script peek ahead to see if the next bar is in October AND that the current bar is in September. The resulting script, however, could be used only for backtesting because it couldn't process the most-recent bar.

A better way is to program a function that finds the number of weekdays (assumed to be trading days) before the specified date. If the function returns 2, buy at market on the next bar. Run this script after today's trading, you should get an Alert to buy.

Size:

Color:

Although the exit signal will work, it would be difficult to create this type of entry rule with the Strategy Builder - although I think it's [i]possible [/i]by combining several more conditions with day-of-week logic.  The weekends are the complicating factor.

But there are plenty of coding solutions here.  One way is to let the script peek ahead to see if the next bar is in October AND that the current bar is in September.  The resulting script, however, could be used only for backtesting because it couldn't process the most-recent bar.

A better way is to program a function that finds the number of weekdays (assumed to be trading days) before the specified date.  If the function returns 2, buy at market on the next bar.  Run this script [i]after [/i]today's trading, you should get an Alert to buy.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class BacktestOnly : WealthScript
	{			
		public int WeekdaysBeforeDate(DateTime currentDate, DateTime theDate)
		{		
			int days = 0;			
			while (currentDate < theDate)
			{                                    
				if (currentDate.DayOfWeek != DayOfWeek.Saturday 
				 && currentDate.DayOfWeek != DayOfWeek.Sunday)
					days++;
				currentDate = currentDate.AddDays(1);
				
			}
			return days;
		}
		
		protected override void Execute()
		{
			ClearDebug();
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						DateTime date_1 = new DateTime(Bars.Date[bar].Year, 10, 1);
						if (Bars.Date[bar] > date_1)
						{
							SellAtClose(bar, p, "Group1");
						}
					}
				}
				else
				{
					DateTime date = new DateTime(Bars.Date[bar].Year, 10, 1);				
					if (WeekdaysBeforeDate(Date[bar], date) == 2)
					{
						BuyAtMarket(bar + 1, "Group1|");
					}
				}
			}
		}
	}
}	 [/CODE]

tradercn

#5

9/29/2011 10:10 AM

thanks for your code and idea. :)

tradercn

#6

10/7/2011 3:18 PM

There is a problem. If I test the new year date, this strategy doesn't work. I tried to figure out the solution, eventually saw a function which is included in Community Components library. It is TradingDaysBetweenDates. But from the update log of Community Components library, it says "6/22/2011 Changed: Calculate.GetWeekNumber/DaysBetweenDates/GetRemainingTradingDays/TradingDaysBetweenDates became obsolete, were moved to DateTimeFunctions. Due to their exclusion in a later release, use their DateTimeFunctions analogues. " I don't understand what the last sentence means. could you please explain? I saw "1/11/2011 Added: DateTimeFunctions_US class with useful Date-related functions (assembled by Sammy_G) " Is that what you mean?
Thanks.

tradercn

#7

10/9/2011 10:52 AM

I looked through the source code of wealthlab.components.community, there is a region, which is Date/Time functions. I guess that is what you mentioned. I have two questions.
1, ItsAHoliday indicates solar calendar holidays. However it refers the holiday property of marketInfo object. (How many holidays are included in this property please? Can I customize which date is a holiday?) How can I add Chinese lunar calendar holidays here? (Since ItsAHoliday is referred in other functions.) Do you have any idea? Do I need to make a dll specially designed for Chinese lunar calendar holidays? Can I includes some source code files regarding lunar holidays out of my strategy? If yes, how to do that please? Or, I have to write these codes in my strategy?
2, In the region of Date/Time functions, I saw many functions. For example, ItsAHoliday, ItsAWeekend, CalendarDaysBetweenDates, GetNextTradingdate, AddTradingDays, and etc. Do you have a document to describe these functions, to show how to use it, as API document? For my above case, to tell the last trading day before the new year day, is DaysBetweenDates or TradingDaysBetweenDates good for replacing WeekdaysBeforeDate? I am afraid that both are not. Correct? Because dt1 and dt2 are not the same year.
At last, is there any example to show how to refer functions in WealthLab.Components.Community?
My questions might be very simple to you, but please be patient because I am very new. Thanks for your help.

tradercn

#8

10/9/2011 11:44 AM

Alright, I know how to get the detailed information regarding functions in wealthlab.components.community and thus how to refer the functions in it as well. So two concerns are still left. Thanks.
For the first concern, should I manually add the Chinese holiday each year to Markets.xml which I just saw in Sammy's post.

tradercn

#9

10/28/2011 10:35 AM

It took me several weeks to figure out china's holidays, but eventually it was almost done except one question for this strategy. I am very excited because this is my first C# program by my hands. :)
Here is my strategy idea. There are three parameters. The first is for choosing which holiday in the 7 major China holidays including solar and lunar holidays. The default value is 4, for National Day. It varies from 1 to 7, 1 is for New Year Day. The second and the third parameter are used to buy and sell before and after how many days offset from the holiday.
The only problem I am facing might be very simple for you. From the above posts, Cone provided a function WeekdaysBeforeDate to choose the date to buy. However, first it doesn't work for the new year day because the years buy and sell are different. Second, for each holiday, the number of days the market which is off is not specified. Since this strategy is for back testing only, so when date>holiday, sell at bar+intDaysAfterHoliday -1. And buy at bar-DaysBeforeHoliday+1. In my understanding, it should be fine. You can see those at the last several lines. But it doesn't generate any trading signal. Could you please help? The code is very long, you can focus on the last several sentences only.
Once it is done, it can be contributed to WL. There are so called bonus trends before the major holidays in China's stock market. With this strategy, this kind of saying can be proved or not.
Thanks.

Size:

Color:

It took me several weeks to figure out china's holidays, but eventually it was almost done except one question for this strategy. I am very excited because this is my first C# program by my hands. :)
Here is my strategy idea. There are three parameters. The first is for choosing which holiday in the 7 major China holidays including solar and lunar holidays. The default value is 4, for National Day. It varies from 1 to 7, 1 is for New Year Day. The second and the third parameter are used to buy and sell before and after how many days offset from the holiday. 
The only problem I am facing might be very simple for you. From the above posts, Cone provided a function WeekdaysBeforeDate to choose the date to buy. However, first it doesn't work for the new year day because the years buy and sell are different. Second, for each holiday, the number of days the market which is off is not specified. Since this strategy is for back testing only, so when date>holiday, sell at bar+intDaysAfterHoliday -1. And buy at bar-DaysBeforeHoliday+1. In my understanding, it should be fine. You can see those at the last several lines. But it doesn't generate any trading signal. Could you please help? The code is very long, you can focus on the last several sentences only.
Once it is done, it can be contributed to WL. There are so called bonus trends before the major holidays in China's stock market. With this strategy, this kind of saying can be proved or not.
Thanks.

[CODE]using System;
using System.Collections;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;
using System.Windows.Forms;

namespace WealthLab.Strategies
{
	
	public class ChineseCalendar
	{
		#region ChineseCalendarException
		/// <summary>
		/// ????????
		/// </summary>
		public class ChineseCalendarException : System.Exception
		{
			public ChineseCalendarException(string msg)
				: base(msg)
			{
			}
		}

#endregion
		#region ????
		private struct SolarHolidayStruct
		{
			public int Month;
			public int Day;
			public int Recess; //????
			public string HolidayName;
			public SolarHolidayStruct(int month, int day, int recess, string name)
			{
				Month = month;
				Day = day;
				Recess = recess;
				HolidayName = name;
			}
		}

private struct LunarHolidayStruct
		{
			public int Month;
			public int Day;
			public int Recess;
			public string HolidayName;

public LunarHolidayStruct(int month, int day, int recess, string name)
			{
				Month = month;
				Day = day;
				Recess = recess;
				HolidayName = name;
			}
		}

private struct WeekHolidayStruct
		{
			public int Month;
			public int WeekAtMonth;
			public int WeekDay;
			public string HolidayName;

public WeekHolidayStruct(int month, int weekAtMonth, int weekDay, string name)
			{
				Month = month;
				WeekAtMonth = weekAtMonth;
				WeekDay = weekDay;
				HolidayName = name;
			}
		}
		#endregion

#region ????
		private DateTime _date;

private int _cYear;
		private int _cMonth;
		private int _cDay;
		private bool _cIsLeapMonth; //??????
		private bool _cIsLeapYear; //???????
		#endregion

#region ????
		#region ????
		private const int MinYear = 1900;
		private const int MaxYear = 2050;
		private static DateTime MinDay = new DateTime(1900, 1, 30);
		private static DateTime MaxDay = new DateTime(2049, 12, 31);
		private const int GanZhiStartYear = 1864; //???????
		private static DateTime GanZhiStartDay = new DateTime(1899, 12, 22);//???
		private const string HZNum = "??????????";
		private const int AnimalStartYear = 1900; //1900????
		#endregion

#region ????
		/// <summary>
		/// ??????????
		/// </summary>
		/// <remarks>
		/// ??????,???17???
		/// ?17?:??????,0??29?   1??30?
		/// ?16?-?5?(?12?)??12??,???16??????,?????30???1,29??0
		/// ?4?-?1?(?4?)????????,????????,??0
		///</remarks>
		private static int[] LunarDateArray = new int[]{
			0x04BD8,0x04AE0,0x0A570,0x054D5,0x0D260,0x0D950,0x16554,0x056A0,0x09AD0,0x055D2,
			0x04AE0,0x0A5B6,0x0A4D0,0x0D250,0x1D255,0x0B540,0x0D6A0,0x0ADA2,0x095B0,0x14977,
			0x04970,0x0A4B0,0x0B4B5,0x06A50,0x06D40,0x1AB54,0x02B60,0x09570,0x052F2,0x04970,
			0x06566,0x0D4A0,0x0EA50,0x06E95,0x05AD0,0x02B60,0x186E3,0x092E0,0x1C8D7,0x0C950,
			0x0D4A0,0x1D8A6,0x0B550,0x056A0,0x1A5B4,0x025D0,0x092D0,0x0D2B2,0x0A950,0x0B557,
			0x06CA0,0x0B550,0x15355,0x04DA0,0x0A5B0,0x14573,0x052B0,0x0A9A8,0x0E950,0x06AA0,
			0x0AEA6,0x0AB50,0x04B60,0x0AAE4,0x0A570,0x05260,0x0F263,0x0D950,0x05B57,0x056A0,
			0x096D0,0x04DD5,0x04AD0,0x0A4D0,0x0D4D4,0x0D250,0x0D558,0x0B540,0x0B6A0,0x195A6,
			0x095B0,0x049B0,0x0A974,0x0A4B0,0x0B27A,0x06A50,0x06D40,0x0AF46,0x0AB60,0x09570,
			0x04AF5,0x04970,0x064B0,0x074A3,0x0EA50,0x06B58,0x055C0,0x0AB60,0x096D5,0x092E0,
			0x0C960,0x0D954,0x0D4A0,0x0DA50,0x07552,0x056A0,0x0ABB7,0x025D0,0x092D0,0x0CAB5,
			0x0A950,0x0B4A0,0x0BAA4,0x0AD50,0x055D9,0x04BA0,0x0A5B0,0x15176,0x052B0,0x0A930,
			0x07954,0x06AA0,0x0AD50,0x05B52,0x04B60,0x0A6E6,0x0A4E0,0x0D260,0x0EA65,0x0D530,
			0x05AA0,0x076A3,0x096D0,0x04BD7,0x04AD0,0x0A4D0,0x1D0B6,0x0D250,0x0D520,0x0DD45,
			0x0B5A0,0x056D0,0x055B2,0x049B0,0x0A577,0x0A4B0,0x0AA50,0x1B255,0x06D20,0x0ADA0,
			0x14B63        
			};

#endregion

#region ????
		private static string[] _constellationName = 
			{ 
			"???", "???", "???", 
			"???", "???", "???", 
			"???", "???", "???", 
			"???", "???", "???"
			};
		#endregion

#region ?????
		private static string[] _lunarHolidayName = 
			{ 
			"??", "??", "??", "??", 
			"??", "??", "??", "??", 
			"??", "??", "??", "??", 
			"??", "??", "??", "??", 
			"??", "??", "??", "??", 
			"??", "??", "??", "??"
			};
		#endregion

#region ????
		private static string[] SolarTerm = new string[] { "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??", "??" };
		private static int[] sTermInfo = new int[] { 0, 21208, 42467, 63836, 85337, 107014, 128867, 150921, 173149, 195551, 218072, 240693, 263343, 285989, 308563, 331033, 353350, 375494, 397447, 419210, 440795, 462224, 483532, 504758 };
		#endregion

#region ??????
		private static string ganStr = "??????????";
		private static string zhiStr = "????????????";
		private static string animalStr = "????????????";
		private static string nStr1 = "??????????";
		private static string nStr2 = "????";
		private static string[] _monthString =
			{
			"??","??","??","??","??","??","??","??","??","??","??","???","??"
			};
		private static string[] _dayString = {"*","??","??","??","??","??", 
			"??","??","??","??","??", 
			"??","??","??","??","??", 
			"??","??","??","??","??", 
			"??","??","??","??","??", 
			"??","??","??","??","??"};
		#endregion

#region ????????
		private static SolarHolidayStruct[] sHolidayInfo = new SolarHolidayStruct[]{
			new SolarHolidayStruct(1, 1, 1, "??"),
			new SolarHolidayStruct(5, 1, 1, "???"), 
			new SolarHolidayStruct(10, 1, 1, "???"),
			};
		#endregion

#region ????????
		private static LunarHolidayStruct[] lHolidayInfo = new LunarHolidayStruct[]{
			new LunarHolidayStruct(1, 1, 1, "??"), 
			new LunarHolidayStruct(5, 5, 0, "???"), 
			new LunarHolidayStruct(8, 15, 0, "???"), 
			new LunarHolidayStruct(9, 9, 0, "???"), 
			//new LunarHolidayStruct(12, 30, 0, "??")  //??????????????
			};
		#endregion

#region ?????????
		private static WeekHolidayStruct[] wHolidayInfo = new WeekHolidayStruct[]{
			new WeekHolidayStruct(5, 2, 1, "???"), 
			new WeekHolidayStruct(5, 3, 1, "?????"), 
			new WeekHolidayStruct(6, 3, 1, "???"), 
			new WeekHolidayStruct(9, 3, 3, "?????"), 
			new WeekHolidayStruct(9, 4, 1, "?????"), 
			new WeekHolidayStruct(10, 1, 2, "?????"), 
			new WeekHolidayStruct(10, 1, 4, "?????????"),
			new WeekHolidayStruct(11, 4, 5, "???")
			};
		#endregion

#endregion

#region ????
		#region ChinaCalendar <???????>
		/// <summary>
		/// ??????????????
		/// </summary>
		/// <param name="dt"></param>
		public ChineseCalendar(DateTime dt)
		{
			int i;
			int leap;
			int temp;
			int offset;

CheckDateLimit(dt);

_date = dt.Date;

//????????
			leap = 0;
			temp = 0;

TimeSpan ts = _date - ChineseCalendar.MinDay;//?????????
			offset = ts.Days;

for (i = MinYear; i <= MaxYear; i++)
			{
				temp = GetChineseYearDays(i);  //????????
				if (offset - temp < 1)
					break;
				else
				{
					offset = offset - temp;
				}
			}
			_cYear = i;

leap = GetChineseLeapMonth(_cYear);//????????
			//?????????
			if (leap > 0)
			{
				_cIsLeapYear = true;
			}
			else
			{
				_cIsLeapYear = false;
			}

_cIsLeapMonth = false;
			for (i = 1; i <= 12; i++)
			{
				//??
				if ((leap > 0) && (i == leap + 1) && (_cIsLeapMonth == false))
				{
					_cIsLeapMonth = true;
					i = i - 1;
					temp = GetChineseLeapMonthDays(_cYear); //??????
				}
				else
				{
					_cIsLeapMonth = false;
					temp = GetChineseMonthDays(_cYear, i);//???????
				}

offset = offset - temp;
				if (offset <= 0) break;
			}

offset = offset + temp;
			_cMonth = i;
			_cDay = offset;
		}
		#endregion

#endregion

#region ????

#region GetChineseMonthDays
		//???? y?m?????
		private int GetChineseMonthDays(int year, int month)
		{
			if (BitTest32((LunarDateArray[year - MinYear] & 0x0000FFFF), (16 - month)))
			{
				return 30;
			}
			else
			{
				return 29;
			}
		}
		#endregion

#region GetChineseLeapMonth
		//???? y????? 1-12 , ???? 0
		private int GetChineseLeapMonth(int year)
		{

return LunarDateArray[year - MinYear] & 0xF;

}
		#endregion

#region GetChineseLeapMonthDays
		//???? y??????
		private int GetChineseLeapMonthDays(int year)
		{
			if (GetChineseLeapMonth(year) != 0)
			{
				if ((LunarDateArray[year - MinYear] & 0x10000) != 0)
				{
					return 30;
				}
				else
				{
					return 29;
				}
			}
			else
			{
				return 0;
			}
		}
		#endregion

#region GetChineseYearDays
		/// <summary>
		/// ?????????
		/// </summary>
		/// <param name="year"></param>
		/// <returns></returns>
		private int GetChineseYearDays(int year)
		{
			int i, f, sumDay, info;

sumDay = 348; //29? X 12??
			i = 0x8000;
			info = LunarDateArray[year - MinYear] & 0x0FFFF;

//??12????????30?
			for (int m = 0; m < 12; m++)
			{
				f = info & i;
				if (f != 0)
				{
					sumDay++;
				}
				i = i >> 1;
			}
			return sumDay + GetChineseLeapMonthDays(year);
		}
		#endregion

#region CheckDateLimit
		/// <summary>
		/// ????????????
		/// </summary>
		/// <param name="dt"></param>
		private void CheckDateLimit(DateTime dt)
		{
			if ((dt < MinDay) || (dt > MaxDay))
			{
				throw new ChineseCalendarException("????????");
			}
		}
		#endregion

#region CheckChineseDateLimit
		/// <summary>
		/// ??????????
		/// </summary>
		/// <param name="year"></param>
		/// <param name="month"></param>
		/// <param name="day"></param>
		/// <param name="leapMonth"></param>
		private void CheckChineseDateLimit(int year, int month, int day, bool leapMonth)
		{
			if ((year < MinYear) || (year > MaxYear))
			{
				throw new ChineseCalendarException("??????");
			}
			if ((month < 1) || (month > 12))
			{
				throw new ChineseCalendarException("??????");
			}
			if ((day < 1) || (day > 30)) //??????30?
			{
				throw new ChineseCalendarException("??????");
			}

int leap = GetChineseLeapMonth(year);// ??????????
			if ((leapMonth == true) && (month != leap))
			{
				throw new ChineseCalendarException("??????");
			}

}
		#endregion

#region ConvertNumToChineseNum
		/// <summary>
		/// ?0-9??????
		/// </summary>
		/// <param name="n"></param>
		/// <returns></returns>
		private string ConvertNumToChineseNum(char n)
		{
			if ((n < '0') || (n > '9')) return "";
			switch (n)
			{
				case '0':
					return HZNum[0].ToString();
				case '1':
					return HZNum[1].ToString();
				case '2':
					return HZNum[2].ToString();
				case '3':
					return HZNum[3].ToString();
				case '4':
					return HZNum[4].ToString();
				case '5':
					return HZNum[5].ToString();
				case '6':
					return HZNum[6].ToString();
				case '7':
					return HZNum[7].ToString();
				case '8':
					return HZNum[8].ToString();
				case '9':
					return HZNum[9].ToString();
				default:
					return "";
			}
		}
		#endregion

#region BitTest32
		/// <summary>
		/// ????????
		/// </summary>
		/// <param name="num"></param>
		/// <param name="bitpostion"></param>
		/// <returns></returns>
		private bool BitTest32(int num, int bitpostion)
		{

if ((bitpostion > 31) || (bitpostion < 0))
				throw new Exception("Error Param: bitpostion[0-31]:" + bitpostion.ToString());

int bit = 1 << bitpostion;

if ((num & bit) == 0)
			{
				return false;
			}
			else
			{
				return true;
			}
		}
		#endregion
		#region ConvertDayOfWeek
		/// <summary>
		/// ??????????
		/// </summary>
		/// <param name="dayOfWeek"></param>
		/// <returns></returns>
		private int ConvertDayOfWeek(DayOfWeek dayOfWeek)
		{
			switch (dayOfWeek)
			{
				case DayOfWeek.Sunday:
					return 1;
				case DayOfWeek.Monday:
					return 2;
				case DayOfWeek.Tuesday:
					return 3;
				case DayOfWeek.Wednesday:
					return 4;
				case DayOfWeek.Thursday:
					return 5;
				case DayOfWeek.Friday:
					return 6;
				case DayOfWeek.Saturday:
					return 7;
				default:
					return 0;
			}
		}
		#endregion

#region CompareWeekDayHoliday
		/// <summary>
		/// ?????????????
		/// </summary>
		/// <param name="date"></param>
		/// <param name="month"></param>
		/// <param name="week"></param>
		/// <param name="day"></param>
		/// <returns></returns>
		private bool CompareWeekDayHoliday(DateTime date, int month, int week, int day)
		{
			bool ret = false;

if (date.Month == month) //????
			{
				if (ConvertDayOfWeek(date.DayOfWeek) == day) //?????
				{
					DateTime firstDay = new DateTime(date.Year, date.Month, 1);//???????
					int i = ConvertDayOfWeek(firstDay.DayOfWeek);
					int firWeekDays = 7 - ConvertDayOfWeek(firstDay.DayOfWeek) + 1; //?????????

if (i > day)
					{
						if ((week - 1) * 7 + day + firWeekDays == date.Day)
						{
							ret = true;
						}
					}
					else
					{
						if (day + firWeekDays + (week - 2) * 7 == date.Day)
						{
							ret = true;
						}
					}
				}
			}

return ret;
		}
		#endregion
		#endregion

#region  ??

#region ??
		#region ChineseCalendarHoliday
		/// <summary>
		/// ????????
		/// </summary>
		public string ChineseCalendarHoliday
		{
			get
			{
				string tempStr = "";
				if (this._cIsLeapMonth == false) //???????
				{
					foreach (LunarHolidayStruct lh in lHolidayInfo)
					{
						if ((lh.Month == this._cMonth) && (lh.Day == this._cDay))
						{

tempStr = lh.HolidayName;
							break;

}
					}

//?????????
					if (this._cMonth == 12)
					{
						int i = GetChineseMonthDays(this._cYear, 12); //??????12?????
						if (this._cDay == i) //???????
						{
							tempStr = "??";
						}
					}
				}
				return tempStr;
			}
		}
		#endregion

#region WeekDayHoliday
		/// <summary>
		/// ??????????????
		/// </summary>
		public string WeekDayHoliday
		{
			get
			{
				string tempStr = "";
				foreach (WeekHolidayStruct wh in wHolidayInfo)
				{
					if (CompareWeekDayHoliday(_date, wh.Month, wh.WeekAtMonth, wh.WeekDay))
					{
						tempStr = wh.HolidayName;
						break;
					}
				}
				return tempStr;
			}
		}
		#endregion

#region DateHoliday
		/// <summary>
		/// ?????????
		/// </summary>
		public string DateHoliday
		{
			get
			{
				string tempStr = "";

foreach (SolarHolidayStruct sh in sHolidayInfo)
				{
					if ((sh.Month == _date.Month) && (sh.Day == _date.Day))
					{
						tempStr = sh.HolidayName;
						break;
					}
				}
				return tempStr;
			}
		}
		#endregion
		#endregion

#region ????
		#region Date
		/// <summary>
		/// ????????
		/// </summary>
		public DateTime Date
		{
			get { return _date; }
			set { _date = value; }
		}
		#endregion

#region WeekDay
		/// <summary>
		/// ????
		/// </summary>
		public DayOfWeek WeekDay
		{
			get { return _date.DayOfWeek; }
		}
		#endregion

#region WeekDayStr
		/// <summary>
		/// ?????
		/// </summary>
		public string WeekDayStr
		{
			get
			{
				switch (_date.DayOfWeek)
				{
					case DayOfWeek.Sunday:
						return "???";
					case DayOfWeek.Monday:
						return "???";
					case DayOfWeek.Tuesday:
						return "???";
					case DayOfWeek.Wednesday:
						return "???";
					case DayOfWeek.Thursday:
						return "???";
					case DayOfWeek.Friday:
						return "???";
					default:
						return "???";
				}
			}
		}
		#endregion

#region DateString
		/// <summary>
		/// ????????? ??????????
		/// </summary>
		public string DateString
		{
			get
			{
				return "??" + this._date.ToLongDateString();
			}
		}
		#endregion

#region IsLeapYear
		/// <summary>
		/// ????????
		/// </summary>
		public bool IsLeapYear
		{
			get
			{
				return DateTime.IsLeapYear(this._date.Year);
			}
		}
		#endregion
		#endregion

#region ????
		#region IsChineseLeapMonth
		/// <summary>
		/// ????
		/// </summary>
		public bool IsChineseLeapMonth
		{
			get { return this._cIsLeapMonth; }
		}
		#endregion

#region IsChineseLeapYear
		/// <summary>
		/// ???????
		/// </summary>
		public bool IsChineseLeapYear
		{
			get
			{
				return this._cIsLeapYear;
			}
		}
		#endregion

#region ChineseDay
		/// <summary>
		/// ???
		/// </summary>
		public int ChineseDay
		{
			get { return  this._cDay; }
		}
		#endregion

#region ChineseDayString
		/// <summary>
		/// ???????
		/// </summary>
		public string ChineseDayString
		{
			get
			{
				switch (this._cDay)
				{
					case 0:
						return "";
					case 10:
						return "??";
					case 20:
						return "??";
					case 30:
						return "??";
					default:
						return nStr2[(int)(_cDay / 10)].ToString() + nStr1[_cDay % 10].ToString();

}
			}
		}
		#endregion

#region ChineseMonth
		/// <summary>
		/// ?????
		/// </summary>
		public int ChineseMonth
		{
			get { return this._cMonth; }
		}
		#endregion

#region ChineseMonthString
		/// <summary>
		/// ????????
		/// </summary>
		public string ChineseMonthString
		{
			get
			{
				return _monthString[this._cMonth];
			}
		}
		#endregion

#region ChineseYear
		/// <summary>
		/// ?????
		/// </summary>
		public int ChineseYear
		{
			get { return this._cYear; }
		}
		#endregion

#region ChineseYearString
		/// <summary>
		/// ????????,?????
		/// </summary>
		public string ChineseYearString
		{
			get
			{
				string tempStr = "";
				string num = this._cYear.ToString();
				for (int i = 0; i < 4; i++)
				{
					tempStr += ConvertNumToChineseNum(num[i]);
				}
				return tempStr + "?";
			}
		}
		#endregion

#region ChineseDateString
		/// <summary>
		/// ????????:???????????
		/// </summary>
		public string ChineseDateString
		{
			get
			{
				if (this._cIsLeapMonth == true)
				{
					return "??" + ChineseYearString + "?" + ChineseMonthString + ChineseDayString;
				}
				else
				{
					return "??" + ChineseYearString + ChineseMonthString + ChineseDayString;
				}
			}
		}
		#endregion

#region ChineseTwentyFourDay
		/// <summary>
		/// ??????????,???????????????,????????
		/// </summary>
		/// <remarks>
		/// ??????????????????"??",??????????24?,
		/// ???????15???,????"??"??????????"??",?
		/// ?????????????,??360°,???????15°???????
		/// ????????,??????,??????????15°?????15??
		/// ???????????,??????????,?????16??????
		/// ????????????????????????
		/// </remarks>
		public string ChineseTwentyFourDay
		{
			get
			{
				DateTime baseDateAndTime = new DateTime(1900, 1, 6, 2, 5, 0); //#1/6/1900 2:05:00 AM#
				DateTime newDate;
				double num;
				int y;
				string tempStr = "";

y = this._date.Year;

for (int i = 1; i <= 24; i++)
				{
					num = 525948.76 * (y - 1900) + sTermInfo[i - 1];

newDate = baseDateAndTime.AddMinutes(num);//?????
					if (newDate.DayOfYear == _date.DayOfYear)
					{
						tempStr = SolarTerm[i - 1];
						break;
					}
				}
				return tempStr;
			}
		}
		#endregion
		#endregion

#region ??
		#region Constellation
		/// <summary>
		/// ??????????? 
		/// </summary>
		/// <returns></returns>
		public string Constellation
		{
			get
			{
				int index = 0;
				int y, m, d;
				y = _date.Year;
				m = _date.Month;
				d = _date.Day;
				y = m * 100 + d;

if (((y >= 321) && (y <= 419))) { index = 0; }
				else if ((y >= 420) && (y <= 520)) { index = 1; }
				else if ((y >= 521) && (y <= 620)) { index = 2; }
				else if ((y >= 621) && (y <= 722)) { index = 3; }
				else if ((y >= 723) && (y <= 822)) { index = 4; }
				else if ((y >= 823) && (y <= 922)) { index = 5; }
				else if ((y >= 923) && (y <= 1022)) { index = 6; }
				else if ((y >= 1023) && (y <= 1121)) { index = 7; }
				else if ((y >= 1122) && (y <= 1221)) { index = 8; }
				else if ((y >= 1222) || (y <= 119)) { index = 9; }
				else if ((y >= 120) && (y <= 218)) { index = 10; }
				else if ((y >= 219) && (y <= 320)) { index = 11; }
				else { index = 0; }

return _constellationName[index];
			}
		}
		#endregion
		#endregion

#region ??
		#region Animal
		/// <summary>
		/// ???????,???????????????,??????????????????
		/// ???1,????
		/// </summary>
		public int Animal
		{
			get
			{
				int offset = _date.Year - AnimalStartYear;
				return (offset % 12) + 1;
			}
		}
		#endregion

#region AnimalString
		/// <summary>
		/// ??????
		/// </summary>
		public string AnimalString
		{
			get
			{
				int offset = _date.Year - AnimalStartYear;
				return animalStr[offset % 12].ToString();
			}
		}
		#endregion
		#endregion

#endregion

#region ??
		#region NextDay
		/// <summary>
		/// ????
		/// </summary>
		/// <returns></returns>
		public ChineseCalendar NextDay()
		{
			DateTime nextDay = _date.AddDays(1);
			return new ChineseCalendar(nextDay);
		}
		#endregion

#region PervDay
		/// <summary>
		/// ????
		/// </summary>
		/// <returns></returns>
		public ChineseCalendar PervDay()
		{
			DateTime pervDay = _date.AddDays(-1);
			return new ChineseCalendar(pervDay);
		}
		#endregion
		#endregion
	}

//ChineseCalendar cc = new ChineseCalendar(Convert.ToDateTime("2010/4/5"));
	//ChineseCalendar cc = new ChineseCalendar(DateTime.Today);
	//cc.ChineseTwentyFourDay;//?????
	//cc.DateHoliday;//?????????
	//cc.ChineseCalendarHoliday;//??????
	
	public class BacktestOnly : WealthScript
	{	
		public static int IsChinaStockHoliday(DateTime dt)
		{

#region China Stock Holidays Description
			//China's Stock Market Holidays include Solar, Lunar Calendar holidays 
			//and some of the 24 division days of the solar year.
			//The holidays for stock market includes:
			//Jan 1: New Year Day, return 1;
			//May 1: Labor Day, return 2;
			//Oct 1: National Day, return 3;
			//-------------------
			//Spring Festival, return 4;
			//Tomb-sweeping Day, or Ching Ming Festival, return 5;
			//Dragon Boat Festival, return 6;
			//Mid-autumn Festival, return 7;
			#endregion

int result = 0;

ChineseCalendar cc = new ChineseCalendar(dt);

if (cc.ChineseCalendarHoliday == "??")
			{ result = 4; }
			else if (cc.ChineseCalendarHoliday == "???")
			{ result = 6; }
			else if (cc.ChineseCalendarHoliday == "???")
			{ result = 7; }

if (cc.ChineseTwentyFourDay == "??")
			{ result = 5; }

if (cc.DateHoliday == "??")
			{ result = 1; }
			else if (cc.DateHoliday == "???")
			{ result = 2; }
			else if (cc.DateHoliday == "???")
			{ result = 3; }
			return result;

}

public static DateTime HolidayDate(int intYear, int intHoliday)
		{
			#region
			//return the solar calendar date with the specified holiday
			//the parameter intHoliday varies with different meanning
			//Go through the specified year to get the specified Holiday Date;
			//1: New Year Day;
			//2: Labor Day;
			//3: National Day;
			//-------------------
			//4: Spring Festival;
			//5: Tomb-sweeping Day, or Ching Ming Festival;
			//6: Dragon Boat Festival;
			//7: Mid-autumn Festival;
			#endregion

//number of days in each month;
			int intDaysPerMonth;
			//temporary variable for days in one month;
			int intListDay=1;
			DateTime dt= new DateTime();

for (int intListMonth = 1; intListMonth < 12; intListMonth++)
			{
				intDaysPerMonth = DateTime.DaysInMonth(intYear, intListMonth);

for (intListDay = 1; intListDay < intDaysPerMonth; intListDay++)
				{
					dt = new DateTime(intYear, intListMonth, intListDay);
					if (IsChinaStockHoliday(dt) == intHoliday)
					{
						break;
					}
                    
				}
				if (IsChinaStockHoliday(dt) == intHoliday)
				{
					break;
				}
			}
			return dt;

}
		
		private StrategyParameter HolidayOption;
		private StrategyParameter DaysBeforeHoliday;
		private StrategyParameter DaysAfterHoliday;
		
		public BacktestOnly()
		{
			//intHoliday is the parameter which is used to optimize strategy.
			//Choose HolidayOption to test the following holidays.
			//1 - New Year Day;
			//2 - Labor Day;
			//3 - National Day;
			//4 - Spring Festival;
			//5 - Tomb-sweeping Day, or Ching Ming Festival;
			//6 - Dragon Boat Festival;
			//7 - Mid-autumn Festival;
			HolidayOption = CreateParameter("China Stock Market Holiday", 4, 1, 7, 1);
			DaysBeforeHoliday = CreateParameter("Days Before the Holiday", 1, 1, 10, 1);
			DaysAfterHoliday = CreateParameter("Days After the Holiday", 1, 1, 10, 1);
		}
		
		protected override void Execute()
		{
			//ClearDebug();
			//intHolidayOption: indicates which holiday, defaul is 4, which indicates National Day;
			//intDaysBeforeHoliday: indicates when to long, default is 1, which indicates the last trading day before the holiday;
			//intDaysAfterHoliday: indicates when to sell, default is 1, which indicates the first trading day after the holiday;
			int intHolidayOption =(int) HolidayOption.Value;
			int intDaysBeforeHoliday = (int) DaysBeforeHoliday.Value;
			int intDaysAfterHoliday = (int) DaysAfterHoliday.Value;
			
			DateTimeFunctions dtf = new DateTimeFunctions(this);
			
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				DateTime date = HolidayDate (Date[bar].Year, intHolidayOption);
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
							
						if (Bars.Date[bar] > date && Bars.Date[bar-1]<date)
						{
							BuyAtMarket(bar-DaysBeforeHoliday+1, "Group1|");
							SellAtClose(bar+intDaysAfterHoliday -1, p, "Group1");
						}
					}
				}
				
				
			}
		}
	}
}
[/CODE]

tradercn

#10

10/28/2011 10:38 AM

Since the code includes some Chinese characters, they are not showed properly. I would like to send you the whole strategy code. but how can I attach a text file to you? Or, can I have your email address? Thanks.

Cone

#11

10/28/2011 2:38 PM

Wow, a lot of questions here and no answers.. yet.

Re: 10/7/2011 3:18 PM
TradingDaysBetweenDates originally existed in the Calculate class, but the new class, DateTimeFunctions, was created to make it more obvious where to find functions related to dates. Both classes will still work for now, but the latter is preferred.

Re: 10/9/2011 10:52 AM
1. Re: ItsAHoliday. This is a simple function: Bars.MarketInfo.Holidays.Contains(DateTime dt). You can add holidays to the Markets.xml file, which can be found in the main installation's \Data folder. Make sure to keep with the proper xml formatting. Solar calendar only. You're on your own for a lunar calendar.

2. Re: ItsAHoliday, ItsAWeekend, CalendarDaysBetweenDates, GetNextTradingdate, AddTradingDays, and etc...
Documentation, if it exists is on the Wiki site. But since these are self-explanatory, and you have the source code, I think the only thing you need know is what I just described about Holidays being in the Markets.xml file.

Use TradingDaysBetweenDates, the dates can be in any year. Keep in mind the the holidays in Market.xml. It seems to be key for you.

Re: 10/9/2011 11:44 AM
I should have read all of what you wrote first!

Re: 10/28/2011 10:35 AM

Sure it works if the dates are in different years. It only tells you the number of Weekdays there are between 2 dates.

I'm not entirely sure what you mean by this. You should enter each day that the market is "off" that is not a weekend in Markets.xml.

Maybe it's a stupid question, but why are there Chinese characters in your code? I'll put your code between CODE tags for you (please click the CODE button before pasting code next time), but I can't promise that we have time to look over all your code.

Size:

Color:

Wow, a lot of questions here and no answers.. yet.

Re: 10/7/2011 3:18 PM
TradingDaysBetweenDates originally existed in the [i]Calculate[/i] class, but the new class, [i]DateTimeFunctions[/i], was created to make it more obvious where to find functions related to dates.  Both classes will still work for now, but the latter is preferred.

Re: 10/9/2011 10:52 AM
1. Re: ItsAHoliday.   This is a simple function: Bars.MarketInfo.Holidays.Contains(DateTime dt).  You can add holidays to the Markets.xml file, which can be found in the main installation's \Data folder.  Make sure to keep with the proper xml formatting.  Solar calendar only.  You're on your own for a lunar calendar.

2.  Re: ItsAHoliday, ItsAWeekend, CalendarDaysBetweenDates, GetNextTradingdate, AddTradingDays, and etc...
Documentation, if it exists is on the Wiki site.  But since these are self-explanatory, and you have the source code, I think the only thing you need know is what I just described about Holidays being in the Markets.xml file.

[QUOTE]For my above case, to tell the last trading day before the new year day, is DaysBetweenDates or TradingDaysBetweenDates good for replacing WeekdaysBeforeDate?[/QUOTE]Use TradingDaysBetweenDates, the dates can be in any year.  Keep in mind the the holidays in Market.xml.  It seems to be key for you.

Re: 10/9/2011 11:44 AM
I should have read all of what you wrote first!

Re: 10/28/2011 10:35 AM
[CODE]Cone provided a function WeekdaysBeforeDate to choose the date to buy. However, first it doesn't work for the new year day because the years buy and sell are different[/CODE]Sure it works if the dates are in different years.  It only tells you the number of Weekdays there are between 2 dates.

[QUOTE]Second, for each holiday, the number of days the market which is off is not specified[/QUOTE]I'm not entirely sure what you mean by this. You should enter each day that the market is "off" that is not a weekend in Markets.xml.

Maybe it's a stupid question, but why are there Chinese characters in your code?   I'll put your code between CODE tags for you (please click the CODE button before pasting code next time), but I can't promise that we have time to look over all your code.

Cone

#12

10/28/2011 3:01 PM

The error that you get when compiling is due to attempting to use a StrategyParameter as a number. You must use the .Value or .ValueInt method to return a double or integer value, respectively, for a StrategyParameter.

Actually you had the "int" conversions earlier in the code, but you just missed it here.

Eugene

#13

10/28/2011 3:06 PM

btw here's the original class:
http://www.wowpc.cn/thread-10948-1-1.html
http://www.cnblogs.com/Csharpblogs/articles/2122124.html

tradercn

#14

10/28/2011 7:22 PM

Eugene, are you Chinese? :) You are able to read Chinese. Haha! The reason I keep Chinese in the above code is because I am sensitive to Chinese than English.
Yeah, I copied this class as you pointed, and simplified it. After that, I created two functions based on this class. Function one, IsChinaStockHoliday(DateTime dt), is used to tell if the specified date is China's holiday, and return what the holiday it is, for example, New Year, Spring Festival, and etc. Function two, HolidayDate(int intYear, int intHoliday) is used to return the specified solar calendar date by providing the year and what holiday option such as Spring Festival.
Actually all past questions are cleared except one. Let me show you guys the modified strategy code part without the class ChineseCalendar. That contains the problem I could not figure out.

Thanks for your help for this post, especially Cone. I modified the code with Cone's modification above. But I did not use the ValueInt, in stead, I created variables intDaysBeforeHoliday and intDaysAfterHoliday. This strategy still can't generate trade signals. I went though again and again, but no clue so far.

Size:

Color:

Eugene, are you Chinese? :) You are able to read Chinese. Haha! The reason I keep Chinese in the above code is because I am sensitive to Chinese than English.
Yeah, I copied this class as you pointed, and simplified it. After that, I created two functions based on this class. Function one, IsChinaStockHoliday(DateTime dt), is used to tell if the specified date is China's holiday, and return what the holiday it is, for example, New Year, Spring Festival, and etc. Function two, HolidayDate(int intYear, int intHoliday) is used to return the specified solar calendar date by providing the year and what holiday option such as Spring Festival.
Actually all past questions are cleared except one. Let me show you guys the modified strategy code part without the class ChineseCalendar. That contains the problem I could not figure out.
[CODE]
public class BacktestOnly : WealthScript
	{	
		public static int IsChinaStockHoliday(DateTime dt)
		{

#region China Stock Holidays Description
			//China's Stock Market Holidays include Solar, Lunar Calendar holidays 
			//and some of the 24 division days of the solar year.
			//The holidays for stock market includes:
			//Jan 1: New Year Day, return 1;
			//May 1: Labor Day, return 2;
			//Oct 1: National Day, return 3;
			//-------------------
			//Spring Festival, return 4;
			//Tomb-sweeping Day, or Ching Ming Festival, return 5;
			//Dragon Boat Festival, return 6;
			//Mid-autumn Festival, return 7;
			#endregion

int result = 0;

ChineseCalendar cc = new ChineseCalendar(dt);
                        //4: Spring Festival;
			if (cc.ChineseCalendarHoliday == "??")
			{ result = 4; }
                        //6: Dragon Boat Festival;
			else if (cc.ChineseCalendarHoliday == "???")
			{ result = 6; }
                        //7: Mid-autumn Festival;
			else if (cc.ChineseCalendarHoliday == "???")
			{ result = 7; }
                        //5: Tomb-sweeping Day, or Ching Ming Festival;
			if (cc.ChineseTwentyFourDay == "??")
			{ result = 5; }
                        //1: New Year;
			if (cc.DateHoliday == "??")
			{ result = 1; }
                        //2: Labor Day;
			else if (cc.DateHoliday == "???")
			{ result = 2; }
                         //4: National day;
			else if (cc.DateHoliday == "???")
			{ result = 3; }
			return result;

}

public static DateTime HolidayDate(int intYear, int intHoliday)
		{
			#region
			//return the solar calendar date with the specified holiday
			//the parameter intHoliday varies with different meanning
			//Go through the specified year to get the specified Holiday Date;
			//1: New Year Day;
			//2: Labor Day;
			//3: National Day;
			//-------------------
			//4: Spring Festival;
			//5: Tomb-sweeping Day, or Ching Ming Festival;
			//6: Dragon Boat Festival;
			//7: Mid-autumn Festival;
			#endregion

//number of days in each month;
			int intDaysPerMonth;
			//temporary variable for days in one month;
			int intListDay=1;
			DateTime dt= new DateTime();

for (int intListMonth = 1; intListMonth < 12; intListMonth++)
			{
				intDaysPerMonth = DateTime.DaysInMonth(intYear, intListMonth);

for (intListDay = 1; intListDay < intDaysPerMonth; intListDay++)
				{
					dt = new DateTime(intYear, intListMonth, intListDay);
					if (IsChinaStockHoliday(dt) == intHoliday)
					{
						break;
					}
                    
				}
				if (IsChinaStockHoliday(dt) == intHoliday)
				{
					break;
				}
			}
			return dt;

}
		
		private StrategyParameter HolidayOption;
		private StrategyParameter DaysBeforeHoliday;
		private StrategyParameter DaysAfterHoliday;
		
		public BacktestOnly()
		{
			//HolidayOption is the parameter which is used to optimize strategy.
			//Choose HolidayOption to test the following holidays.
			//1 - New Year Day;
			//2 - Labor Day;
			//3 - National Day;
			//4 - Spring Festival;
			//5 - Tomb-sweeping Day, or Ching Ming Festival;
			//6 - Dragon Boat Festival;
			//7 - Mid-autumn Festival;
			HolidayOption = CreateParameter("China Stock Market Holiday", 4, 1, 7, 1);
			DaysBeforeHoliday = CreateParameter("Days Before the Holiday", 1, 1, 10, 1);
			DaysAfterHoliday = CreateParameter("Days After the Holiday", 1, 1, 10, 1);
		}
		
		protected override void Execute()
		{
			//ClearDebug();
			//intHolidayOption: indicates which holiday, defaul is 4, which indicates National Day;
			//intDaysBeforeHoliday: indicates when to long, default is 1, which indicates the last trading day before the holiday;
			//intDaysAfterHoliday: indicates when to sell, default is 1, which indicates the first trading day after the holiday;
			int intHolidayOption =(int) HolidayOption.Value;
			int intDaysBeforeHoliday = (int) DaysBeforeHoliday.Value;
			int intDaysAfterHoliday = (int) DaysAfterHoliday.Value;
			
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				DateTime date = HolidayDate (Date[bar].Year, intHolidayOption);
				
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
							
						if (Bars.Date[bar] > date && Bars.Date[bar-1]<date)
						{
							BuyAtMarket(bar - intDaysBeforeHoliday, "Group1|");
							SellAtClose((bar + intDaysAfterHoliday, p, "Group1");
						}
					}
				}
				
				
			}
		}
	}
[/CODE]
Thanks for your help for this post, especially Cone. I modified the code with Cone's modification above. But I did not use the ValueInt, in stead, I created variables intDaysBeforeHoliday and intDaysAfterHoliday. This strategy still can't generate trade signals. I went though again and again, but no clue so far.

tradercn

#15

10/28/2011 7:52 PM

Found the problem, but don't know how to fix it.
IsLastPositionActive is returned as False. so that if (IsLastPositionActive) was flowed to do nothing. I changed this sentence to be if (IsLastPositionActive==false) , the compiler showed a run-time error. what's wrong with it please?

Eugene

#16

10/29/2011 2:28 AM

Certainly your WealthScript strategy is problematic though it's not the biggest trouble. It should look something like this:

However, the problem as I see it lies in a rather poor design of the ChineseCalendar class, forcing its user to create an instance of it on each bar of the loop due to the fact that it's initialized with a single Date. Therefore it should be refactored to have a parameterless constructor and a Date property that would be looked up by any of its methods.

tradercn

#17

10/29/2011 9:02 AM

Eugene, I changed my codes in your way. But the number of the trades are not right based on the index data from Jan 1 1997 to Dec 31 2006. But thanks anyway first.
1, If I set HolidayOption as 1, or New Year Day, There are 0 trade;
2, If I set HolidayOption as 2, or Labor Day. There are only 7 trades in 10 years data;
3, If I set HolidayOption as 3, or National Day. There are only 4 trades in 10 years data;
4, If I set HolidayOption as 4, or Spring Festival. There is no trade;
5, If I set HolidayOption as 5, or Ching Ming Festival. There are only 7 trades in 10 years data;
6, If I set HolidayOption as 6, or Dragon Boat Festival.There are only 8 trades in 10 years data;
7, If I set HolidayOption as 7, or Mid-autumn Festival, There are only 7 trades in 10 years data.
Yes, the ChineseCalendar class do create an instance of it on each bar of the loop. But without doing that, how can we tell when is closest holiday. My program knowledge is very limited, so far I can't fully understand what you said technically. Even I can't tell what is the problem of ChineseCalendar. You might be able to modify it in your understanding. :)
I will try to work on solve the above problem, but not confident. If you are able to help me for these problems, you will be greatly appreciated.

Eugene

#18

10/29/2011 10:36 AM

What if you change it this way?

tradercn

#19

10/29/2011 4:16 PM

Hi Eugene, Thanks for your modification. It is ok but trade signals are triggered in the wrong date. however it gave me a clue to change it. Here is my modification:

It is almost perfect for all china stock market holidays, but except New Year Day. No trade signals are generated for New Year Day. :) I don't have any clue for that. Could you please take time to think about this code again? Sorry to bother you again.

Eugene

#20

10/30/2011 2:17 AM

If one particular holiday date (i.e. New Year) is problematic, then I think it's time to revisit the part of the ChineseCalendar class which is in charge of determining New Year.

tradercn

#21

10/30/2011 5:47 PM

Hi Eugene,

To prove your answer is right, I removed the ChineseCalendar class and my two customized functions completely from my strategy. Then the holiday was forced to be the new year day specially. Here is the code, but it can't generate trade signal neither.

That means the reason of no signal is regardless of ChineseCalendar class. There should be a simple reason, I guess. Maybe it is something we ignored. FYI.
Although I tested trading new year day in a manual way, it is not a good idea, but I wish this strategy is perfect. Hopefully you understand.

Size:

Color:

Hi Eugene,

To prove your answer is right, I removed the ChineseCalendar class and my two customized functions completely from my strategy. Then the holiday was forced to be the new year day specially. Here is the code, but it can't generate trade signal neither.
[CODE]

using System;
using System.Collections;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;
using System.Windows.Forms;

namespace WealthLab.Strategies
{

public class BacktestOnly : WealthScript
	{	
		private StrategyParameter DaysBeforeHoliday;
		private StrategyParameter DaysAfterHoliday;
		
		public BacktestOnly()
		{
			DaysBeforeHoliday = CreateParameter("Days Before the Holiday", 1, 1, 10, 1);
			DaysAfterHoliday = CreateParameter("Days After the Holiday", 1, 1, 10, 1);
		}
		
		protected override void Execute()
		{
			//ClearDebug();
			//intDaysBeforeHoliday: indicates when to long, default is 1, which indicates the last trading day before the holiday;
			//intDaysAfterHoliday: indicates when to sell, default is 1, which indicates the first trading day after the holiday;

int intDaysBeforeHoliday = (int) DaysBeforeHoliday.Value;
			int intDaysAfterHoliday = (int) DaysAfterHoliday.Value;
			
			
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				DateTime date = new DateTime (Date[bar].Year, 01, 01);
				int Bar = DateTimeToBar( date, false );

if (IsLastPositionActive)
				{

if( Bar != -1 )
						if( bar - intDaysAfterHoliday +1 == Bar )
							SellAtClose( bar, LastPosition ); 
				}
				else
				{
					if( Bar != -1 )
						if( bar == Bar - intDaysBeforeHoliday)
							BuyAtMarket(bar);
					
				}

}
		}
	}
}

[/CODE]
That means the reason of no signal is regardless of ChineseCalendar class. There should be a simple reason, I guess. Maybe it is something we ignored. FYI.
Although I tested trading new year day in a manual way, it is not a good idea, but I wish this strategy is perfect. Hopefully you understand.

Eugene

#22

10/31/2011 7:41 AM

How about peeking into the future a bit? Buying on one of the preceding bars seems perfectly valid in the context:

P.S. Instead of casting a .Value to (int), simply use .ValueInt like shown above.

tradercn

#23

10/31/2011 6:36 PM

It is much better. But if I change the DaysAfterHoliday value, it is interesting that the sell dates don't change when DaysAfterHoliday varies from 1 to 2. When I set DaysAfterHoliday as 1, the sell signal triggers at the 2nd day rather than the 1st day after the holiday. I don't know why. thanks.

tradercn

#24

11/1/2011 10:05 AM

Based on your guys help, I modified my code, eventually it works perfect. Here is the code.

Eugene

#25

11/1/2011 10:27 AM

Good news!

You might want to publish the strategy's original XML file (which preserves Chinese characters):

Upload your Strategy

If you get to publishing it, please provide some description (use the Description box in Strategy Editor in WLD). Thanks!

tradercn

#26

11/1/2011 9:35 PM

Hi Eugene, I did not see the description box as you mentioned above, that's why I uploaded this strategy directly.
To make this strategy successfully, you and cone helped me a lot. Thanks for both of you.

Eugene

#27

11/2/2011 1:34 AM

Already replied in a support ticket.

tradercn

#28

11/3/2011 10:27 AM

It is done. Please let me know if it is good.

Eugene

#29

11/3/2011 11:16 AM

You need to upload it and click "Publish".

tradercn

#30

11/3/2011 11:21 AM

I guess it is ok now. You are so patient, Eugene. You guided me step by step. Thanks so much. :)

Eugene

#31

11/3/2011 12:30 PM

We're almost there. One more step left. See the technician comment I just posted to your strategy.

tradercn

#32

11/4/2011 3:45 PM

Eugene, I don't understand the technician comment even after you explained in the support. I could not see the description you mentioned in the previous ticket.

Eugene

#33

11/4/2011 4:33 PM

It was attached to my reply to your closed ticket. Notice the attachment icon? I even left complete instructions.

tradercn

#34

11/4/2011 4:53 PM

Great! It is re-uploaded! Thank you so much.

tradercn

#35

11/5/2011 8:34 AM

Hi Eugene,

I saw this strategy was published successfully and was approved, but where can I see it on the forum? Thanks.

I found it eventually. Forget this reply please. Thank you anyway.

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