Buy X trading days before EOM and sell Y trading days of the next month

Author: tpoto

Creation Date: 1/19/2009 2:05 PM

Wealth Lab » Trading Strategies » Buy X trading days before EOM and sell Y trading days of the next month

tpoto

1/19/2009 2:05 PM

I'm try to write a script that
Buys: 6 market days before the end of the month and
Sell: 2nd market day of the following month.

Tried the get(month) and get(day) but the trade
dates seem not to be correct- probably logic is faulty?

This following script buys on the 29th of the month
in many cases. Can't see how it calculates that.

Thanks

CODE:
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Cone

1/19/2009 2:08 PM

Since you posted in the .NET >> General forum, are you looking for this to work in Version 4 or for a translation to C#?

Please look for the appropriate forum to avoid doubts like these.

tpoto

1/19/2009 2:20 PM

Looking for the code in version 4.

(please provide the link where I can ask ver. 4 questions)

thanks

Eugene

1/19/2009 2:26 PM

Please notice the Wealth-Lab 4 forums link on the left.

tpoto

1/21/2009 9:51 AM

I am trying to upgrade the program that Eugene was kind enought to write for me-
to WLP 5.1 (via the translator)

It does not like the Date Study VI.
I looked at the WIKI for workarounds, but found none.
Any suggestions.
Thanks (hope I posted this in the correct forum...)

CODE:
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Eugene

1/21/2009 10:17 AM

1) Please use the CODE tags, it's dead simple and they exist for a reason.

QUOTE:
I am trying to upgrade the program that Eugene was kind enought to write for me-
to WLP 5.1 (via the translator)

It does not like the Date Study VI.

2) Yes, this seems to be the case. Please keep in mind that if you face an issue with WealthScript Translator, the best way is to report it directly to the developer (Dr. Koch) on his dedicated forum.

P.S.

QUOTE:
I looked at the WIKI for workarounds, but found none.

The universal Wiki answer to date-related functions is "think .NET instead". However, fundtimer's function isn't that simple and requires some effort to re-code it in C#.

Eugene

1/21/2009 10:52 AM

Well... here is a quick workaround that doesn't take holidays into account:

CODE:
Please log in to see this code.

Accounting for holidays with their floating nature is a PITA, sorry.

Let me add that fundtimer's function was versatile enough to return the remaining trading days in a week or year as well. This one is limited to "days in month" scenario.

Size:

Color:

Well... here is a quick workaround that doesn't take holidays into account:

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

namespace WealthLab.Strategies
{
	public class EOM : WealthScript
	{
		/*	I'm trying to write a script that 
			Buys: 6 market days before the end of the month and
			Sell: 2nd market day of the following month.
		*/
		
		public static int GetRemainingTradingDays( DateTime DateFrom )
		{
			DateTime DateTo = new DateTime(DateFrom.Year, 
				DateFrom.Month, 1).AddMonths(1).Subtract(new TimeSpan(1, 0, 0, 0, 0));
			
			int totalWorkingDaysElapsed = 0;

while(DateFrom.CompareTo(DateTo) != 0)
			{
				DateFrom = DateFrom.AddDays(1);

if(DateFrom.DayOfWeek == DayOfWeek.Saturday || DateFrom.DayOfWeek == DayOfWeek.Sunday)
					continue;

++totalWorkingDaysElapsed;
			}

return totalWorkingDaysElapsed;
		}
		
		private StrategyParameter paramNth;
		private StrategyParameter paramDaysR;
		
		public EOM()
		{
			paramNth = CreateParameter("Nth", 2, 1, 4, 1);
			paramDaysR = CreateParameter("Remaining Days", 6, 2, 8, 1);
		}
		
		protected override void Execute()
		{			
			int remaining = 0; int newMonth = -1;
			int days = paramDaysR.ValueInt;
			int Nth = paramNth.ValueInt;
			
			for(int bar = Math.Max( days, Nth ); bar < Bars.Count; bar++)
			{
				// Month has changed
				if( Date[bar].Month != Date[bar-1].Month ) newMonth = bar;
				// Remaining days
				remaining = GetRemainingTradingDays( Date[bar] );
				
				if (IsLastPositionActive)
				{
					if( ( newMonth > 0 ) & ( bar == newMonth + Nth - 1 ) )
						SellAtMarket( bar, LastPosition );
				}
				else
				{
					
					if( remaining <= days )
						BuyAtMarket( bar, remaining.ToString() );

}
			}
		}
	}
}[/CODE]

Accounting for holidays with their floating nature is a PITA, sorry.

Let me add that fundtimer's function was versatile enough to return the remaining trading days in a week or year as well. This one is limited to "days in month" scenario.