MultiCharts: Trading Software for Automated Trading and Backtesting

Posted: **01 Oct 2010**

Hi.

I'd like some help with the following signal:

// set the begin of a new month with a true/false condition

if month(date) <> month(date)[1] then 

    condition1 = true

    else 

    condition1 = false;    



// set te limit for the week with a true/false condition

If DayOfWeek(Date) >= Monday and DayOfWeek(Date) <= Friday then 

    condition2 = true

    else 

    condition2 = false;    

        

// set a long position at the open of the nex bar if the previous 2 conditions are true

if condition1 = true and condition2 = true then

    buy next bar at open;



// close the long position opened previously at the session open

setexitonclose;

This signal buys the market at the open and close that same position at the close for the first day of each month.
Now, my question is, what about the second or the third day of the month?

How can I specified a specific day of the month, taking in consideration that condition2 is true? How can I say that I want to buy at the 11th day of the month, in this case, the 11th trading day of the month and not the 11th calendar day of the month?

Best regards,
Fernando

Posted: **01 Oct 2010**

... How can I say that I want to buy at the 11th day of the month, in this case, the 11th trading day of the month and not the 11th calendar day of the month?

Best regards,
Fernando

just create a counter...

reset the counter to zero at the beginning of the month,
increment the counter for each new day...
since there is no Saturday, Sunday or holidays on the chart,
the counter will only count trading days.

Posted: **02 Oct 2010**

Hi TJ.

OK, counter created:

Code: Select all

inputs:

    TradingDayNumber    (1);



variables:

    newMonth        (false),

    newDay            (false),

    monthCounter        (0),

    dayCounter        (0);    

    

// set the begin of a new month with a true/false condition

if month(date) <> month(date)[1] then begin

    newMonth = true;

    dayCounter = 1; // reset day count

    end

    else begin 

    newMonth = false;

    

    // initiate day count

    if date <> date[1] then begin

        dayCounter = dayCounter + 1;

    end;

end;



// set a long position at the open of the nex bar if the previous 2 conditions are true

if newMonth = true then 

    buy next bar at open;



// close the long position opened previously at the session open

setexitonclose;

Now I have the problem with linking the input TradingDayNumber with the variable DayCounter, so I can choose the day number on which I want to apply the signal.

Can you shine some light on it?
Tried something like:

Code: Select all

if newMonth = true then begin

    if TradingDayNumber = dayCounter then

        buy next bar at open;

end;

but had no luck

Fernando

Posted: **02 Oct 2010**

Hi TJ.
...but had no luck

Fernando

what do you mean by "...but had no luck" ?

-- no trigger?
-- triggered on wrong day? wrong bar?

they are 2 different problems and have to be handled differently.

Posted: **02 Oct 2010**

This is my suggestion for an intraday strategy.
note: this is the first coding run, I have not tested it on MC.

highlights:
1. no need for month count.
2. [intrabarordergeneration=true]
3. the order will be triggered on the first tick of "TradingDayNumber"

Code: Select all


[intrabarordergeneration=true] 



inputs:

    TradingDayNumber    (11);



variables:

    dayCounter        (0);    

    

 // reset daycount to zero at beginning of month

if month(date) <> month(date)[1] then 

    dayCounter = 0;

    

// increment daycount everyday

if date <> date[1] then

     dayCounter = dayCounter + 1;



// set a long position at the open if TradingDayNumber = dayCounter

if TradingDayNumber = dayCounter then 

    buy next bar at market;



// close the long position at EOD

setexitonclose;

Posted: **02 Oct 2010**

suggestion:

when coding a strategy,
always start with an indicator...

instead of a buy statement, use a plot statement to verify the logic is triggered in the right time/place.

when the indicator works, then replace the plot with the buy statement.

Posted: **02 Oct 2010**

note:

setexitonclose maybe used for testing, but it is not recommended for live trading.

It takes time to transmit the order to the exchange floor,
most brokers require the last order to be submitted at least 3 minutes before the session close.

Posted: **03 Oct 2010**

Hi TJ.

Thanks for the updates.

I took in consideration your suggestion and note and now I have created a time stop for the open long position:

Code: Select all

[intrabarordergeneration = true]



inputs:

    TradingDayNumber        (11),

    endTime            (1500);



variables:

    dayCounter        (0),

    dayClose            (0);   

   

// reset the counter every month

if month(date) <> month(date[1]) then

    dayCounter = 0; // reset day count to zero at beginning of month

   

// increment daycount everyday

if date <> date[1] then begin

    dayCounter = dayCounter + 1;

    // set a long position if TradingDayNumber = dayCounter

    if TradingDayNumber = dayCounter then begin

             buy next bar at market;

        end;

end;



// close the long position at the time selected in the input

if time = endTime then begin

    if marketposition = 1 then // confirms that we have a long position open

        sell next bar at market;

end;

I was forced to move the buy order statement inside the daycount statement since the way you wrote it was generating 2 orders, one on the selected day and the other on the following day.

Posted: **05 Oct 2010**

I am glad to hear you have got it working.

MultiCharts: Trading Software for Automated Trading and Backtesting

day of month

day of month

Re: day of month

Re: day of month

Re: day of month

Re: day of month

Re: day of month

Re: day of month

Re: day of month

Re: day of month