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Here is a simple method, to buy 5 days before and sell 5 days after
m = month()!=ref(month(),-1);
buy = ref( m, 5 );
sell = ref( m, -5 );
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
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On 05/12/06, KBGlenn <kbglenn@xxxxxxxxx> wrote:
>
> I am trying to backtest a system whereby you find the last trading day
> of the month and then buy x days before that and sell y days after it.
> I've tried everything I can think of but I have not been unable to
> figure out how to get around days where the market is not open. I've
> been focused on the dayofyear, month, day, and dayofweek function, but
> I can't seem to break the code.
>
> Could someone please give me a point on this one?
>
> Thank you.
>
>
>
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