|
PureBytes Links
Trading Reference Links
|
>Just build a function to include in your backtest strategy
>
>LastDayOfMonth code would go something like this
>
>----------------------
>
>LastDayOfMonth = false;
>
>if D = 1040131 or
> D = 1040228 or
> D = 1040330 or
> D = 1040430 then LastDayOfMonth = true;
>
>---------------------------
>
>Just keep adding dates for last day of month in the
>conditions. Make sure you put in the real last trading day of the
>month, not just final day as in the examples above. Do your full
>history once to have it for any backtest. Update it once a month to
>keep it current.
That really is brute force, and it wouldn't work unless the dates
were last trading days of the month, not last calendar days.
Sometimes the last calendar day will occur on a weekend.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
|