Turn Of The Month Trading Strategy (Amibroker And Tradestation Code)

The strategy in plain English:

We go long at the close on the fifth last trading day of the month, and we exit after seven days, ie. at the close of the third trading day of the next month. Thus, the strategy is invested around 33% of the time.

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Amibroker code:

Buy= Ref(Month(),4)!=Ref(Month(),5);

buyPrice=Close;

Sell= Ref(Month(),-2)!=Ref(Month(),-3);

sellPrice=Close ;

Tradestation code:

If DaysBeforeEOM(date) = 5 Then

buy this bar on Close;

If DaysFromBOM(date) = 3 Then

sell this bar on Close;

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