Hello everyone I have been trying to create a function to define trading day of month as used in the Larry Williams books. For example if Monday was the 1st of the month then Friday would be the 5th trading day of the month. Markets are shut Saturday and Sunday so Monday the 8th would be trading day of the month 6.
Does anyone have any ideas how to create this?
I’m completely stumped.
Thanks a lot
Joe
Attached is a simple approach which may work for you. It's based on the fact that scheduled functions are always executed in the order in which they appear in the code. The first function scheduled will be the first function executed. Additionally, scheduled functions are only run on trading days. One can use this behavior to reset a counter at the beginning of each month and then increment it every trading day. It does however have a few of caveats:
- trading day will be nan at first if the backtest is started mid-month
- trading day is only valid in functions scheduled after the reset and increment functions
- trading day is not valid in before_trading_start or handle_data
Give it a try.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
