Hello,
I would like to implement a "turn-of-the-month' trading strategy in R.
Given a daily series of stock market return data as a zoo object, the strategy
would go long (buy) four trading days before the end of the month, and sell the
third trading day of the following month.
How can I select these days, particularly the fourth day before and the third
day after the turn of the month, from a zoo object?
Thanks in advance,
John B. Nicholas, Ph.D
650-315-9895
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