Deutsch DE
Auf GitHub ansehen

Montags-Schwäche-Strategie

Die Montags-Schwäche beschreibt, dass Aktien nach dem Wochenende häufig tiefer eröffnen, da Trader Nachrichten verarbeiten und Positionen umschichten. Kurzfristiger Baissdruck kann zu Wochenbeginn auftreten, bevor sich die Märkte stabilisieren.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 106%. Sie funktioniert am besten am Aktienmarkt.

Die Strategie geht bei der Montagseröffnung short und schließt die Position zum Börsenschluss, um von dieser anfänglichen Schwäche zu profitieren.

Stops werden eng gehalten, um Verluste zu vermeiden, falls der Markt die Tendenz bricht und steigt.

Details

  • Einstiegskriterien: Kalendereffekt-Auslöser
  • Long/Short: Beide
  • Ausstiegskriterien: Stop-Loss oder entgegengesetztes Signal
  • Stops: Ja, prozentbasiert
  • Standardwerte:
    • CandleType = 15 minute
    • StopLoss = 2%
  • Filter:
    • Kategorie: Saisonalität
    • Richtung: Beide
    • Indikatoren: Saisonalität
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Intraday
    • Saisonalität: Ja
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Implementation of Monday Weakness trading strategy.
/// Sells short on Monday if price below MA, covers on Wednesday.
/// Buys on Thursday if price above MA, exits Friday.
/// </summary>
public class MondayWeaknessStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _ma;

	private int _cooldown;
	private DayOfWeek _prevDayOfWeek;
	private bool _enteredThisDay;

	/// <summary>
	/// Moving average period.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="MondayWeaknessStrategy"/>.
	/// </summary>
	public MondayWeaknessStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Moving average period for trend confirmation", "Strategy");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for strategy", "Strategy");

		_cooldownBars = Param(nameof(CooldownBars), 30)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_ma = default;
		_cooldown = 0;
		_prevDayOfWeek = DayOfWeek.Sunday;
		_enteredThisDay = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_ma = new SimpleMovingAverage { Length = MaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ma, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ma);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal maValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var dayOfWeek = candle.OpenTime.DayOfWeek;

		// Reset entry flag on new day
		if (dayOfWeek != _prevDayOfWeek)
			_enteredThisDay = false;

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevDayOfWeek = dayOfWeek;
			return;
		}

		// Monday: sell short if price below MA
		if (dayOfWeek == DayOfWeek.Monday && !_enteredThisDay && Position == 0 && close < maValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
			_enteredThisDay = true;
		}
		// Wednesday: cover short
		else if (dayOfWeek == DayOfWeek.Wednesday && Position < 0 && !_enteredThisDay)
		{
			BuyMarket();
			_cooldown = CooldownBars;
			_enteredThisDay = true;
		}
		// Thursday: buy if above MA
		else if (dayOfWeek == DayOfWeek.Thursday && !_enteredThisDay && Position == 0 && close > maValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
			_enteredThisDay = true;
		}
		// Friday: exit long
		else if (dayOfWeek == DayOfWeek.Friday && Position > 0 && !_enteredThisDay)
		{
			SellMarket();
			_cooldown = CooldownBars;
			_enteredThisDay = true;
		}

		_prevDayOfWeek = dayOfWeek;
	}
}