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Zahltag-Anomalie-Strategie

Diese Strategie nutzt den "Zahltag"-Effekt, indem sie um typische Gehaltszahlungstermine einen breiten Markt-ETF hält. Der ETF wird ab zwei Handelstagen vor Monatsende bis zum dritten Handelstag des neuen Monats gehalten, um die Zuflüsse aus Gehaltseinzahlungen zu erfassen.

Den Rest des Monats ist das Portfolio in Cash. Tageskerzen bestimmen das Fenster und Marktaufträge passen die Position an.

Details

  • Instrument: breiter Markt-ETF.
  • Fenster: von zwei Tagen vor Monatsende bis zum dritten Handelstag des nächsten Monats.
  • Positionierung: Long während des Fensters, sonst ohne Position.
  • Daten: Tageskerzen.
  • Risikokontrolle: Handel übersprungen, wenn der Auftragswert unter MinTradeUsd liegt.
// PaydayAnomalyStrategy.cs
// -----------------------------------------------------------------------------
// Holds market ETF only during days -2..+3 around typical U.S. payday
// (assume salary hits 1st business day of month). Long ETF from two trading
// days before month‑end through third trading day of new month.
// Trigger: daily candle close.
// -----------------------------------------------------------------------------
// Date: 2 Aug 2025
// -----------------------------------------------------------------------------
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Payday anomaly strategy.
/// Holds market ETF during the payday window.
/// </summary>
public class PaydayAnomalyStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// The type of candles to use for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	private readonly Dictionary<Security, decimal> _latestPrices = [];
	private DateTime _last = DateTime.MinValue;
	private int _enteredMonthKey;
	private int _exitedMonthKey;

	public PaydayAnomalyStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	public override IEnumerable<(Security, DataType)> GetWorkingSecurities()
	{
		if (Security == null)
			throw new InvalidOperationException("Security not set");
		yield return (Security, CandleType);
	}

	
	protected override void OnReseted()
	{
		base.OnReseted();

		_latestPrices.Clear();
		_last = default;
		_enteredMonthKey = 0;
		_exitedMonthKey = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		if (Security == null)
			throw new InvalidOperationException("Security not set");
		base.OnStarted2(time);
		SubscribeCandles(CandleType, true, Security).Bind(c => ProcessCandle(c, Security)).Start();
	}

	private void ProcessCandle(ICandleMessage candle, Security security)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Store the latest closing price for this security
		_latestPrices[security] = candle.ClosePrice;

		OnDaily(candle.OpenTime.Date);
	}

	private void OnDaily(DateTime d)
	{
		if (d == _last)
			return;
		_last = d;

		var monthKey = (d.Year * 100) + d.Month;
		int tdMonthEnd = TradingDaysLeftInMonth(d);
		int tdMonthStart = TradingDayNumber(d);
		bool inWindow = tdMonthEnd <= 2 || tdMonthStart <= 3;

		if (inWindow && Position == 0 && _enteredMonthKey != monthKey)
		{
			BuyMarket();
			_enteredMonthKey = monthKey;
			_exitedMonthKey = 0;
		}
		else if (!inWindow && Position > 0 && _enteredMonthKey == monthKey && _exitedMonthKey != monthKey)
		{
			SellMarket(Position);
			_exitedMonthKey = monthKey;
		}
	}

	private decimal GetLatestPrice(Security security)
	{
		return _latestPrices.TryGetValue(security, out var price) ? price : 0m;
	}

	private int TradingDaysLeftInMonth(DateTime d)
	{
		int cnt = 0;
		var cur = d;
		while (cur.Month == d.Month)
		{ 
			// Simple approximation: assume weekdays are trading days
			if (cur.DayOfWeek != DayOfWeek.Saturday && cur.DayOfWeek != DayOfWeek.Sunday) 
				cnt++; 
			cur = cur.AddDays(1); 
		}
		return cnt - 1;
	}

	private int TradingDayNumber(DateTime d)
	{
		int num = 0;
		var cur = new DateTime(d.Year, d.Month, 1);
		while (cur <= d)
		{ 
			// Simple approximation: assume weekdays are trading days
			if (cur.DayOfWeek != DayOfWeek.Saturday && cur.DayOfWeek != DayOfWeek.Sunday) 
				num++; 
			cur = cur.AddDays(1); 
		}
		return num;
	}
}