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End of Month Strength Strategy

End of Month Strength observes that equities often rally during the last few trading days as portfolio managers adjust holdings. Buying pressure tied to window dressing can create a reliable upward bias ahead of the monthly close.

Testing indicates an average annual return of about 94%. It performs best in the stocks market.

The strategy buys near the final days of the month and exits on the first trading day of the new month to capture that tendency.

Stops are placed below recent support to guard against unexpected weakness.

Details

  • Entry Criteria: calendar effect triggers
  • Long/Short: Both
  • Exit Criteria: stop-loss or opposite signal
  • Stops: Yes, percent based
  • Default Values:
    • CandleType = 15 minute
    • DaysBeforeMonthEnd = 3
    • StopLossPercent = 2 Days are UTC days, since the market trades around the clock; entries happen at the close of the day's first candle. The long opens on each of the month's last DaysBeforeMonthEnd days while flat and closes at the first candle of the new month.
  • Filters:
    • Category: Seasonality
    • Direction: Both
    • Indicators: Seasonality
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: Yes
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// End of Month Strength strategy.
/// Days are UTC days of a market that trades around the clock.
/// It buys at the close of the first candle of each of the month's last DaysBeforeMonthEnd days while flat and sells
/// at the close of the first candle of the new month; a percent stop limits the loss.
/// </summary>
public class EndOfMonthStrengthStrategy : Strategy
{
	private readonly StrategyParam<int> _daysBeforeMonthEnd;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _day;

	/// <summary>
	/// How many final days of the month to hold.
	/// </summary>
	public int DaysBeforeMonthEnd
	{
		get => _daysBeforeMonthEnd.Value;
		set => _daysBeforeMonthEnd.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public EndOfMonthStrengthStrategy()
	{
		_daysBeforeMonthEnd = Param(nameof(DaysBeforeMonthEnd), 3)
			.SetGreaterThanZero()
			.SetDisplay("Days Before Month End", "How many final days of the month to hold", "Calendar");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_day = null;
	}

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

		_day = null;
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		var day = candle.OpenTime.Date;
		var firstOfDay = _day != day;

		if (firstOfDay)
		{
			_day = day;
		}

		// The candle is the day's last when the next one would open on another day.
		var frame = CandleType.Arg is TimeSpan tf ? tf : TimeSpan.Zero;
		var lastOfDay = (candle.OpenTime + frame).Date != day;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0)
		{
			if (firstOfDay && day.Day == 1)
			{
				if (Position > 0)
					SellMarket(Position);
				else
					BuyMarket(-Position);
			}

			return;
		}

		if (!(firstOfDay && day.Day > DateTime.DaysInMonth(day.Year, day.Month) - DaysBeforeMonthEnd))
			return;

		if ((1) > 0)
			BuyMarket(Volume);
		else
			SellMarket(Volume);
	}
}