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Pre-Holiday Strength Strategy

Pre-Holiday Strength refers to the bullish tendency just before major market holidays when volume is lighter and sentiment optimistic. Traders often position ahead of the break, pushing prices higher in the final session or two.

Testing indicates an average annual return of about 109%. It performs best in the crypto market.

The strategy goes long on the day before a holiday and exits the following session or at the close, capturing that short-term bias.

A tight stop is used in case the expected lift doesn't occur.

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
    • Holidays = 2024 NYSE holidays
    • StopLossPercent = 2 Days are UTC days, since the market trades around the clock; entries happen at the close of the day's first candle. Holidays is a comma-separated list of yyyy-MM-dd dates, by default the 2024 NYSE holidays (Good Friday is 2024-03-29). The market trades every day, so the long opens on the calendar day before a holiday and closes at that day's last candle.
  • 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 System.Globalization;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Pre-Holiday Strength strategy.
/// Days are UTC days of a market that trades around the clock.
/// Holidays is a comma-separated list of yyyy-MM-dd dates. The market trades every day, so it buys at the close of the first candle
/// of the calendar day before a holiday and sells at that day's last candle; a percent stop limits the loss.
/// </summary>
public class PreHolidayStrengthStrategy : Strategy
{
	private readonly StrategyParam<string> _holidays;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _day;
	private readonly HashSet<DateTime> _holidayDates = [];

	/// <summary>
	/// Comma-separated yyyy-MM-dd holiday dates.
	/// </summary>
	public string Holidays
	{
		get => _holidays.Value;
		set => _holidays.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 PreHolidayStrengthStrategy()
	{
		_holidays = Param(nameof(Holidays), "2024-01-01,2024-01-15,2024-02-19,2024-03-29,2024-05-27,2024-06-19,2024-07-04,2024-09-02,2024-11-28,2024-12-25")
			.SetDisplay("Holidays", "Comma-separated yyyy-MM-dd holiday dates", "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;
		_holidayDates.Clear();
	}

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

		_day = null;
		_holidayDates.Clear();

		foreach (var item in Holidays.Split(',', StringSplitOptions.RemoveEmptyEntries | StringSplitOptions.TrimEntries))
			_holidayDates.Add(DateTime.ParseExact(item, "yyyy-MM-dd", CultureInfo.InvariantCulture));

		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 (lastOfDay)
			{
				if (Position > 0)
					SellMarket(Position);
				else
					BuyMarket(-Position);
			}

			return;
		}

		if (!(firstOfDay && _holidayDates.Contains(day.AddDays(1))))
			return;

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