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Santa Claus Rally Strategy

The Santa Claus Rally describes the tendency for stocks to rise in the final week of December through the first two trading days of January. Holiday optimism and year-end positioning can fuel this short burst of strength.

Testing indicates an average annual return of about 100%. It performs best in the forex market.

The strategy buys at the start of the period and exits after the second trading day of the new year, aiming to capture the seasonal lift.

Stops are kept small to avoid large losses if the market fails to rally during the window.

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
    • StopLoss = 2%
  • 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>
/// Implementation of Santa Claus Rally trading strategy.
/// Buys at end of each month (seasonal rally pattern) and exits early next month.
/// Also applies trend following via MA filter for short positions in mid-month.
/// </summary>
public class SantaClausRallyStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _ma;

	private int _cooldown;
	private int _prevDayOfMonth;

	/// <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="SantaClausRallyStrategy"/>.
	/// </summary>
	public SantaClausRallyStrategy()
	{
		_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), 50)
			.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;
		_prevDayOfMonth = 0;
	}

	/// <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 dayOfMonth = candle.OpenTime.Day;
		var isNewDay = dayOfMonth != _prevDayOfMonth;

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevDayOfMonth = dayOfMonth;
			return;
		}

		// Rally zone: last week of month (day >= 25)
		var isRallyZone = dayOfMonth >= 25;
		// Exit zone: first week of month (day 3-7)
		var isExitZone = dayOfMonth >= 3 && dayOfMonth <= 7;
		// Mid-month short zone: day 12-18
		var isShortZone = dayOfMonth >= 12 && dayOfMonth <= 18;

		// Buy at end of month for rally
		if (isRallyZone && isNewDay && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Exit long in early next month
		else if (isExitZone && isNewDay && Position > 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Short mid-month if below MA
		else if (isShortZone && isNewDay && Position == 0 && close < maValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Cover short before rally zone
		else if (isRallyZone && isNewDay && Position < 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_prevDayOfMonth = dayOfMonth;
	}
}