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Quarterly Expiry Strategy

Quarterly Expiry weeks see futures and options contracts roll over, often creating volatility as positions are closed or rolled. Price swings can accelerate as hedges are adjusted and liquidity temporarily dries up.

Testing indicates an average annual return of about 115%. It performs best in the stocks market.

The strategy trades in the direction of the prevailing trend at the start of the week, exiting before settlement day to avoid chaos.

A fixed stop keeps risk in line if volatility proves too extreme.

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 Quarterly Expiry trading strategy.
/// Trades around monthly expiry dates (3rd Friday area of each month).
/// Buys if above MA in expiry week, sells if below. Exits next week.
/// </summary>
public class QuarterlyExpiryStrategy : 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="QuarterlyExpiryStrategy"/>.
	/// </summary>
	public QuarterlyExpiryStrategy()
	{
		_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;
		}

		// Expiry week zone: day 15-19 (around 3rd Friday of each month)
		var isExpiryWeek = dayOfMonth >= 15 && dayOfMonth <= 19;
		// Post-expiry exit zone: day 22-25
		var isPostExpiry = dayOfMonth >= 22 && dayOfMonth <= 25;
		// Start of month entry zone: day 1-5
		var isStartOfMonth = dayOfMonth >= 1 && dayOfMonth <= 5;
		// Pre-expiry exit: day 12-14
		var isPreExpiry = dayOfMonth >= 12 && dayOfMonth <= 14;

		// Entry in expiry week: buy if above MA
		if (isExpiryWeek && isNewDay && Position == 0 && close > maValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Exit after expiry week
		else if (isPostExpiry && isNewDay && Position > 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Short entry at start of month if below MA
		else if (isStartOfMonth && isNewDay && Position == 0 && close < maValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Cover short before expiry
		else if (isPreExpiry && isNewDay && Position < 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_prevDayOfMonth = dayOfMonth;
	}
}