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Estrategia de Cambio de Mes

Este patrón estacional compra índices de renta variable unos días antes del fin de mes y sale poco después de que comience el nuevo mes, con el objetivo de capturar el efecto "cambio de mes".

El sistema permanece en efectivo fuera de este período para reducir la exposición.

Detalles

  • Datos: Niveles diarios del índice.
  • Entrada: Comprar N días antes del fin de mes.
  • Salida: Vender M días después del inicio de mes.
  • Instrumentos: Futuros sobre índices de renta variable o ETF.
  • Riesgo: Sin posiciones fuera de la ventana programada.
// TurnOfMonthStrategy.cs
// -----------------------------------------------------------------------------
// Holds positions only around turn-of-the-month window.
// Default: long from N=1 trading day before month-end close
//          until D=3 trading day of new month close.
// Trigger: candle close timing.
// -----------------------------------------------------------------------------
// Date: 2 Aug 2025
// -----------------------------------------------------------------------------
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Turn-of-the-month effect strategy for index ETFs.
/// </summary>
public class TurnOfMonthStrategy : Strategy
{
	private readonly StrategyParam<int> _prior;
	private readonly StrategyParam<int> _after;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Number of trading days before month-end to enter.
	/// </summary>
	public int DaysPrior
	{
		get => _prior.Value;
		set => _prior.Value = value;
	}

	/// <summary>
	/// Number of trading days into new month to exit.
	/// </summary>
	public int DaysAfter
	{
		get => _after.Value;
		set => _after.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// The type of candles to use for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	private int _cooldownRemaining;

	public TurnOfMonthStrategy()
	{
		_prior = Param(nameof(DaysPrior), 2)
			.SetDisplay("Days Prior", "Trading days before month end", "Parameters");

		_after = Param(nameof(DaysAfter), 4)
			.SetDisplay("Days After", "Trading days into new month", "Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_cooldownRemaining = 0;
	}

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

		SubscribeCandles(CandleType)
			.Bind(ProcessCandle)
			.Start();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		var d = candle.OpenTime.Date;
		var tdLeft = TradingDaysLeftInMonth(d);
		var tdNum = TradingDayNumber(d);

		var inWindow = (tdLeft <= DaysPrior) || (tdNum <= DaysAfter);

		if (inWindow && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));

			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (!inWindow && Position > 0)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
	}

	private static int TradingDaysLeftInMonth(DateTime d)
	{
		var cnt = 0;
		var cur = d;
		while (cur.Month == d.Month)
		{
			if (cur.DayOfWeek != DayOfWeek.Saturday && cur.DayOfWeek != DayOfWeek.Sunday)
				cnt++;
			cur = cur.AddDays(1);
		}
		return cnt - 1;
	}

	private static int TradingDayNumber(DateTime d)
	{
		var n = 0;
		var cur = new DateTime(d.Year, d.Month, 1);
		while (cur <= d)
		{
			if (cur.DayOfWeek != DayOfWeek.Saturday && cur.DayOfWeek != DayOfWeek.Sunday)
				n++;
			cur = cur.AddDays(1);
		}
		return n;
	}
}