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PEAD Strategy

This strategy trades post-earnings announcement drift after a positive EPS surprise and gap-up. It enters long on the day after earnings when price gaps up and recent performance is positive, using an EMA trail, fixed stop/breakeven, and max holding period.

Details

  • Entry Criteria: Positive EPS surprise, gap-up after earnings, and prior positive performance.
  • Long/Short: Long only.
  • Exit Criteria: Daily EMA cross-under, fixed stop/breakeven, or max holding bars.
  • Stops: Fixed stop with breakeven.
  • Default Values:
    • GapThreshold = 1
    • EpsSurpriseThreshold = 5
    • PerfDays = 20
    • StopPct = 8
    • EmaLen = 50
    • MaxHoldBars = 50
    • CandleType = TimeSpan.FromDays(1)
  • Filters:
    • Category: Earnings
    • Direction: Long
    • Indicators: EMA
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Daily
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;
using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;



/// <summary>
/// Post-earnings announcement drift strategy with gap and EMA exit.
/// </summary>
public class PeadStrategy : Strategy
{
	private readonly StrategyParam<decimal> _gapThreshold;
	private readonly StrategyParam<decimal> _epsSurpriseThreshold;
	private readonly StrategyParam<int> _perfDays;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<int> _emaLen;
	private readonly StrategyParam<int> _maxHoldBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private decimal _prevEma;
	private decimal _prevRoc;

	/// <summary>
	/// Gap-up threshold (%).
	/// </summary>
	public decimal GapThreshold
	{
		get => _gapThreshold.Value;
		set => _gapThreshold.Value = value;
	}

	/// <summary>
	/// EPS surprise threshold (%).
	/// </summary>
	public decimal EpsSurpriseThreshold
	{
		get => _epsSurpriseThreshold.Value;
		set => _epsSurpriseThreshold.Value = value;
	}

	/// <summary>
	/// Positive-performance look-back.
	/// </summary>
	public int PerfDays
	{
		get => _perfDays.Value;
		set => _perfDays.Value = value;
	}

	/// <summary>
	/// Initial fixed stop-loss (%).
	/// </summary>
	public decimal StopPct
	{
		get => _stopPct.Value;
		set => _stopPct.Value = value;
	}

	/// <summary>
	/// Daily EMA length for trail stop.
	/// </summary>
	public int EmaLen
	{
		get => _emaLen.Value;
		set => _emaLen.Value = value;
	}

	/// <summary>
	/// Exit after N bars from entry.
	/// </summary>
	public int MaxHoldBars
	{
		get => _maxHoldBars.Value;
		set => _maxHoldBars.Value = value;
	}

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

	public PeadStrategy()
	{
		_gapThreshold = Param(nameof(GapThreshold), 1m)
			.SetDisplay("Gap Threshold", "Gap-up threshold (%)", "General")
			;

		_epsSurpriseThreshold = Param(nameof(EpsSurpriseThreshold), 5m)
			.SetDisplay("EPS Surprise", "EPS surprise threshold (%)", "General")
			;

		_perfDays = Param(nameof(PerfDays), 20)
			.SetDisplay("Performance Days", "Positive-performance look-back", "General")
			;

		_stopPct = Param(nameof(StopPct), 8m)
			.SetDisplay("Stop Percent", "Initial fixed stop-loss (%)", "Risk")
			;

		_emaLen = Param(nameof(EmaLen), 50)
			.SetDisplay("EMA Length", "Daily EMA length for trail stop", "Indicators")
			;

		_maxHoldBars = Param(nameof(MaxHoldBars), 50)
			.SetDisplay("Max Hold Bars", "Exit after N bars from entry", "General")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_prevClose = 0;
		_prevEma = 0;
		_prevRoc = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaLen };
		var roc = new RateOfChange { Length = PerfDays + 1 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, roc, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(3, UnitTypes.Percent),
			stopLoss: new Unit(StopPct, UnitTypes.Percent));

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

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

		// Use strong candle body instead of gap (gaps don't exist in continuous 5min data)
		var bodyPct = _prevClose != 0 ? Math.Abs(candle.ClosePrice - candle.OpenPrice) / _prevClose * 100m : 0m;
		var strongMove = bodyPct >= GapThreshold;
		var perfPos = _prevRoc > 0;

		var entryCond = perfPos && strongMove && Position == 0;

		if (entryCond)
		{
			BuyMarket();
		}

		_prevClose = candle.ClosePrice;
		_prevEma = emaValue;
		_prevRoc = rocValue;
	}
}