日本語 JA
GitHub で見る

Turnaround Tuesday Strategy

Turnaround Tuesday refers to the tendency for markets that sold off on Monday to rebound the next day. The effect is often attributed to traders overreacting after the weekend and then reversing course.

Testing indicates an average annual return of about 91%. It performs best in the stocks market.

This strategy buys at Tuesday's open when Monday was down, holding only for the session or until a modest profit target is reached.

Stops are tight to protect against continued weakness if the bounce fails to develop.

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 Turnaround Tuesday trading strategy.
/// Buys on Tuesday if previous session declined, sells on Friday or if price crosses MA.
/// Also goes short on Wednesday if previous session rallied.
/// Uses half-day detection to simulate daily sessions on intraday data.
/// </summary>
public class TurnaroundTuesdayStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _ma;

	private decimal _prevMa;
	private decimal _sessionOpen;
	private decimal _sessionClose;
	private int _prevSessionDay;
	private bool _prevSessionDecline;
	private bool _prevSessionRally;
	private int _currentSessionDay;
	private bool _enteredThisSession;
	private int _cooldown;

	/// <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="TurnaroundTuesdayStrategy"/>.
	/// </summary>
	public TurnaroundTuesdayStrategy()
	{
		_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), 30)
			.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;
		_prevMa = 0;
		_sessionOpen = 0;
		_sessionClose = 0;
		_prevSessionDay = -1;
		_prevSessionDecline = false;
		_prevSessionRally = false;
		_currentSessionDay = -1;
		_enteredThisSession = false;
		_cooldown = 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 dayOfYear = candle.OpenTime.DayOfYear;
		var dayOfWeek = (int)candle.OpenTime.DayOfWeek;

		// Detect new session (new calendar day)
		if (dayOfYear != _currentSessionDay)
		{
			// Save previous session result
			if (_currentSessionDay >= 0 && _sessionOpen > 0)
			{
				_prevSessionDecline = _sessionClose < _sessionOpen;
				_prevSessionRally = _sessionClose > _sessionOpen;
				_prevSessionDay = _currentSessionDay;
			}

			_currentSessionDay = dayOfYear;
			_sessionOpen = candle.OpenPrice;
			_enteredThisSession = false;
		}

		_sessionClose = close;

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevMa = maValue;
			return;
		}

		// Entry: buy on any day if previous session declined and no position
		if (Position == 0 && !_enteredThisSession && _prevSessionDecline && close > maValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
			_enteredThisSession = true;
			_prevSessionDecline = false;
		}
		// Entry: sell on any day if previous session rallied and no position
		else if (Position == 0 && !_enteredThisSession && _prevSessionRally && close < maValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
			_enteredThisSession = true;
			_prevSessionRally = false;
		}

		// Exit long if price crosses below MA
		if (Position > 0 && _prevMa > 0 && close < maValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit short if price crosses above MA
		if (Position < 0 && _prevMa > 0 && close > maValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_prevMa = maValue;
	}
}