日本語 JA
GitHub で見る

Option Expiration Week Strategy

This Python strategy buys and holds an equity ETF only during option-expiration week. Starting on the Monday prior to the third Friday of each month the ETF is bought, and the position is closed at Friday's close. The idea exploits short-term strength often observed during expiration week.

Outside of this window the portfolio remains in cash. Daily candles are used and trades are sent as market orders once per day.

Details

  • Instrument: single equity ETF.
  • Signal: calendar rule for the week ending on the third Friday.
  • Holding period: Monday open to Friday close of expiration week.
  • Positioning: fully invested during the window, flat otherwise.
  • Risk control: trade skipped when order value below MinTradeUsd.
// OptionExpirationWeekStrategy.cs — candle-triggered
// Long ETF only during option‑expiration week (ending 3rd Friday).
// Trigger: daily candle close.
// Date: 2 Aug 2025

using System;
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>
/// Goes long the specified ETF only during option‑expiration week.
/// </summary>
public class OptionExpirationWeekStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

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

	private readonly Dictionary<Security, decimal> _latestPrices = [];
	private int _enteredMonthKey;
	private int _exitedMonthKey;

	public OptionExpirationWeekStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	public override IEnumerable<(Security, DataType)> GetWorkingSecurities()
	{
		if (Security == null)
			throw new InvalidOperationException("ETF not set.");

		return [(Security, CandleType)];
	}

	
	protected override void OnReseted()
	{
		base.OnReseted();

		_latestPrices.Clear();
		_enteredMonthKey = 0;
		_exitedMonthKey = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		if (Security == null)
			throw new InvalidOperationException("ETF cannot be null.");

		SubscribeCandles(CandleType, true, Security)
			.Bind(c => ProcessCandle(c, Security))
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, Security security)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Store the latest closing price for this security
		_latestPrices[security] = candle.ClosePrice;

		OnDaily(candle.OpenTime.Date);
	}

	private void OnDaily(DateTime d)
	{
		var monthKey = (d.Year * 100) + d.Month;
		bool inExp = IsOptionExpWeek(d);

		if (inExp && Position == 0 && _enteredMonthKey != monthKey)
		{
			BuyMarket();
			_enteredMonthKey = monthKey;
			_exitedMonthKey = 0;
		}
		else if (!inExp && Position > 0 && _enteredMonthKey == monthKey && _exitedMonthKey != monthKey)
		{
			SellMarket(Position);
			_exitedMonthKey = monthKey;
		}
	}

	private decimal GetLatestPrice(Security security)
	{
		return _latestPrices.TryGetValue(security, out var price) ? price : 0m;
	}

	private bool IsOptionExpWeek(DateTime d)
	{
		// find third Friday
		var third = new DateTime(d.Year, d.Month, 1);
		while (third.DayOfWeek != DayOfWeek.Friday)
			third = third.AddDays(1);
		third = third.AddDays(14);
		return d >= third.AddDays(-4) && d <= third;
	}
}