Design Strategy - Mystical End Of Month

C# Strategy Designer

Mystical End Of Month

Published by vk on 12/5/2022

This strategy is based on the idea by Norman Fosback from the 1970's: the stock market is generally bullish at the beginning and end of each month. It buys X market days before the end of the month and sells Y market days after the start of the following month. I publish it with the QLD, it works on mostly all US index ETFs. (that what I tested) Try it yourself. I usee 99% of the portfolio value. While I was doing it, I discovered something really interesting... I reduce the position size here on the website to 95%. Want to know why?

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using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Drawing;
using System.Collections.Generic;

namespace WealthScript1 
{
    public class EOM : UserStrategyBase
    {
		public EOM()
		{
			AddParameter("X days before EOM", ParameterType.Int32, 6, 2, 8, 1);
			AddParameter("Y days after new month's start", ParameterType.Int32, 2, 1, 4, 1);
		}
		
        public override void Initialize(BarHistory bars)
        {
			days = Parameters[0].AsInt;
			Nth = Parameters[1].AsInt;
			StartIndex = Math.Max(days, Nth);
		}

        public override void Execute(BarHistory bars, int idx)
        {
			//new month is here
			if (bars.DateTimes[idx].Month != bars.DateTimes[idx-1].Month) 
				newMonth = idx;
			
			//remaining days
			//remaining = bars.DateTimes[idx].GetRemainingTradingDays();
			remaining = bars.TradingDaysRemaining(idx, Frequency.Monthly);
			
            if (!HasOpenPosition(bars, PositionType.Long))
            {
				if (remaining <= days)
					PlaceTrade( bars, TransactionType.Buy, OrderType.Market, 0, String.Format("Remains: {0}", remaining));
            }
            else
            {
				if ((newMonth > 0) & (idx == newMonth + Nth - 1))
					ClosePosition(LastPosition, OrderType.Market, 0, String.Format("After: {0}", Nth));
            }
        }

		int Nth, days, remaining, newMonth;

	}
}

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C# Strategy Tips

• Strategies are coded in the C# language and utilize the Microsoft .NET framework.

• Your Strategy is a .NET class derived from the UserStrategyBase base class.

• Override Initialize to perform one-time tasks like creating indicators.

• Override Execute, which is called once for every bar of data being processed, to implement your trading rules.

• Check the Online WealthLab Framework Reference for documentation on classes and methods.