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.