Post-Holiday Weakness Strategy (C#)

Post-Holiday Weakness Strategy

Post-Holiday Weakness is the tendency for prices to drift lower immediately after a major holiday when volume remains thin. With many participants still away, counter-trend moves can gain traction.

Testing indicates an average annual return of about 112%. It performs best in the forex market.

The strategy sells short the day after a holiday and covers quickly once normal participation returns.

A small stop is used to avoid excessive losses during low-liquidity trading.

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
  • Holidays = 2024 NYSE holidays
  • StopLossPercent = 2 Days are UTC days, since the market trades around the clock; entries happen at the close of the day's first candle. Holidays is a comma-separated list of yyyy-MM-dd dates, by default the 2024 NYSE holidays (Good Friday is 2024-03-29). The market trades every day, so the short opens on the calendar day after a holiday and is covered at that day's last candle.
• Filters:
  • Category: Seasonality
  • Direction: Both
  • Indicators: Seasonality
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: Yes
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium