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.
- 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.