The Holiday Effect: Martin Luther King Day (Amibroker And Tradestation Code)

The strategy in plain English:

1. We go long at the close on the first calendar day of the month that is bigger than 11.
2. We exit at the calendar day 21 or more.

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Amibroker code:

Buy= day()>11 AND Day()<21 AND Month()==1;

buyPrice=Close;

Sell= Day()>=21 ;

sellPrice=Close ;

Tradestation code:

{
The Holiday Effect: Martin Luther King Day (strategy 9)
https://www.quantifiedstrategies.com/trading-the-holiday-effect-anomaly-in-stock-markets/
We go long at the close on the first calendar day of the month that is bigger than 11. 
We exit at the calendar day 21 or more.
}

if (Dayofmonth(Date)>11) and (Dayofmonth(Date)<21) and (Month(Date)=1) Then
	Buy this bar on close;
	
if (Dayofmonth(Date)>=21) Then
	Sell this bar on close;	

Dates of the non-trading Monday of MLK day:

1998	19
1999	18
2000	17
2001	15
2002	21
2003	20
2004	19
2005	17
2006	16
2007	15
2008	21
2009	19
2010	18
2011	17
2012	16
2013	21
2014	20
2015	19
2016	18
2017	16
2018	15
2019	21
2020	20
2021	18
2022	17
2023	16

The code below goes long the Friday before MLK week, and exits the Friday later:

SetTradeDelays( -1, 0, 0, 0 );

Buy= Day() >=16 AND Day()<=22 AND DayOfWeek()==2 AND Month()==1;
buyPrice=Close;
Sell= BarsSince(Buy)>2 AND DayOfWeek()==5;
sellPrice=Close ;
Buy=ExRem(Buy,Sell);

Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.