The Holiday Effect: Thanksgiving (Amibroker Code)

The strategy in plain English:

1. We go long at the close the Monday prior to Thanksgiving.
2. We exit at the close on the first trading day of December.

Click here for the original article.

Amibroker code:

function DaysInMonth(MonthNum,YearNum)

{

_Daysinmonth=IIf(MonthNum==1 OR MonthNum==3 OR MonthNum==5 OR MonthNum==7 OR

MonthNum==8 OR MonthNum==10 OR MonthNum==12,31,30);

Daysinmonthfeb=IIf(YearNum%4 == 0 AND YearNum%100!=0,29,28);

_Daysinmonth=IIf(MonthNum==2,Daysinmonthfeb,_Daysinmonth);

return _Daysinmonth;

}

function DaysToThirdFriday()

{

d = Day();

wd = DayOfWeek();

DaysToFriday = IIf(5-wd<0, (12-wd) % 7, (5 - wd) % 7);

ThirdFriday = ((d + DaysToFriday) % 7)+14;

ThirdFriday = IIf(ThirdFriday==14, 21, ThirdFriday);

_DaysToThirdFriday = ThirdFriday - d;




_DaysToThirdFriday = IIf(_DaysToThirdFriday >= 0, _DaysToThirdFriday,

ThirdFriday+IIf(ThirdFriday+14>DaysInMonth(Month(),Year()),28,35)-d);




return _DaysToThirdFriday;

}

Plot(DaysToThirdFriday(), "Days to 3rd Friday", colorBlack, styleLine);




Buy= DaysToThirdFriday()>20 AND Month()==11 AND DayOfWeek()==1 ;

buyPrice=Close;

Sell= Month()==12;

sellPrice=Close ;

Buy= Day()>=16 AND Day()<23 AND DayOfWeek()==5 AND Month()==11;//Friday to Black Friday ;

buyPrice=Close;

Sell= DayOfWeek()==5;

sellPrice=Close ;

Buy= Day()>=19 AND Day()<26 AND DayOfWeek()==1 AND Month()==11;//Monday in Thanksgiving week to Black Friday

buyPrice=Close;

Sell= DayOfWeek()==5;

sellPrice=Close ;

Buy= Day()>=20 AND Day()<27 AND DayOfWeek()==2 AND Month()==11;//From Tuesday in Thanksgiving week until Black Friday

buyPrice=Close;

Sell= DayOfWeek()==5;

sellPrice=Close ;

Buy= Day()>=23 AND Day()<=29 AND DayOfWeek()==5 AND Month()==11; //from Black Friday until Monday after Black Friday
buyPrice=Close;
Sell= DayOfWeek()==1;
sellPrice=Close ;

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.