tech.nmfin.algoquant.demo.model.januaryeffect

Class JanuaryEffectStrategy

java.lang.Object

tech.nmfin.algoquant.demo.model.januaryeffect.JanuaryEffectStrategy

All Implemented Interfaces:

StrategyHandler, Strategy

public class JanuaryEffectStrategy
extends Object
implements Strategy

A simple strategy to demonstrate the use of timer updates. This strategy buys at the first timing update after a given date and squares the position at the first timing update after another given date. We use this to exploit the January effect, which is the well-known observation that stock prices tend to increase in early January.

Using this example. Demonstrates timer-driven trading across a year boundary. initialize subscribes to the product and schedules a timer; each timer schedules the next day, buys one unit after buyTime and closes that unit after sellTime. A calendar timer is not itself a tradable market observation, and sendOrder does not guarantee a fill.

Model and publication. No single original research publication is claimed for this library/example policy.

Implementation in this tutorial. This is a calendar-rule illustration: schedule daily callbacks, open one unit near year-end and flatten after the configured new-year date. The code does not estimate a seasonal premium or implement a causal explanation of the January effect. It is not presented as a replication of a specific empirical publication.

Nested Class Summary

Nested classes/interfaces inherited from interface tech.nmfin.algoquant.execution.strategy.Strategy

Strategy.Param

Constructor Summary

Constructors

Constructor and Description
JanuaryEffectStrategy(Product product, MonthDay buyTime, MonthDay sellTime) Constructs a new instance of the strategy.

Method Summary

Modifier and Type	Method and Description
void	initialize(TraderContext ctx)
void	onEvent(TraderContext ctx, Event evt)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

JanuaryEffectStrategy

public JanuaryEffectStrategy(Product product,
                             MonthDay buyTime,
                             MonthDay sellTime)

Constructs a new instance of the strategy.

Parameters:

product - the product to trade

buyTime - the date after which we buy at the end of the year

sellTime - the date after which we sell at the beginning of the year

Method Detail

initialize

public void initialize(TraderContext ctx)

Specified by:

initialize in interface Strategy

onEvent

public void onEvent(TraderContext ctx,
                    Event evt)

Specified by:

onEvent in interface Strategy