StockSharp.Strategies.0385_Overnight_Sentiment_Anomaly

Overnight Sentiment Anomaly Strategy (C# Version)

This strategy trades an equity ETF only overnight when an external sentiment indicator signals extreme optimism. At the close the ETF is bought if the indicator exceeds a threshold and is sold the next morning, targeting the overnight drift associated with positive sentiment.

Intraday data is not used; the algorithm reacts to end-of-day sentiment values and places market orders at the close and next day's open.

Details

• Instrument: equity ETF and sentiment data series.
• Signal: sentiment value above configurable Threshold.
• Holding period: market close to next day open.
• Positioning: long when sentiment high, otherwise flat.
• Risk control: order skipped when trade value below MinTradeUsd.