Where should be placed switch in strategy pattern without factory?

There is creating each possible strategy in Main function in any strategy pattern example, for example:

Context cn = new Context(new CQuickSorter());
cn.Sort(myList);

cn = new Context(new CMergeSort());
cn.Sort(myList);

But in some place we have to choose what strategy we should use, where we should place 'switch' to choose a correct strategy? In a method? I saw class with method with 'switch' which returned OBJECT - the correct strategy class instance but then that is factory, not strategy pattern.

Where should be 'switch' in strategy pattern without factory? I have that in method like below - is it ok?

enum Operation
{
    Addition,
    Subtraction
}

public interface IMathOperation
{
    double PerformOperation(double A, double B);
}

class AddOperation : IMathOperation
{
    public double PerformOperation(double A, double B)
    {
        return A + B;
    }
}

class SubtractOperation : IMathOperation
{
    public double PerformOperation(double A, double B)
    {
        return A - B;
    }
}

class CalculateClientContext
{
    private IMathOperation _operation;

    public CalculateClientContext(IMathOperation operation)
    {
        _operation = operation;
    }

    public double Calculate(int value1, int value2)
    {
        return _operation.PerformOperation(value1, value2);
    }
}

class Service
{
    //In this method I have switch
    public double Calculate(Operation operation, int x, int y)
    {
        IMathOperation mathOperation = null;

        switch (operation)
        {
            case Operation.Addition:
                mathOperation = new AddOperation();
                break;
            case Operation.Subtraction:
                mathOperation = new SubtractOperation();
                break;
            default:
                throw new ArgumentException();
        }

        CalculateClientContext client = new CalculateClientContext(mathOperation);
        return client.Calculate(x, y);
    }
}