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CCI Volatility Filter

The CCI Volatility Filter strategy is built around CCI with Volatility Filter.

Testing indicates an average annual return of about 58%. It performs best in the stocks market.

Signals trigger when its indicators confirms filtered entries on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like CciPeriod, AtrPeriod. Adjust these defaults to balance risk and reward.

Details

  • Entry Criteria: see implementation for indicator conditions.
  • Long/Short: Both directions.
  • Exit Criteria: opposite signal or stop logic.
  • Stops: Yes, using indicator-based calculations.
  • Default Values:
    • CciPeriod = 20
    • AtrPeriod = 14
    • CciOversold = -100m
    • CciOverbought = 100m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: multiple indicators
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// Strategy based on CCI with an ATR-based volatility filter.
/// </summary>
public class CciWithVolatilityFilterStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _cciOversold;
	private readonly StrategyParam<decimal> _cciOverbought;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private CommodityChannelIndex _cci;
	private AverageTrueRange _atr;
	private SimpleMovingAverage _atrSma;
	private int _cooldownRemaining;

	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal CciOversold { get => _cciOversold.Value; set => _cciOversold.Value = value; }
	public decimal CciOverbought { get => _cciOverbought.Value; set => _cciOverbought.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public CciWithVolatilityFilterStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period for CCI calculation", "Indicators");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators");

		_cciOversold = Param(nameof(CciOversold), -100m)
			.SetDisplay("CCI Oversold", "CCI oversold level", "Indicators");

		_cciOverbought = Param(nameof(CciOverbought), 100m)
			.SetDisplay("CCI Overbought", "CCI overbought level", "Indicators");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 24)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between entries", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cci = null;
		_atr = null;
		_atrSma = null;
		_cooldownRemaining = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_cci = new CommodityChannelIndex { Length = CciPeriod };
		_atr = new AverageTrueRange { Length = AtrPeriod };
		_atrSma = new SMA { Length = AtrPeriod };
		_cooldownRemaining = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var cciValue = _cci.Process(candle);
		var atrValue = _atr.Process(candle);
		if (!cciValue.IsFormed || !atrValue.IsFormed)
			return;

		var atrAverage = _atrSma.Process(new DecimalIndicatorValue(_atrSma, atrValue.ToDecimal(), candle.ServerTime) { IsFinal = true });
		if (!atrAverage.IsFormed)
			return;

		var cci = cciValue.ToDecimal();
		var atr = atrValue.ToDecimal();
		var averageAtr = atrAverage.ToDecimal();
		var isTradableVolatility = averageAtr <= 0m || atr <= averageAtr * 10m;

		if (_cooldownRemaining > 0 || !isTradableVolatility)
			return;

		if (Position == 0 && cci <= CciOversold)
		{
			BuyMarket();
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (Position == 0 && cci >= CciOverbought)
		{
			SellMarket();
			_cooldownRemaining = SignalCooldownBars;
		}
	}
}