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XCCI Histogram Vol Direct Strategy

Overview

The XCCI Histogram Vol Direct Strategy is a conversion of the MQL5 expert Exp_XCCI_Histogram_Vol_Direct. The system multiplies the Commodity Channel Index (CCI) by volume, smooths both series with a configurable moving average, and then evaluates the slope of the smoothed oscillator. When the directional coloring of the histogram flips, the strategy closes positions against the move and opens new trades in the emerging direction. The logic works on finished candles only and therefore behaves deterministically on historical and live data.

The original expert advisor used a proprietary smoothing library with multiple algorithms, volume-based threshold bands, and time-shifted order execution. The StockSharp port retains the configurable inputs, approximates the smoothing choices with available indicators, and implements the same open/close sequencing using the high-level API.

Market Regime & Edge

  • Designed for markets where volume expansion accompanies momentum bursts.
  • Prefers timeframes with clear swings (default: 2-hour candles) but can be tuned from intraday to swing horizons.
  • Signals react to a change in the slope of smoothed CCI*volume; therefore it behaves like a momentum reversal detector.

Indicators & Processing Pipeline

  1. Commodity Channel Index (CCI) – computed on the selected candle type with period CciPeriod.
  2. Volume Source – either Tick or Real (both mapped to candle volume because tick counts are not available in StockSharp candles).
  3. Weighted Oscillator – multiply CCI by the chosen volume stream.
  4. Smoothing – apply the selected moving-average family to both the weighted oscillator and raw volume using length SmoothingLength.
    • Sma → SimpleMovingAverage
    • Ema → ExponentialMovingAverage
    • Smma → SmoothedMovingAverage
    • Lwma → WeightedMovingAverage
    • Jjma → JurikMovingAverage
    • Jurx → ZeroLagExponentialMovingAverage
    • Parabolic → ArnaudLegouxMovingAverage (phase parameter mapped to ALMA offset)
    • T3 → TripleExponentialMovingAverage
    • Vidya → ExponentialMovingAverage (best available approximation)
    • Ama → KaufmanAdaptiveMovingAverage
  5. Directional Color – compare the latest smoothed oscillator value with the previous one. Rising values are colored 0 (bullish), falling values 1 (bearish), and equal values inherit the prior color just like the original indicator buffer.
  6. Signal Memory – store the recent colors so the strategy can inspect the bar specified by SignalBar and the bar before it.

Trading Rules

Long Management

  • Entry: If the color of the signal bar is 1 (bearish) but the bar before it was 0 (bullish), open a long position provided AllowLongEntries = true and the current net position is not already long. The order size equals Volume + |Position| so any short exposure is flattened first.
  • Exit: Whenever the bar before the signal bar is bullish (0) and AllowShortExits = true, close any open short position to avoid fighting the new upswing.

Short Management

  • Entry: If the signal bar color becomes 0 after a prior 1, open a short position when AllowShortEntries = true and the account is not already net short. The order size mirrors the long logic.
  • Exit: When the bar before the signal bar is bearish (1) and AllowLongExits = true, close long exposure.

Risk Controls

  • StopLossPoints and TakeProfitPoints translate into price-point offsets using the instrument’s PriceStep and are applied through StartProtection.
  • Protective orders are activated for every trade; set both values to 0 to disable an individual leg.

Parameter Reference

Parameter Description Default
CciPeriod Length of the Commodity Channel Index. 14
Smoothing Moving-average family used for smoothing both oscillator and volume. T3
SmoothingLength Period of the smoothing filters. 12
SmoothingPhase Phase/offset value mapped to ALMA offset; kept for compatibility. 15
HighLevel2, HighLevel1, LowLevel1, LowLevel2 Threshold multipliers preserved from the indicator (useful for diagnostics/visualization). 100, 80, -80, -100
SignalBar Look-back index of the bar that defines the signal (0 = latest closed candle). 1
AllowLongEntries / AllowShortEntries Enable or disable opening trades in a direction. true
AllowLongExits / AllowShortExits Enable or disable closing trades in a direction. true
StopLossPoints Stop-loss distance in price points. 1000
TakeProfitPoints Take-profit distance in price points. 2000
VolumeSource Volume stream (Tick or Real). Both use candle volume in this port. Tick
CandleType Timeframe for analysis. 2h

Candle Processing Workflow

  1. Wait for a finished candle of the configured type.
  2. Compute the CCI value and multiply it by the selected volume stream.
  3. Feed the weighted CCI and the raw volume into the smoothing filters.
  4. Once both smoothers are formed, determine the new color and update the history buffer.
  5. Inspect the color at SignalBar and SignalBar+1 to decide whether to close opposing positions and/or open a new trade.
  6. Apply risk management via the preconfigured stop-loss and take-profit.

Usage Notes

  • The base Strategy.Volume must be set to a positive value; it defines the size of each entry.
  • Because StockSharp candles do not expose tick counts, both Tick and Real volume modes use candle.TotalVolume. If tick-level data is required, feed the strategy with custom candles that encode tick volume in the TotalVolume field.
  • The smoothing phase affects ALMA only. For other filters it is ignored, mirroring the behavior of the MQL indicator where certain modes disregard the phase input.
  • Threshold multipliers (HighLevel* and LowLevel*) are retained for completeness. They can be visualized by plotting the smoothed volume and applying the multipliers externally if desired.

Limitations & Differences vs. MQL5 Version

  • StockSharp currently lacks direct implementations of VIDYA and Parabolic MA; EMA and ALMA are used as closest substitutes. This keeps the response characteristics similar but not identical to the original custom library.
  • Order execution occurs immediately on the close of the signal candle. The MQL expert scheduled trades at the start of the next period via TimeShiftSec; this behavior is functionally equivalent when the broker executes market orders near instantly.
  • Tick volume is approximated by total traded volume because individual tick counts are not exposed in standard candle messages.

Getting Started

  1. Attach the strategy to the desired Security and set Volume to the number of lots/contracts to trade per signal.
  2. Choose the candle timeframe through CandleType (default: 2-hour time frame).
  3. Adjust smoothing and risk parameters to match the target market’s volatility profile.
  4. Run in paper mode first, review the charted smoothed oscillator, and fine-tune SignalBar if signals arrive too early or late.

Optimization Ideas

  • Optimize SmoothingLength alongside CciPeriod to align responsiveness with the target asset.
  • Stress-test SignalBar around 0 and 1 for faster/slower reaction.
  • Consider widening or tightening StopLossPoints / TakeProfitPoints to adapt to ATR of the instrument.
  • Run the strategy on multiple timeframes and filter trades by higher timeframe trend direction if additional confirmation is needed.

Safety Checklist

  • Confirm that Security.PriceStep and Volume match the instrument’s contract specifications before live execution.
  • Monitor slippage and adjust external risk controls if the chosen market is illiquid.
  • Regularly review trade logs to ensure that direction filters (Allow*) align with the intended exposure.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// XCCI Histogram Vol Direct strategy. Uses CCI zero-line crossover.
/// </summary>
public class XcciHistogramVolDirectStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cciPeriod;
	private decimal? _prevCci;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }

	public XcciHistogramVolDirectStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_cciPeriod = Param(nameof(CciPeriod), 14).SetGreaterThanZero().SetDisplay("CCI Period", "CCI lookback", "Indicators");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevCci = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCci = null;
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(cci, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal cciVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevCci = cciVal; return; }
		if (_prevCci == null) { _prevCci = cciVal; return; }
		if (_prevCci.Value < 0m && cciVal >= 0m && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevCci.Value > 0m && cciVal <= 0m && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevCci = cciVal;
	}
}