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FT CCI MA (StockSharp port)

Overview

This strategy is a direct port of the MetaTrader expert "FT CCI MA". It trades the close of each finished candle, combining a linear weighted moving average (LWMA) with Commodity Channel Index (CCI) thresholds and an optional trading session filter. The StockSharp implementation keeps the same parameter names and default values, allowing you to reproduce the original behaviour while benefiting from the high-level API (candle subscriptions, indicator binding, position protection).

Key design notes:

  • The LWMA works on the weighted price (High + Low + 2 * Close) / 4, matching the PRICE_WEIGHTED mode from MetaTrader.
  • The CCI uses the typical price (High + Low + Close) / 3, as in PRICE_TYPICAL.
  • All decisions are evaluated on the just closed bar, which mirrors the original EA that waited for the start of the next bar before acting on the previous one.
  • Position protection replicates the EA's take-profit and stop-loss in pip units.

Trade rules

  1. Long entries
    • Close price above the LWMA and CCI below CciLevelBuy (default -100), or
    • Close price below the LWMA and CCI below CciLevelDown (default -200).
    • Enter only if the current net position is flat or short.
  2. Short entries
    • Close price below the LWMA and CCI above CciLevelSell (default 100), or
    • Close price above the LWMA and CCI above CciLevelUp (default 200).
    • Enter only if the current net position is flat or long.
  3. Time filter
    • When UseTimeFilter is enabled the strategy checks the hour of candle.CloseTime.
    • If the hour is outside the active window, all positions and orders are cancelled/closed immediately.
  4. Risk controls
    • StartProtection sets absolute stop-loss and take-profit distances using pip size derived from Security.PriceStep.
    • Order volume is netted so opening in the opposite direction automatically closes the previous exposure.

Parameters

Name Description Default
OrderVolume Trade size in lots. 1
StopLossPips Stop-loss distance expressed in pips (0 disables). 150
TakeProfitPips Take-profit distance in pips (0 disables). 150
UseTimeFilter Enables the session filter. true
StartHour Session start hour in exchange time (0-23). 10
EndHour Session end hour in exchange time (0-23). When lower than the start hour the session spans midnight. 5
CciPeriod Commodity Channel Index length. 14
CciLevelUp Aggressive short threshold (+200). 200
CciLevelDown Aggressive long threshold (-200). -200
CciLevelBuy Soft long threshold when price is above the MA (-100). -100
CciLevelSell Soft short threshold when price is below the MA (+100). 100
MaPeriod LWMA length. 200
MaShift Horizontal shift of the LWMA in bars. The current candle compares against the value MaShift bars back. 0
CandleType Candle data type/time frame used for calculations. 1 hour time frame

Implementation details

  • Pip calculation – Pip size equals Security.PriceStep. For 3 or 5 decimal forex symbols it is multiplied by 10 to translate 0.00001 into the 0.0001 pip used by the EA.
  • Session filter – Implements the two scenarios from the MQL source: intraday windows (StartHour < EndHour) and overnight windows (StartHour > EndHour). When StartHour == EndHour trading is disabled, matching the original logic.
  • Indicator binding – Uses SubscribeCandles().Bind(...) so the CCI and LWMA receive automatic updates without manual buffering. Values are stored only to support the optional LWMA shift, avoiding direct calls to GetValue().
  • Order management – CancelActiveOrders() runs before each market order, mirroring the EA's behaviour of keeping a clean order book.
  • No Python version – Only the C# strategy is provided, as requested.

Usage

  1. Attach the strategy to a security and set CandleType to the desired timeframe.
  2. Choose volume and pip parameters appropriate for the instrument (remember to align broker pip definitions with the built-in conversion).
  3. Enable or disable the session filter according to your trading hours.
  4. Start the strategy; it will subscribe to candles, apply indicator logic, and manage orders/stops automatically.
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// FT CCI MA strategy using EMA crossover with trend filter.
/// Buys when fast EMA crosses above slow EMA and price above trend EMA.
/// </summary>
public class FtCciMaStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public FtCciMaStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}