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Vwap Cci Strategy

Implementation of strategy - VWAP + CCI. Buy when price is below VWAP and CCI is below -100 (oversold). Sell when price is above VWAP and CCI is above 100 (overbought).

Testing indicates an average annual return of about 82%. It performs best in the stocks market.

VWAP acts as a value benchmark, and CCI highlights momentum moves away from it. Entries favor strong CCI readings relative to VWAP.

Designed for day traders focusing on VWAP interaction. ATR stops help maintain discipline.

Details

  • Entry Criteria:
    • Long: Close < VWAP && CCI < CciOversold
    • Short: Close > VWAP && CCI > CciOverbought
  • Long/Short: Both
  • Exit Criteria:
    • Price crosses back through VWAP
  • Stops: Percent-based using StopLoss
  • Default Values:
    • CciPeriod = 20
    • CciOversold = -100m
    • CciOverbought = 100m
    • StopLoss = new Unit(2, UnitTypes.Percent)
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: VWAP, CCI
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

using StockSharp.Algo;
using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Implementation of strategy - VWAP + CCI.
/// Buy when price is below VWAP and CCI is below -100 (oversold).
/// Sell when price is above VWAP and CCI is above 100 (overbought).
/// </summary>
public class VwapCciStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciOversold;
	private readonly StrategyParam<decimal> _cciOverbought;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<Unit> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private int _cooldown;

	/// <summary>
	/// CCI period.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// CCI oversold level.
	/// </summary>
	public decimal CciOversold
	{
		get => _cciOversold.Value;
		set => _cciOversold.Value = value;
	}

	/// <summary>
	/// CCI overbought level.
	/// </summary>
	public decimal CciOverbought
	{
		get => _cciOverbought.Value;
		set => _cciOverbought.Value = value;
	}

	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Stop-loss value.
	/// </summary>
	public Unit StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Candle type used for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize <see cref="VwapCciStrategy"/>.
	/// </summary>
	public VwapCciStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period for Commodity Channel Index", "CCI Parameters");

		_cciOversold = Param(nameof(CciOversold), -20m)
			.SetDisplay("CCI Oversold", "CCI level to consider market oversold", "CCI Parameters");

		_cciOverbought = Param(nameof(CciOverbought), 20m)
			.SetDisplay("CCI Overbought", "CCI level to consider market overbought", "CCI Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 120)
			.SetRange(5, 500)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

		_stopLoss = Param(nameof(StopLoss), new Unit(2, UnitTypes.Percent))
			.SetDisplay("Stop Loss", "Stop loss percent or value", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cooldown = 0;
	}

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

		// Create indicators
		var vwap = new VolumeWeightedMovingAverage();
		var cci = new CommodityChannelIndex { Length = CciPeriod };

		// Setup candle subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind indicators to candles
		subscription
			.Bind(vwap, cci, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, vwap);
			
			// Create separate area for CCI
			var cciArea = CreateChartArea();
			if (cciArea != null)
			{
				DrawIndicator(cciArea, cci);
			}
			
			DrawOwnTrades(area);
		}

	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Current price
		var price = candle.ClosePrice;
		
		// Determine if price is above or below VWAP
		var isPriceAboveVWAP = price > vwapValue;

		LogInfo($"Candle: {candle.OpenTime}, Close: {price}, " +
			$"VWAP: {vwapValue}, Price > VWAP: {isPriceAboveVWAP}, " +
			$"CCI: {cciValue}");

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Trading rules
		var belowVwap = price <= vwapValue * 1.001m;
		var aboveVwap = price >= vwapValue * 0.999m;

		if (belowVwap && cciValue <= CciOversold && Position == 0)
		{
			// Buy signal - price below VWAP and CCI oversold
			BuyMarket();
			_cooldown = CooldownBars;
			
			LogInfo($"Buy signal: Price below VWAP and CCI oversold ({cciValue} <= {CciOversold}).");
		}
		else if (aboveVwap && cciValue >= CciOverbought && Position == 0)
		{
			// Sell signal - price above VWAP and CCI overbought
			SellMarket();
			_cooldown = CooldownBars;
			
			LogInfo($"Sell signal: Price above VWAP and CCI overbought ({cciValue} >= {CciOverbought}).");
		}
		// Exit conditions
		else if (isPriceAboveVWAP && Position > 0)
		{
			// Exit long position when price crosses above VWAP
			SellMarket();
			_cooldown = CooldownBars;
			LogInfo($"Exit long: Price crossed above VWAP. Position: {Position}");
		}
		else if (!isPriceAboveVWAP && Position < 0)
		{
			// Exit short position when price crosses below VWAP
			BuyMarket();
			_cooldown = CooldownBars;
			LogInfo($"Exit short: Price crossed below VWAP. Position: {Position}");
		}
	}
}