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Morning/Evening Star CCI Strategy

Overview

This strategy replicates the MetaTrader 5 Expert Advisor Expert_AMS_ES_CCI using the StockSharp high-level API. It scans for Morning Star and Evening Star three-candle reversal patterns and requires confirmation from the Commodity Channel Index (CCI) before opening new positions. The logic works with finished candles only and operates on the primary security specified in the strategy settings.

Trading Logic

  • Morning Star long entry
    • Detect three consecutive candles that form a Morning Star pattern:
      • Candle 1: strong bearish body (body size larger than the average body over the selected window).
      • Candle 2: small-bodied candle that gaps lower than Candle 1.
      • Candle 3: closes above the midpoint of Candle 1.
    • Confirm that the CCI value on the signal bar is less than the negative entry threshold (default −50).
  • Evening Star short entry
    • Detect a valid Evening Star pattern:
      • Candle 1: strong bullish body.
      • Candle 2: small-bodied candle that gaps above Candle 1.
      • Candle 3: closes below the midpoint of Candle 1.
    • Confirm that the CCI value on the signal bar is greater than the positive entry threshold (default +50).
  • Position exit rules
    • Close short positions when CCI crosses back above −NeutralThreshold or falls below +NeutralThreshold (default ±80).
    • Close long positions when CCI crosses back below +NeutralThreshold or falls beneath −NeutralThreshold.
    • No additional stop-loss or take-profit rules are embedded; users can add external protections if required.

Indicators

  • Commodity Channel Index (CCI) – confirmation filter, default period 25.
  • Simple Moving Average of candle bodies – calculates the average body size over the last BodyAveragePeriod candles (default 5) to validate pattern strength.

Parameters

Name Description Default Notes
CciPeriod Number of bars used in the CCI calculation. 25 Optimizable.
BodyAveragePeriod Number of candles used to measure the average body size. 5 Optimizable.
EntryThreshold Absolute CCI value required for new trades. 50 Positive value; the strategy checks ±EntryThreshold.
NeutralThreshold Absolute CCI level that defines the exit zone. 80 Positive value; the strategy checks ±NeutralThreshold.
CandleType Candle type (timeframe) used for analysis. 1 hour time frame Change to match the desired resolution.

Notes

  • The strategy subscribes to candle updates via SubscribeCandles and uses Bind to receive indicator values.
  • Trades are executed with market orders using BuyMarket and SellMarket.
  • All comments in the code are written in English as required.
  • To extend risk management, combine the strategy with StartProtection or custom money-management modules.
namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Morning/Evening Star + CCI strategy.
/// Buys on morning star with negative CCI, sells on evening star with positive CCI.
/// </summary>
public class MorningEveningStarCciStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciLevel;

	private ICandleMessage _prevCandle;
	private ICandleMessage _prevPrevCandle;

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

	public MorningEveningStarCciStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "CCI period", "Indicators");
		_cciLevel = Param(nameof(CciLevel), 0m)
			.SetDisplay("CCI Level", "CCI threshold for confirmation", "Signals");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCandle = null;
		_prevPrevCandle = null;
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(cci, ProcessCandle).Start();
	}

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

		if (_prevCandle != null && _prevPrevCandle != null)
		{
			var prevBody = Math.Abs(_prevCandle.ClosePrice - _prevCandle.OpenPrice);
			var prevRange = _prevCandle.HighPrice - _prevCandle.LowPrice;
			var isSmallBody = prevRange > 0 && prevBody < prevRange * 0.3m;

			var firstBearish = _prevPrevCandle.OpenPrice > _prevPrevCandle.ClosePrice;
			var currBullish = candle.ClosePrice > candle.OpenPrice;
			var isMorningStar = firstBearish && isSmallBody && currBullish &&
							   candle.ClosePrice > _prevPrevCandle.OpenPrice * 0.5m + _prevPrevCandle.ClosePrice * 0.5m;

			var firstBullish = _prevPrevCandle.ClosePrice > _prevPrevCandle.OpenPrice;
			var currBearish = candle.OpenPrice > candle.ClosePrice;
			var isEveningStar = firstBullish && isSmallBody && currBearish &&
							   candle.ClosePrice < _prevPrevCandle.OpenPrice * 0.5m + _prevPrevCandle.ClosePrice * 0.5m;

			if (isMorningStar && cciValue < -CciLevel && Position <= 0)
				BuyMarket();
			else if (isEveningStar && cciValue > CciLevel && Position >= 0)
				SellMarket();
		}

		_prevPrevCandle = _prevCandle;
		_prevCandle = candle;
	}
}