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iCHO Trend CCIDualOnMA Filter Strategy

This strategy is a high-level StockSharp port of the MetaTrader expert advisor "iCHO Trend CCIDualOnMA Filter". It mixes a Chaikin oscillator zero-line regime filter with a dual Commodity Channel Index (CCI) confirmation that is calculated on top of a smoothed price series. The result is a trend-following approach that reacts to momentum shifts but still requires a momentum confirmation from the CCI pair before entering a trade.

Trading logic

  1. Chaikin oscillator core – the accumulation/distribution line is smoothed by two configurable moving averages. Their difference replicates the Chaikin oscillator. Crosses above/below zero signal a change in the dominant capital flow.
  2. Dual CCI filter – both CCI instances use the same moving-average-smoothed price input but different lookback periods. A long setup requires the fast CCI to recover from negative territory and cross above the slow CCI while the Chaikin oscillator stays above zero. A short setup mirrors these conditions.
  3. Optional reversal – the original EA provides a “reverse” flag that swaps long and short signals. The port keeps this behaviour so that the same rules can be used for counter-trend testing.
  4. Position management – optional flags close the opposite exposure before opening a new position and limit the strategy to a single open position. A one-trade-per-bar rule is enforced to mimic the MetaTrader implementation.
  5. Session filter – trading can be restricted to a user-defined intraday window, including wrap-around sessions that pass midnight.

Parameters

Parameter Description
FastChaikinLength Fast moving-average period used inside the Chaikin oscillator.
SlowChaikinLength Slow moving-average period used inside the Chaikin oscillator.
ChaikinMethod Moving-average method (Simple, Exponential, Smoothed, LinearWeighted) applied to the accumulation/distribution line.
FastCciLength Lookback of the fast Commodity Channel Index.
SlowCciLength Lookback of the slow Commodity Channel Index.
MaLength Length of the preprocessing moving average that feeds the CCIs.
MaMethod Moving-average method used for preprocessing price before it reaches the CCIs.
MaPrice Price type (close, open, high, low, median, typical, weighted) that is smoothed before the CCIs.
UseClosedBar Process only fully finished candles (default true, identical to SignalsBarCurrent=bar_1 in the EA).
ReverseSignals Swap long and short logic.
CloseOpposite Close an open position in the opposite direction before entering a new one.
OnlyOnePosition Allow only a single open position at any time.
TradeMode Restrict execution to longs, shorts or both (BuyOnly, SellOnly, BuyAndSell).
UseTimeFilter Enable the trading session filter.
StartHour, StartMinute, EndHour, EndMinute Session boundaries (inclusive of the start, exclusive of the end) expressed in exchange time. Wrap-around sessions are supported.
CandleType Timeframe of the candle subscription feeding the indicators.

Notes

  • The strategy uses only high-level SubscribeCandles bindings and built-in indicators; no custom buffers or historical requests are required.
  • All price-based calculations adopt the same moving-average preprocessing as the MetaTrader CCIDualOnMA indicator by feeding the CCI with a smoothed price series.
  • The default parameters reproduce the original EA defaults: Chaikin 3/10 EMA, CCI periods 14 and 50, 12-period SMA preprocessing and a trading window from 10:01 to 15:02.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Combines a Chaikin oscillator zero-line filter with CCI confirmation.
/// Buys when Chaikin crosses above zero and CCI is rising, sells on opposite.
/// </summary>
public class iCHO_Trend_CCIDualOnMA_FilterStrategy : Strategy
{
	private readonly StrategyParam<int> _cciLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _cciLevel;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private decimal? _prevCci;
	private decimal? _prevPrevCci;
	private int _candlesSinceTrade;

	public int CciLength
	{
		get => _cciLength.Value;
		set => _cciLength.Value = value;
	}

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

	public decimal CciLevel
	{
		get => _cciLevel.Value;
		set => _cciLevel.Value = value;
	}

	public int SignalCooldownCandles
	{
		get => _signalCooldownCandles.Value;
		set => _signalCooldownCandles.Value = value;
	}

	public iCHO_Trend_CCIDualOnMA_FilterStrategy()
	{
		_cciLength = Param(nameof(CciLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("CCI Length", "CCI period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle series", "Data");

		_cciLevel = Param(nameof(CciLevel), 100m)
			.SetDisplay("CCI Level", "CCI threshold for entry", "Indicators");

		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 4)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between entries", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCci = null;
		_prevPrevCci = null;
		_candlesSinceTrade = SignalCooldownCandles;

		var cci = new CommodityChannelIndex { Length = CciLength };

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

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

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		if (_prevCci.HasValue && _prevPrevCci.HasValue)
		{
			if (_prevPrevCci.Value < -CciLevel && _prevCci.Value < -CciLevel && cciValue > -CciLevel && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
			else if (_prevPrevCci.Value > CciLevel && _prevCci.Value > CciLevel && cciValue < CciLevel && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
		}

		_prevPrevCci = _prevCci;
		_prevCci = cciValue;
	}
}