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Estrategia CCI Breakout

Estrategia basada en la ruptura del CCI (Commodity Channel Index)

Las pruebas indican un retorno anual promedio de aproximadamente 94%. Funciona mejor en el mercado de acciones.

CCI Breakout utiliza el Commodity Channel Index para detectar movimientos poderosos. Los surgimientos más allá de los umbrales positivos o negativos del CCI generan entradas. Las salidas ocurren cuando el CCI retrocede hacia cero o se forma una señal opuesta.

Dado que el CCI mide la desviación de una media móvil, las lecturas extremas implican precios insostenibles. Este sistema espera esos extremos y luego intenta beneficiarse del seguimiento.

Detalles

  • Criterios de entrada: Señales basadas en CCI, Momentum.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: Señal opuesta o stop.
  • Stops: Sí.
  • Valores predeterminados:
    • CciPeriod = 20
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: CCI, Momentum
    • Stops: Sí
    • Complejidad: Básico
    • Marco temporal: Intradía (5m)
    • Estacionalidad: No
    • Neural Networks: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Strategy based on CCI (Commodity Channel Index) breakout.
/// Buys when CCI crosses above +100, sells when CCI crosses below -100.
/// Exits at zero and uses native actual-fill percent protection.
/// </summary>
public class CciBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevCci;
	private bool _hasPrevValues;
	private Order _pendingOrder;

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

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

	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

	/// <summary>
	/// Initializes a new instance of the <see cref="CciBreakoutStrategy"/>.
	/// </summary>
	public CciBreakoutStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetDisplay("CCI Period", "Period for CCI calculation", "Indicators")
			.SetOptimize(14, 30, 4);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		OrderRegistering += order => _pendingOrder = order;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, DataType.Level1)];
	}

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

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

		var cci = new CommodityChannelIndex { Length = CciPeriod };
		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

		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 ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before the callback, including between bars.
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevCci = cciValue;
			return;
		}

		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
		{
			_prevCci = cciValue;
			return;
		}

		// CCI crosses above +100 - buy signal
		if (_prevCci <= 100 && cciValue > 100 && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
		}
		// CCI crosses below -100 - sell signal
		else if (_prevCci >= -100 && cciValue < -100 && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
		}
		else if (Position > 0m && cciValue <= 0m)
			SellMarket(Position);
		else if (Position < 0m && cciValue >= 0m)
			BuyMarket(Math.Abs(Position));

		_prevCci = cciValue;
	}
}