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Estrategia de Reversión a la Media con CCI

El Commodity Channel Index (CCI) mide cuánto se aleja el precio de su promedio estadístico. Esta estrategia entra cuando el CCI se desvía de su propia media por un gran margen, esperando un retroceso rápido una vez que el impulso se desvanece.

Las pruebas indican un retorno anual promedio de aproximadamente 151%. Funciona mejor en el mercado de acciones.

Una operación larga ocurre cuando el CCI cae por debajo del promedio menos DeviationMultiplier veces la desviación estándar. Se abre una operación corta cuando el CCI sube por encima del promedio más ese multiplicador. La posición se cierra cuando el CCI vuelve a cruzar el valor medio.

Este sistema es adecuado para traders a corto plazo que prefieren configuraciones contrarias. Un stop-loss basado en el movimiento porcentual ayuda a limitar el riesgo si el mercado no logra revertirse rápidamente.

Detalles

  • Criterios de entrada:
    • Largo: CCI < Avg - DeviationMultiplier * StdDev
    • Corto: CCI > Avg + DeviationMultiplier * StdDev
  • Largo/Corto: Ambos lados.
  • Criterios de salida:
    • Largo: Salir cuando CCI > Avg
    • Corto: Salir cuando CCI < Avg
  • Stops: Sí, stop-loss porcentual.
  • Valores predeterminados:
    • CciPeriod = 20
    • AveragePeriod = 20
    • DeviationMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Mean reversion
    • Dirección: Ambos
    • Indicadores: CCI
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// CCI Mean Reversion strategy.
/// This strategy enters positions when CCI is significantly below or above its average value.
/// </summary>
public class CciMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevCci;
	private decimal _avgCci;
	private decimal _stdDevCci;
	private decimal _sumCci;
	private decimal _sumSquaresCci;
	private int _count;
	private readonly Queue<decimal> _cciValues = [];

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

	/// <summary>
	/// Period for calculating mean and standard deviation of CCI.
	/// </summary>
	public int AveragePeriod
	{
		get => _averagePeriod.Value;
		set => _averagePeriod.Value = value;
	}

	/// <summary>
	/// Deviation multiplier for entry signals.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public CciMeanReversionStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			
			.SetOptimize(10, 30, 5)
			.SetDisplay("CCI Period", "Period for Commodity Channel Index", "Indicators");

		_averagePeriod = Param(nameof(AveragePeriod), 20)
			.SetGreaterThanZero()
			
			.SetOptimize(10, 50, 10)
			.SetDisplay("Average Period", "Period for calculating CCI average and standard deviation", "Settings");

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1.5m, 3m, 0.5m)
			.SetDisplay("Deviation Multiplier", "Multiplier for standard deviation", "Settings");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1m, 3m, 0.5m)
			.SetDisplay("Stop Loss %", "Stop loss as percentage of entry price", "Risk Management");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevCci = 0;
		_avgCci = 0;
		_stdDevCci = 0;
		_sumCci = 0;
		_sumSquaresCci = 0;
		_count = 0;
		_cciValues.Clear();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		// Reset variables

		// Create CCI indicator
		var cci = new CommodityChannelIndex { Length = CciPeriod };

		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(cci, ProcessCandle)
			.Start();

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

		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0m), // We'll manage exits ourselves based on CCI
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);

		base.OnStarted2(time);
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue cciValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Extract CCI value
		var currentCci = cciValue.ToDecimal();

		// Update CCI statistics
		UpdateCciStatistics(currentCci);

		// Save current CCI for next iteration
		_prevCci = currentCci;

		// If we don't have enough data yet for statistics
		if (_count < AveragePeriod)
			return;

		// Check for entry conditions
		if (Position == 0)
		{
			// Long entry - CCI is significantly below its average
			if (currentCci < _avgCci - DeviationMultiplier * _stdDevCci)
			{
				BuyMarket(Volume);
				LogInfo($"Long entry: CCI = {currentCci}, CCI Avg = {_avgCci}, CCI StdDev = {_stdDevCci}");
			}
			// Short entry - CCI is significantly above its average
			else if (currentCci > _avgCci + DeviationMultiplier * _stdDevCci)
			{
				SellMarket(Volume);
				LogInfo($"Short entry: CCI = {currentCci}, CCI Avg = {_avgCci}, CCI StdDev = {_stdDevCci}");
			}
		}
		// Check for exit conditions
		else if (Position > 0) // Long position
		{
			if (currentCci > _avgCci)
			{
				ClosePosition();
				LogInfo($"Long exit: CCI = {currentCci}, CCI Avg = {_avgCci}");
			}
		}
		else if (Position < 0) // Short position
		{
			if (currentCci < _avgCci)
			{
				ClosePosition();
				LogInfo($"Short exit: CCI = {currentCci}, CCI Avg = {_avgCci}");
			}
		}
	}

	private void UpdateCciStatistics(decimal currentCci)
	{
		// Add current value to the queue
		_cciValues.Enqueue(currentCci);
		_sumCci += currentCci;
		_sumSquaresCci += currentCci * currentCci;
		_count++;

		// If queue is larger than period, remove oldest value
		if (_cciValues.Count > AveragePeriod)
		{
			var oldestCci = _cciValues.Dequeue();
			_sumCci -= oldestCci;
			_sumSquaresCci -= oldestCci * oldestCci;
			_count--;
		}

		// Calculate average and standard deviation
		if (_count > 0)
		{
			_avgCci = _sumCci / _count;
			
			if (_count > 1)
			{
				var variance = (_sumSquaresCci - (_sumCci * _sumCci) / _count) / (_count - 1);
				_stdDevCci = variance <= 0 ? 0 : (decimal)Math.Sqrt((double)variance);
			}
			else
			{
				_stdDevCci = 0;
			}
		}
	}
}