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MA2CCI Adaptive Volume Strategy

Overview

The MA2CCI strategy is a direct port of the MetaTrader 4 expert advisor originally distributed as "MA2CCI.mq4". The system combines a fast/slow simple moving average (SMA) crossover with a Commodity Channel Index (CCI) zero-line confirmation. Every validated crossover opens a single market position and immediately places an Average True Range (ATR) based protective stop. Position sizing follows the original money-management logic by scaling the order size relative to equity and reducing it after streaks of losing trades.

Indicators and Data

  • Fast SMA (FMa) and Slow SMA (SMa) on the configured timeframe to detect trend reversals.
  • Commodity Channel Index (CCI) with the same price stream to confirm momentum direction through zero-line crossings.
  • Average True Range (ATR) to measure recent volatility and derive the stop-loss distance.
  • Candles of the chosen timeframe (default 15 minutes) provide the input series for all indicators.

Trading Rules

  • Long entry: The fast SMA crosses above the slow SMA while CCI crosses from negative to positive on the same bar, no position is open, and trading is allowed. A market buy order is sent and a stop-loss is armed at close − ATR × AtrMultiplier.
  • Short entry: The fast SMA crosses below the slow SMA while CCI crosses from positive to negative, no position is open. A market sell order is placed with a stop-loss at close + ATR × AtrMultiplier.
  • Exit for longs: If the fast SMA crosses back below the slow SMA the entire long position is closed at market. The protective stop is also cancelled.
  • Exit for shorts: If the fast SMA crosses back above the slow SMA the short position is covered at market and the stop is cancelled.
  • Stop-loss: Every new position restores a volatility stop that mirrors the MetaTrader logic. Stops are recalculated only on new entries and are stored as separate conditional orders.

Position Sizing

  • The base lot size starts from the BaseVolume parameter (default 0.1 lot).
  • If RiskFraction is positive the strategy calculates an additional size using equity × RiskFraction / 1000, mimicking the original AccountFreeMargin formula, and uses the maximum between both values.
  • After two or more consecutive losing trades the lot size is reduced by volume × losses / DecreaseFactor, replicating the DcF drawdown control.
  • Volumes are normalized to the instrument's VolumeStep.

Parameters

Name Default Description
FastMaPeriod 4 Fast SMA lookback period.
SlowMaPeriod 8 Slow SMA lookback period.
CciPeriod 4 Commodity Channel Index period.
AtrPeriod 4 Average True Range period used for stop distance.
AtrMultiplier 1.0 Multiplier applied to ATR before placing the stop-loss.
BaseVolume 0.1 Minimum trade size before risk adjustments.
RiskFraction 0.02 Fraction of equity risked per trade (per 1000 currency units).
DecreaseFactor 3 Divisor that controls how fast the size shrinks after losses.
CandleType 15-minute candles Timeframe used for indicators and signals.

Notes

  • Email notifications from the original expert advisor (SndMl) are intentionally omitted.
  • Only one position can be open at a time, matching the MetaTrader behaviour of the source code.
  • Protective stops are recreated whenever the position flips or closes to keep orphan orders from remaining in the book.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MA2CCI Adaptive Volume strategy - dual EMA crossover with CCI filter.
/// Buys when fast EMA crosses above slow EMA and CCI is above zero.
/// Sells when fast EMA crosses below slow EMA and CCI is below zero.
/// </summary>
public class Ma2CciAdaptiveVolumeStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public Ma2CciAdaptiveVolumeStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 8)
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetDisplay("CCI Period", "CCI lookback", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevFast = 0m; _prevSlow = 0m; _hasPrev = false; }

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrev = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };

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

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow, decimal cci)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_hasPrev) { _prevFast = fast; _prevSlow = slow; _hasPrev = true; return; }

		if (_prevFast <= _prevSlow && fast > slow && cci > 0 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (_prevFast >= _prevSlow && fast < slow && cci < 0 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
		_prevFast = fast; _prevSlow = slow;
	}
}