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Macd Cci Strategy

Implementation of strategy - MACD + CCI. Buy when MACD is above Signal line and CCI is below -100 (oversold). Sell when MACD is below Signal line and CCI is above 100 (overbought).

Testing indicates an average annual return of about 70%. It performs best in the stocks market.

MACD swings highlight momentum shifts; CCI helps time pullback entries in that direction. Both long and short trades are possible.

Traders who blend momentum with oscillators may like this technique. Risk control uses an ATR stop.

Details

  • Entry Criteria:
    • Long: MACD > Signal && CCI < CciOversold
    • Short: MACD < Signal && CCI > CciOverbought
  • Long/Short: Both
  • Exit Criteria: MACD cross in opposite direction
  • Stops: Percent-based using StopLoss
  • Default Values:
    • FastPeriod = 12
    • SlowPeriod = 26
    • SignalPeriod = 9
    • CciPeriod = 20
    • CciOversold = -100m
    • CciOverbought = 100m
    • StopLoss = new Unit(2, UnitTypes.Percent)
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: MACD, CCI
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

using StockSharp.Algo;
using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Implementation of strategy - MACD + CCI.
/// Buy when MACD is above Signal line and CCI is below -100 (oversold).
/// Sell when MACD is below Signal line and CCI is above 100 (overbought).
/// </summary>
public class MacdCciStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciOversold;
	private readonly StrategyParam<decimal> _cciOverbought;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<Unit> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private int _cooldown;
	private bool _hasPrevMacdState;
	private bool _prevMacdAboveSignal;

	/// <summary>
	/// MACD fast period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// MACD slow period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	/// <summary>
	/// MACD signal period.
	/// </summary>
	public int SignalPeriod
	{
		get => _signalPeriod.Value;
		set => _signalPeriod.Value = value;
	}

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

	/// <summary>
	/// CCI oversold level.
	/// </summary>
	public decimal CciOversold
	{
		get => _cciOversold.Value;
		set => _cciOversold.Value = value;
	}

	/// <summary>
	/// CCI overbought level.
	/// </summary>
	public decimal CciOverbought
	{
		get => _cciOverbought.Value;
		set => _cciOverbought.Value = value;
	}

	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Stop-loss value.
	/// </summary>
	public Unit StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

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

	/// <summary>
	/// Initialize <see cref="MacdCciStrategy"/>.
	/// </summary>
	public MacdCciStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period for MACD", "MACD Parameters");

		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period for MACD", "MACD Parameters");

		_signalPeriod = Param(nameof(SignalPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Period", "Signal line period for MACD", "MACD Parameters");

		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period for Commodity Channel Index", "CCI Parameters");

		_cciOversold = Param(nameof(CciOversold), -100m)
			.SetDisplay("CCI Oversold", "CCI level to consider market oversold", "CCI Parameters");

		_cciOverbought = Param(nameof(CciOverbought), 100m)
			.SetDisplay("CCI Overbought", "CCI level to consider market overbought", "CCI Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 320)
			.SetRange(5, 1000)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

		_stopLoss = Param(nameof(StopLoss), new Unit(2, UnitTypes.Percent))
			.SetDisplay("Stop Loss", "Stop loss percent or value", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_cooldown = 0;
		_hasPrevMacdState = false;
		_prevMacdAboveSignal = false;
	}

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

		// Create indicators

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastPeriod },
				LongMa = { Length = SlowPeriod },
			},
			SignalMa = { Length = SignalPeriod }
		};
		var cci = new CommodityChannelIndex { Length = CciPeriod };

		// Setup candle subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind indicators to candles
		subscription
			.BindEx(macd, cci, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, macd);
			
			// Create separate area for CCI
			var cciArea = CreateChartArea();
			if (cciArea != null)
			{
				DrawIndicator(cciArea, cci);
			}
			
			DrawOwnTrades(area);
		}

	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!macdValue.IsFormed || !cciValue.IsFormed)
			return;

		// Note: In this implementation, the MACD and signal values are obtained separately.
		// We need to extract both MACD and signal values to determine crossovers.
		// For demonstration, we'll access these values through a direct call to the indicator.
		// In a proper implementation, we should find a way to get these values through Bind parameter values.
		
		// Get MACD line and Signal line values
		// This approach is not ideal - in a proper implementation, these values should come from the Bind parameters
		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		var macdLine = macdTyped.Macd; // The main MACD line
		var signalLine = macdTyped.Signal; // Signal line
		
		// Determine if MACD is above or below signal line
		var isMacdAboveSignal = macdLine > signalLine;
		var cciDec = cciValue.ToDecimal();

		if (!_hasPrevMacdState)
		{
			_hasPrevMacdState = true;
			_prevMacdAboveSignal = isMacdAboveSignal;
			return;
		}

		LogInfo($"Candle: {candle.OpenTime}, Close: {candle.ClosePrice}, " +
			$"MACD: {macdLine}, Signal: {signalLine}, " +
			$"MACD > Signal: {isMacdAboveSignal}, CCI: {cciDec}");

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevMacdAboveSignal = isMacdAboveSignal;
			return;
		}

		var crossedUp = !_prevMacdAboveSignal && isMacdAboveSignal;
		var crossedDown = _prevMacdAboveSignal && !isMacdAboveSignal;

		// Trading rules
		if (crossedUp && cciDec < CciOversold && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
			
			LogInfo($"Buy signal: MACD crossed above Signal and CCI oversold ({cciDec} < {CciOversold}).");
		}
		else if (crossedDown && cciDec > CciOverbought && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
			
			LogInfo($"Sell signal: MACD crossed below Signal and CCI overbought ({cciDec} > {CciOverbought}).");
		}
		// Exit conditions based on MACD crossovers
		else if (crossedDown && Position > 0)
		{
			// Exit long position when MACD crosses below signal
			SellMarket();
			_cooldown = CooldownBars;
			LogInfo($"Exit long: MACD crossed below Signal. Position: {Position}");
		}
		else if (crossedUp && Position < 0)
		{
			// Exit short position when MACD crosses above signal
			BuyMarket();
			_cooldown = CooldownBars;
			LogInfo($"Exit short: MACD crossed above Signal. Position: {Position}");
		}

		_prevMacdAboveSignal = isMacdAboveSignal;
	}
}