Português
Ver no GitHub

Estratégia Vwap Cci

Implementação da estratégia - VWAP + CCI. Compra quando o preço está abaixo do VWAP e o CCI está abaixo de -100 (sobrevendido). Vende quando o preço está acima do VWAP e o CCI está acima de 100 (sobrecomprado).

Os testes indicam um retorno anual médio de aproximadamente 82%. Funciona melhor no mercado de ações.

O VWAP atua como referência de valor, e o CCI destaca movimentos de momentum que se afastam dele. As entradas favorecem leituras fortes do CCI em relação ao VWAP.

Projetado para traders intradiários que se concentram na interação com o VWAP. Um stop percentual ajuda a manter a disciplina.

Detalhes

  • Critérios de entrada:
    • Comprado: Close < VWAP && CCI < CciOversold
    • Vendido: Close > VWAP && CCI > CciOverbought
  • Comprado/Vendido: Ambos
  • Critérios de saída:
    • O preço cruza de volta pelo VWAP
  • Stops: Baseados em porcentagem usando StopLossPercent
  • Valores padrão:
    • CciPeriod = 20
    • CciOversold = -100m
    • CciOverbought = 100m
    • StopLossPercent = 2
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() O mercado negocia 24 horas, por isso o VWAP da sessão reinicia a cada dia UTC e pondera o preço típico de cada candle pelo seu volume. Um sinal de entrada contra uma posição aberta a inverte.
  • Filtros:
    • Categoria: Reversão à média
    • Direção: Ambos
    • Indicadores: VWAP, CCI
    • Stops: Sim
    • Complexidade: Intermediário
    • Período: Médio prazo
    • Sazonalidade: Não
    • Redes neurais: Não
    • Divergência: Não
    • Nível de risco: Médio
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>
/// VWAP CCI strategy.
/// The market trades around the clock, so the session VWAP restarts with each UTC day and weighs each candle's typical price by its volume.
/// A close below VWAP with CCI below CciOversold goes long and a close above VWAP with CCI above CciOverbought goes short, reversing
/// an opposite position. A long closes when price crosses back above VWAP and a short when it crosses back below,
/// and a percent stop limits the loss.
/// </summary>
public class VwapCciStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciOversold;
	private readonly StrategyParam<decimal> _cciOverbought;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _day;
	private decimal _cumulativePriceVolume;
	private decimal _cumulativeVolume;

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

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

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

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public VwapCciStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period of CCI", "CCI");

		_cciOversold = Param(nameof(CciOversold), -100m)
			.SetDisplay("CCI Oversold", "CCI level for longs", "CCI");

		_cciOverbought = Param(nameof(CciOverbought), 100m)
			.SetDisplay("CCI Overbought", "CCI level for shorts", "CCI");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_day = null;
		_cumulativePriceVolume = 0;
		_cumulativeVolume = 0;
	}

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

		_day = null;
		_cumulativePriceVolume = 0;
		_cumulativeVolume = 0;

		var cci = new CommodityChannelIndex { Length = CciPeriod };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		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 area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, cci);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		var day = candle.OpenTime.Date;

		if (_day != day)
		{
			_day = day;
			_cumulativePriceVolume = 0;
			_cumulativeVolume = 0;
		}

		var typicalPrice = (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3;
		_cumulativePriceVolume += typicalPrice * candle.TotalVolume;
		_cumulativeVolume += candle.TotalVolume;

		if (!cciValue.IsFormed || _cumulativeVolume <= 0)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var vwap = _cumulativePriceVolume / _cumulativeVolume;
		var cci = cciValue.GetValue<decimal>();
		var close = candle.ClosePrice;

		if (close < vwap && cci < CciOversold && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close > vwap && cci > CciOverbought && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && close > vwap)
			SellMarket(Position);
		else if (Position < 0 && close < vwap)
			BuyMarket(-Position);
	}
}