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CCI Mean Reversion Strategy

The Commodity Channel Index (CCI) measures how far price moves from its statistical average. This strategy enters when CCI deviates from its own mean by a large margin, expecting a snap back once momentum fades.

Testing indicates an average annual return of about 151%. It performs best in the stocks market.

A long trade occurs when CCI drops below the average minus DeviationMultiplier times the standard deviation. A short trade is opened when CCI rises above the average plus that multiplier. The position exits when CCI crosses back through the mean value.

This system is suited to short-term traders who favour contrarian setups. A stop-loss based on percentage move helps cap risk if the market fails to revert quickly.

Details

  • Entry Criteria:
    • Long: CCI < Avg - DeviationMultiplier * StdDev
    • Short: CCI > Avg + DeviationMultiplier * StdDev
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit when CCI > Avg
    • Short: Exit when CCI < Avg
  • Stops: Yes, percent stop-loss.
  • Default Values:
    • CciPeriod = 20
    • AveragePeriod = 20
    • DeviationMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: CCI
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium
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;
			}
		}
	}
}