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CCI 背离策略

当价格走势与商品通道指数（CCI）方向相反时，可能预示趋势即将反转。本策略比较价格和 CCI 的波峰波谷，以识别隐藏的强弱。

测试表明年均收益约为 91%，该策略在股票市场表现最佳。

系统在每根蜡烛更新最近的价格与 CCI 值。当价格创出新低而 CCI 形成更高的低点时，标记为看涨背离；反之则为看跌背离。当背离同时处于超卖或超买区域时，在波动性止损的配合下开仓。

平仓条件为 CCI 重新穿越零线，表明动能已完成。由于背离可能持续，规则还会在固定的根数后重置，以避免过时信号。

细节

  • 入场条件：价格与 CCI 背离，且做多时 CCI 低于 -100，做空时高于 +100。
  • 多/空：双向。
  • 退出条件：CCI 穿越零线或止损。
  • 止损：是，按百分比计算。
  • 默认值：
    • CciPeriod = 20
    • DivergencePeriod = 5
    • OverboughtLevel = 100
    • OversoldLevel = -100
    • CandleType = 15 分钟
    • StopLossPercent = 2
  • 过滤条件：
    • 类别: 背离
    • 方向: 双向
    • 指标: CCI
    • 止损: 有
    • 复杂度: 高级
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 是
    • 风险级别: 中等
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>
/// CCI Divergence strategy.
/// Detects divergences between price and CCI for reversal signals.
/// Bullish: price falling but CCI rising.
/// Bearish: price rising but CCI falling.
/// </summary>
public class CciDivergenceStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevPrice;
	private decimal _prevCci;
	private int _cooldown;

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

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

	/// <summary>
	/// Cooldown bars.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public CciDivergenceStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetRange(5, 30)
			.SetDisplay("CCI Period", "Period for CCI", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevPrice = default;
		_prevCci = default;
		_cooldown = default;
	}

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

		_prevPrice = 0;
		_prevCci = 0;
		_cooldown = 0;

		var cci = new CommodityChannelIndex { Length = CciPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prevPrice == 0)
		{
			_prevPrice = candle.ClosePrice;
			_prevCci = cciValue;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevPrice = candle.ClosePrice;
			_prevCci = cciValue;
			return;
		}

		var bullishDiv = candle.ClosePrice < _prevPrice && cciValue > _prevCci;
		var bearishDiv = candle.ClosePrice > _prevPrice && cciValue < _prevCci;

		if (Position == 0 && bullishDiv && cciValue > -100)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (Position == 0 && bearishDiv && cciValue < 100)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position > 0 && cciValue > 100)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && cciValue < -100)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_prevPrice = candle.ClosePrice;
		_prevCci = cciValue;
	}
}