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CCI VWAP 策略

该策略利用CCI指标与VWAP寻找日内反转。当CCI跌破CciOversold且价格低于VWAP时做多；当CCI升破CciOverbought且价格高于VWAP时做空。价格反向穿越VWAP时平仓。

测试表明年均收益约为 70%，该策略在股票市场表现最佳。

该方法适合喜欢在极端位置做反向交易的日内交易者，明确的止损有助于控制风险。

细节

  • 入场条件:
    • 多头: CCI < CciOversold && Price < VWAP
    • 空头: CCI > CciOverbought && Price > VWAP
  • 多/空: 双向
  • 离场条件:
    • 多头: 价格上穿VWAP时平仓
    • 空头: 价格下穿VWAP时平仓
  • 止损: 是
  • 默认值:
    • CciPeriod = 20
    • CciOversold = -100
    • CciOverbought = 100
    • StopLossPercent = 2 -100和100是规则中CCI阈值的默认值。市场全天候交易，因此时段VWAP在每个UTC日重新开始，并按成交量加权每根K线的典型价格。与持仓方向相反的入场信号会反转持仓。
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Mixed
    • 方向: 双向
    • 指标: CCI VWAP
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 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 VWAP 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.
/// CCI below CciOversold with a close below VWAP goes long and CCI above CciOverbought with a close above VWAP goes short,
/// reversing an opposite position. A long closes once price closes above VWAP and a short once it closes below, and a percent stop limits the loss.
/// </summary>
public class CciVwapStrategy : 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 CciVwapStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period of CCI", "Indicators");

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

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

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

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