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CCI Automated

CCI Automated 是一个基于商品通道指数（CCI）阈值交叉的反转策略。当 CCI 先跌破 -90 后再上穿 -80 时做多；当 CCI 先突破 90 后再下穿 80 时做空。策略允许同时打开多笔仓位，通过固定的止盈和止损控制风险，并使用可配置的追踪止损锁定利润。

该方法旨在捕捉超买或超卖后的早期动量变化。通过逐步加仓并在价格推进时移动止损，策略试图把握持续的反转走势，同时限制潜在回撤。

详情

  • 入场条件：CCI 从低于 -90 上穿 -80 做多；从高于 90 下穿 80 做空。
  • 多空方向：双向。
  • 离场条件：止损、止盈或追踪止损。
  • 止损：有。
  • 默认值：
    • CciPeriod = 9
    • TradesDuplicator = 3
    • Volume = 0.03
    • StopLoss = 50
    • TakeProfit = 200
    • TrailingStop = 50
    • CandleType = TimeSpan.FromMinutes(5)
  • 筛选：
    • 类型：均值回归
    • 方向：双向
    • 指标：CCI
    • 止损：是
    • 复杂度：基础
    • 时间框架：日内（5分钟）
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险水平：中等
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;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that trades based on CCI crossing specific thresholds.
/// </summary>
public class CciAutomatedStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _tradesDuplicator;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevCci;
	private decimal? _trailPrice;

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

	/// <summary>
	/// Maximum number of duplicated trades.
	/// </summary>
	public int TradesDuplicator
	{
		get => _tradesDuplicator.Value;
		set => _tradesDuplicator.Value = value;
	}


	/// <summary>
	/// Stop loss distance in price units.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Take profit distance in price units.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price units.
	/// </summary>
	public decimal TrailingStop
	{
		get => _trailingStop.Value;
		set => _trailingStop.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="CciAutomatedStrategy" /> class.
	/// </summary>
	public CciAutomatedStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 9)
			.SetRange(5, 50)
			.SetDisplay("CCI Period", "CCI indicator length", "Indicators")
			;

		_tradesDuplicator = Param(nameof(TradesDuplicator), 3)
			.SetRange(1, 10)
			.SetDisplay("Trades Duplicator", "Maximum number of concurrent trades", "General")
			;


		_stopLoss = Param(nameof(StopLoss), 50m)
			.SetRange(10m, 200m)
			.SetDisplay("Stop Loss", "Stop loss in price units", "Risk")
			;

		_takeProfit = Param(nameof(TakeProfit), 200m)
			.SetRange(10m, 500m)
			.SetDisplay("Take Profit", "Take profit in price units", "Risk")
			;

		_trailingStop = Param(nameof(TrailingStop), 50m)
			.SetRange(10m, 200m)
			.SetDisplay("Trailing Stop", "Trailing stop in price units", "Risk")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevCci = null;
		_trailPrice = null;
	}

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

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

		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;

		var maxVolume = TradesDuplicator * Volume;

		if (_prevCci is decimal prev)
		{
			if (prev < -90m && cciValue > -80m && Position + Volume <= maxVolume)
			{
				BuyMarket();
				_trailPrice = candle.ClosePrice - TrailingStop;
			}
			else if (prev > 90m && cciValue < 80m && Position - Volume >= -maxVolume)
			{
				SellMarket();
				_trailPrice = candle.ClosePrice + TrailingStop;
			}
		}

		if (Position > 0)
		{
			var candidate = candle.ClosePrice - TrailingStop;
			if (_trailPrice is null || candidate > _trailPrice)
				_trailPrice = candidate;
			if (_trailPrice is decimal tp && candle.ClosePrice <= tp)
			{
				SellMarket();
				_trailPrice = null;
			}
		}
		else if (Position < 0)
		{
			var candidate = candle.ClosePrice + TrailingStop;
			if (_trailPrice is null || candidate < _trailPrice)
				_trailPrice = candidate;
			if (_trailPrice is decimal tp && candle.ClosePrice >= tp)
			{
				BuyMarket();
				_trailPrice = null;
			}
		}

		_prevCci = cciValue;
	}

	/// <inheritdoc />
	protected override void OnPositionReceived(Position position)
	{
		base.OnPositionReceived(position);

		if (Position == 0)
			_trailPrice = null;
	}
}