StockSharp.Strategies.0238_CCI_Mean_Reversion

CCI Mean Reversion Strategy (C# Version)

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