Adx Cci Strategy (C#)

Adx Cci Strategy

Strategy based on ADX and CCI indicators. Enters long when ADX > 25 and CCI is oversold (< -100) Enters short when ADX > 25 and CCI is overbought (> 100)

Testing indicates an average annual return of about 97%. It performs best in the crypto market.

ADX assesses whether a trend has strength and CCI identifies entry timing after pullbacks. Longs and shorts follow the ADX direction.

Geared toward momentum traders entering on retracements. A percent stop manages risk.

Details

• Entry Criteria:
  • Long: ADX > 25 && CCI < -100
  • Short: ADX > 25 && CCI > 100
• Long/Short: Both
• Exit Criteria: Trend weakens or CCI crosses zero
• Stops: Percent-based using StopLossPercent
• Default Values:
  • AdxPeriod = 14
  • AdxThreshold = 25
  • CciPeriod = 20
  • CciOversold = -100
  • CciOverbought = 100
  • StopLossPercent = 2
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame() The 25, -100 and 100 in the rules are the defaults of AdxThreshold, CciOversold and CciOverbought. The trend weakens when ADX falls below AdxThreshold; a long also closes when CCI rises to zero and a short when it falls to zero. An entry signal against an open position reverses it.
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: ADX, CCI
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium