CCI Mean Reversion Strategy (Python)

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. 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.

• 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