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