CCI Mean Reversion Strategy (C#). StockSharp

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