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