Tags:

This is a reversal trading strategy based on the CCI indicator. It will open reverse trades when the CCI indicator shows overbought or oversold levels. Overall, this strategy utilizes the overbought and oversold features of the CCI indicator to capture price reversal opportunities.

Firstly, this strategy is based on the CCI indicator. The CCI indicator formula is:

CCI = (Typical Price - Simple Moving Average) / (0.015 * Standard Deviation)

Where,
Typical Price = (Highest + Lowest + Close) / 3
Simple Moving Average = Moving average of Typical Price over past N days

Standard Deviation = Square root of variance of Typical Price over past N days

This strategy uses a 11-period CCI indicator. And -150 is set as the oversold level, while 150 as the overbought level.

On every bar close, the 11-period CCI indicator will be checked. If CCI crosses below -150, a long signal is generated. If CCI crosses above 150, a short signal is generated.

After receiving the signal, market order will be used to open position. 1% profit target and 0.5% stop loss are set.

- Using CCI indicator can effectively capture price reversal opportunities
- CCI parameters are adjustable for optimization
- Fixed profit target and stop loss ratio effectively controls risk
- Simple and clear strategy logic, easy to understand and implement

- CCI indicator may generate lots of false signals, entry signals may not be reliable

- Solution: Optimize CCI parameters, add filter with other indicators

- Fixed profit target and stop loss ratio may not suit different products

- Solution: Add dynamic profit target and stop loss

- Strategy relies solely on CCI, risk of ineffectiveness is high

- Solution: Combine multiple indicators to improve robustness

- No consideration on trading cost, live performance may suffer

- Solution: Add slippage control, reduce trading frequency

- Optimize CCI parameters to find better parameter combinations
- Add other indicators like MACD, KDJ for signal filtering
- Develop dynamic profit target and stop loss instead of fixed ratio
- Optimize strategy to lower trading frequency, reducing trading cost impact
- Conduct backtesting optimization to find best parameter combination for live trading

The 4-hour CCI reversal strategy is a simple strategy utilizing CCI indicator for reversal trading. It has the advantage of clear logic and easy implementation. But it also has weaknesses like unreliable CCI signals and inflexible profit target/stop loss. Further improvements can be made by optimizing CCI parameters, adding filter indicators, developing dynamic exits, etc. Overall this strategy provides a CCI-based idea for quantitative trading, but requires further optimization before live application.

/*backtest start: 2023-09-12 00:00:00 end: 2023-10-12 00:00:00 period: 3h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 strategy("4H CCI Strategy", overlay=true) length = input( 11 ) overSold = input( -150 ) overBought = input( +150 ) price1 = high price2 = low ucci = cci(price1, length) dcci = cci(price2, length) vcci = cci(ohlc4, 11) resCustom = input(title="Timeframe", defval="15") Length = input(16, minval=1) xPrice = request.security(syminfo.tickerid, resCustom, hlc3) xvnoise = abs(xPrice - xPrice[1]) nfastend = 0.666 nslowend = 0.0645 nsignal = abs(xPrice - xPrice[Length]) nnoise = sum(xvnoise, Length) nefratio = iff(nnoise != 0, nsignal / nnoise, 0) nsmooth = pow(nefratio * (nfastend - nslowend) + nslowend, 2) nAMA = nz(nAMA[1]) + nsmooth * (xPrice - nz(nAMA[1])) basis1 = nAMA slope = change(basis1,1) if (not na(vcci)) if (crossover(dcci, overSold)) strategy.entry("CCILE", strategy.long, comment="CCILE") strategy.exit("exit", "CCILE", profit = 0.01, loss = 0.005) if (crossunder(ucci, overBought)) strategy.entry("CCISE", strategy.short, comment="CCISE") strategy.exit("exit", "CCISE", profit = 0.01, loss = 0.005) //plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)

- Ichimoku Cloud with MACD Strategy
- Wick Reversal Pattern Strategy
- Ocean Theory Grid Trading Strategy
- SuperTrend Strategy
- Ichimoku Breakout Strategy
- Dynamic Strategy Analytics Tool
- Mini Pullback Supertrend Strategy
- Dual Smooth Moving Average Trading Strategy
- Double Moving Average Crossover Trading Strategy
- Turtle Trading 3-Day Reversion Strategy
- Bitcoin Volatility Band Reversion Strategy
- Dual TEMA Crossover Trading Strategy
- Ichimoku Balance Line Trend Tracking Strategy
- Crossing the Breakout Strategy
- Chaikin Oscillator Strategy
- Golden Cross Death Cross Strategy
- Swing Trading Strategy
- Price Volatility Mean Reversion Strategy
- RSI Range Breakout Strategy
- PB SAR Backtest Strategy with Elastic Stop Loss