CCI High Performance long only — Strategy by saucius
By saucius
Performance Metrics
- Author: saucius
- Symbol: NYSE:ORCL
- Timeframe: 1 day
- Net P&L: +20,761.52 EUR (+20.94%)
- Win Rate: 70.0%
- Profit Factor: 1.808
- Max Drawdown: 6,130.42 EUR (5.19%)
- Total Trades: 50
- Sharpe Ratio: −0.021
Description
This strategy is based on the classic Commodity Channel Index and only works long.The system enters the market when this indicator is very low ( CCI CCI of the previous candle) with a filter on the "strength" of the prices themselves (i.e. the closing of the candle that provides the signal must be higher than a certain difference - fixed at 0.25% - at the opening of the candle itself).You exit the market when you either incur a stop loss or when the prices are above the upper band of the CCI.This system is used to have a high number of profitable operations (well over 50%) with little effort in terms of number of bars, rather than wanting to capture the actual duration of a trend. It is therefore recommended for those who "suffer to see the potential losses".