Dual-Timeframe CCI Zero-Cross Trend-Following Strategy

Summary

This strategy uses a long-period CCI to define the prevailing direction and a short-period CCI to time entries. A long is opened when the long CCI is above zero on consecutive bars and the short CCI crosses above zero; a short uses the inverse conditions when shorting is enabled. Positions close when the long CCI crosses zero against them. The accompanying description says entries should be limited to one per trend cycle.

The method aims to combine a slower trend filter with a faster momentum trigger, and it warns that exits can lag during sharp reversals and that sideways markets can produce poor signals. It also highlights sensitivity to CCI settings and position sizing. The code sets default sizing to the full percentage of equity, but its variables for tracking whether a first crossover has occurred are reset on every bar, so the claimed one-entry-per-cycle safeguard may not work as described. No instrument or backtest results are provided; the document recommends testing and simulation before use.

Key ideas

• The long CCI sets directional bias while the short CCI zero-line cross supplies the entry trigger.
• Long and short exits occur when the long CCI crosses zero against the position.
• The description claims one trade per trend cycle, but the code resets the related state flags each bar.
• The code specifies full-equity percentage sizing, which the document identifies as a risk.
• No backtest evidence is provided, and the described method may struggle in sideways markets.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.