StockSharp.Strategies.0211_CCI_VWAP 5.0.1

Prefix Reserved 
dotnet add package StockSharp.Strategies.0211_CCI_VWAP --version 5.0.1
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0211_CCI_VWAP -Version 5.0.1
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0211_CCI_VWAP" Version="5.0.1" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0211_CCI_VWAP" Version="5.0.1" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0211_CCI_VWAP" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0211_CCI_VWAP --version 5.0.1
                    


                    

                
#r "nuget: StockSharp.Strategies.0211_CCI_VWAP, 5.0.1"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0211_CCI_VWAP@5.0.1
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0211_CCI_VWAP&version=5.0.1
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0211_CCI_VWAP&version=5.0.1
                    


                            Install as a Cake Tool

CCI VWAP Strategy (C# Version)

The CCI VWAP approach attempts to capture intraday reversals when momentum and price align away from the volume weighted average price. By observing the Commodity Channel Index alongside the VWAP level, the system measures the strength of recent swings relative to a fair value benchmark.

A buy setup emerges when the CCI falls below -100 and the market trades beneath VWAP, signalling that selling pressure may be exhausted. A short occurs when the CCI rises above +100 with price above VWAP, highlighting a stretched rally vulnerable to a setback. Positions are closed once price reclaims the VWAP in the opposite direction.

This strategy is designed for day traders who like to fade extremes yet still rely on objective levels for exits. The defined stop-loss helps manage risk if momentum does not quickly mean revert.

Details

  • Entry Criteria:
    • Long: CCI < -100 && Price < VWAP (oversold below VWAP)
    • Short: CCI > 100 && Price > VWAP (overbought above VWAP)
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit long when price moves above VWAP
    • Short: Exit short when price falls below VWAP
  • Stops: Yes.
  • Default Values:
    • CciPeriod = 20
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mixed
    • Direction: Both
    • Indicators: CCI VWAP
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

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NuGet packages

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Version Downloads Last Updated
5.0.1 272 7/20/2025
5.0.0 63 7/11/2025