Overview
The Dual-Timeframe Momentum CCI Trend Following Trading Strategy is a quantitative trading system that combines long and short period Commodity Channel Index (CCI) indicators, specifically designed to identify and capture strong trending market conditions. This strategy cleverly utilizes a 50-period long-term CCI to determine the primary market trend direction, while employing a 5-period short-term CCI to capture momentum changes and entry timing. This dual-timeframe approach not only effectively filters out false signals but also provides precise entry points in the early stages of trends, maximizing profit capture during the core trend movement. The strategy supports two-way trading, allowing users to flexibly enable or disable short selling based on their risk preferences, making it adaptable to different market environments and trading requirements.

Strategy Principles
The core logic of this strategy is based on CCI indicator zero-line crossovers and momentum change theory, with specific operational principles as follows:

Long Entry Conditions:

• Long-period CCI(50) current and previous values are both greater than 0, indicating an upward market trend
• Short-period CCI(5) crosses above the zero line, indicating a shift to positive short-term momentum
• Ensures that only one signal is triggered within the current trend cycle, avoiding repeated entries

Long Exit Conditions:

• Long-period CCI(50) crosses below the zero line, indicating a potential shift to a downward trend

Short Entry Conditions (only when short selling is enabled):

• Long-period CCI(50) current and previous values are both less than 0, indicating a downward market trend
• Short-period CCI(5) crosses below the zero line, indicating a shift to negative short-term momentum
• Similarly ensures that only one signal is triggered within the current trend cycle

Short Exit Conditions:

• Long-period CCI(50) crosses above the zero line, indicating a potential shift to an upward trend

The strategy tracks trend cycle states through variables inPositiveCciLongCycle, firstCrossoverOccurred, and firstCrossunderOccurred, ensuring that only one trade is executed within a trend cycle, effectively avoiding frequent trading in oscillating markets and unnecessary commission losses.

Strategy Advantages
Through in-depth code analysis, this strategy demonstrates several significant advantages:

1. Dual Confirmation of Trend and Momentum: By combining long-period and short-period CCI indicators, it forms a dual confirmation mechanism for trend direction and entry timing, significantly reducing the risk of false signals.

2. Precise Entry Timing: The strategy identifies momentum changes through short-period CCI zero-line crossovers, providing more precise entry points in the early stages of trends, improving capital utilization efficiency.

3. Avoidance of Frequent Trading: Through the single-entry-per-cycle mechanism, it effectively avoids frequent trading in oscillating markets, reducing transaction costs.

4. Flexible Trading Modes: Supports long-only or two-way trading, allowing users to adjust according to market environment and personal preferences, adapting to different market conditions.

5. Clear Visual Feedback: The strategy provides intuitive visual indicators, including CCI indicator lines and trade signal markers, facilitating analysis and backtest verification.

6. Parameter Adjustability: Users can adjust long and short CCI period parameters based on different market and instrument characteristics, enhancing strategy adaptability.

Strategy Risks
Despite the rational design of this strategy, there are still the following potential risks:

1. Trend Reversal Risk: In cases of sudden strong trend reversals, the long-period CCI may not cross the zero line in time, causing delayed exit signals and potentially giving back accumulated profits. The solution is to introduce profit-taking mechanisms or add more sensitive exit indicators.

2. Poor Performance in Range-Bound Markets: In long-term sideways or trendless market environments, the strategy may produce multiple ineffective signals, leading to losses. It is recommended to use this strategy when the market is confirmed to be in a clear trend.

3. Parameter Sensitivity: The choice of CCI period parameters significantly impacts strategy performance, and different markets may require different parameter settings. It is recommended to find suitable parameter combinations for specific markets through backtesting optimization.

4. Single Indicator Dependency: The strategy relies solely on the CCI indicator, lacking auxiliary confirmation from other technical indicators or price patterns, potentially increasing the risk of false signals. Consider adding additional filtering conditions.

5. Insufficient Capital Management: The code uses fixed proportion position management (100% of capital), which may bring excessive risk in highly volatile markets. It is recommended to dynamically adjust position size based on market volatility.

Strategy Optimization Directions
Based on code analysis, this strategy can be optimized in the following directions:

1. Add Filtering Conditions: Combine with other technical indicators such as moving averages, RSI, or MACD to build multiple confirmation mechanisms, improving signal quality. This optimization is necessary because a single CCI indicator may produce misleading signals in certain market environments, and multiple indicators can complement each other's shortcomings.

2. Introduce Adaptive Parameters: Design CCI period parameters to automatically adjust based on market volatility, enabling the strategy to adapt to different market phases. This optimization helps the strategy maintain stable performance in different volatility environments.

3. Improve Capital Management: Introduce ATR-based dynamic position management, automatically adjusting position size based on market volatility, balancing returns and risk. This improvement allows the strategy to control risk in highly volatile markets while fully leveraging opportunities in low-volatility trends.

4. Add Stop-Loss and Take-Profit Mechanisms: Design dynamic stop-loss and take-profit strategies based on market volatility, protecting existing profits and limiting single trade losses. This can prevent significant profit drawdowns caused by delayed reactions of the long-period CCI.

5. Time-Period Optimization: Adjust strategy parameters or trading logic for different trading sessions (such as opening, closing) to adapt to the market characteristics of each time period. Markets often exhibit different volatility and trend characteristics during different periods, and targeted optimization can improve strategy stability.

6. Add Drawdown Control: Design maximum drawdown control mechanisms that automatically reduce positions or pause trading when strategy performance is poor, preventing consecutive losses. This mechanism helps the strategy protect itself in unfavorable market environments.

Summary
The Dual-Timeframe Momentum CCI Trend Following Trading Strategy is an efficient trend-following system based on the CCI indicator, using the synergy between long and short period CCIs to identify market trend direction while capturing optimal entry timing. The strategy design is simple yet effective, particularly suitable for clearly trending markets. Although there are certain risks related to parameter sensitivity and single indicator dependency, through the suggested optimization directions, including multiple indicator combinations, adaptive parameters, and improved capital management mechanisms, the robustness and adaptability of the strategy can be significantly enhanced. For quantitative investors pursuing trend trading, this strategy provides an ideal starting point that can be further customized and optimized according to individual needs and market characteristics. In practical application, it is recommended to combine thorough backtesting and simulated trading to verify the strategy's performance in specific markets, and continuously adjust and refine strategy parameters and logic based on backtest results.

Strategy source code

/*backtest
start: 2024-07-03 00:00:00
end: 2025-07-01 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

// @version=6
// @description= Trend-following trading strategy based on the Commodity Channel Index (CCI) and price action confirmation. 
// The strategy focuses on identifying momentum-driven trends with entry and exit conditions.
// @author: withoutbug
strategy("Momentum CCI Trend Following Strategy",
     overlay=false, 
     initial_capital=10000, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100,
     commission_type=strategy.commission.percent,
     commission_value=0.075,
     margin_long=0,
     margin_short=0)

// Input parameters
cciLongPeriod = input.int(50, "Long CCI Period", minval=1)
cciShortPeriod = input.int(5, "Short CCI Period", minval=1)
twoWayTrading = input(false, "Enable Short Order Book")



// Calculate CCI
cciLong = ta.cci(hlc3, cciLongPeriod)
cciShort = ta.cci(hlc3, cciShortPeriod)

cciLongCrossUnderZero = ta.crossunder(cciLong, 0)
cciShortCrossOverZero = ta.crossover(cciShort, 0)

cciLongCrossOverZero = ta.crossover(cciLong, 0)
cciShortCrossUnderZero = ta.crossunder(cciShort, 0)


// Track CCI Long > 0 state and first crossover
var bool inPositiveCciLongCycle = false
var bool firstCrossoverOccurred = false
var bool firstCrossunderOccurred = false

// Update CCI Long cycle state
firstCrossoverOccurred := false
firstCrossunderOccurred := false

// Buy conditions
buySignal = strategy.position_size==0 and cciLong > 0 and cciLong[1] > 0 and  cciShortCrossOverZero and firstCrossoverOccurred == false
if buySignal
    firstCrossoverOccurred := true

// Exit conditions
exitLong = strategy.position_size>0 and cciLongCrossUnderZero

// Sell conditions
sellSignal = strategy.position_size==0 and cciLong < 0 and cciLong[1] < 0 and  cciShortCrossUnderZero and firstCrossunderOccurred == false
if sellSignal
    firstCrossunderOccurred := true

// Exit conditions
exitShort = strategy.position_size<0 and cciLongCrossOverZero


// Strategy logic
if (buySignal)
    strategy.entry("Long", strategy.long)

if (exitLong)
    strategy.close("Long", comment="CCI Exit Long")

if (sellSignal and twoWayTrading)
    strategy.entry("Short", strategy.short)

if (exitShort and twoWayTrading)
    strategy.close("Short", comment="CCI Exit Short")


// Plot CCI indicators on the panel
plot(cciLong, title="Long CCI", color = cciLong>=0 ? color.green:color.red, linewidth=2, style = plot.style_area)
plot(cciShort, title="Short CCI", color=color.yellow, linewidth=1)


hline(0, "Zero Line", color=color.gray, linestyle=hline.style_solid)

// Plot buy and sell signals on the panel
plotshape(buySignal, title="Buy Signal", location=location.bottom, color=color.green, style=shape.triangleup, size=size.tiny)
plotshape(exitLong, title="exitLong", location=location.top, color=color.red, style=shape.triangledown, size=size.tiny)


plotshape(sellSignal, display = twoWayTrading?display.pane:display.none, title="Sell Signal", location=location.top, color=color.red, style=shape.triangledown, size=size.tiny)
plotshape(exitShort, display = twoWayTrading?display.pane:display.none, title="exitShort", location=location.bottom, color=color.green, style=shape.triangleup, size=size.tiny)

Strategy parameters

The original address: Dual-Timeframe Momentum CCI Trend Following Trading Strategy