The CCIStrategy is a trading strategy that utilizes several technical indicators to generate buy and sell signals. Here is a breakdown of what the strategy does:
The strategy uses the following indicators: Commodity Channel Index (CCI), Relative Strength Index (RSI), Money Flow Index (MFI), and Chaikin Money Flow (CMF). The strategy first resamples the input dataframe to a specified timeframe and calculates various moving averages, including short, medium, and long-term SMAs (Simple Moving Averages).
The CCI indicator is calculated for two different time periods (170 and 34), and the RSI and MFI indicators are also calculated.
The CMF indicator is calculated using the Chaikin Money Flow formula, which takes into account price, volume, and high/low values.
The strategy then populates the buy signal based on specific conditions:
CCI values for both periods are below -100. CMF value is below -0.1. MFI value is below 25. The resampled medium SMA is higher than the resampled short SMA. The resampled long SMA is lower than the closing price. The strategy populates the sell signal based on specific conditions:
CCI values for both periods are above 100. CMF value is above 0.3. The resampled SMA values indicate a downtrend. The resulting dataframe is updated with the buy and sell signals, which are represented by the "buy" and "sell" columns, respectively. Overall, the CCIStrategy combines multiple indicators to identify potential buy and sell opportunities in the market based on specific conditions.