Intraday 5 Min CCI Trading System

Hello Everyone !! ..

Below mentioned is my strategy based on CCI.

Basic Setup : (a) 5 Minute Intraday Chart with 60 days data backfill. (b) CCI with 32 Periods with Middle Line reading @ 30 (c) CCI with 28 Periods with Middle Line reading @ --160.

BUY - Enter Longs when CCI (32) crosses & Closes above middle line reading of 30. i.e. you will go long above the high of the candle in which 30 is crossed.

SELL - Enter Shorts when CCI(28) crosses & Closes below middle line reading of -160. i.e. you will go short below low of the candle in which -160 is crossed.

Stop Loss - Stop loss is 0.50% of the price where you entered Long or Short. i.e. if you are short @ 4000 level, your stop loss is placed tick above 4020 and if you are long @ 4000, your stop loss is placed tick below 3980.

Trailing Floor Level - Trailing floor level is also 0.50% of the price where you are long or short. It means if you are long @ 4000 and stock crosses 4020, you will start trailing your stop loss. Same ways in case of short @ 4000, if stock breaks below 3980, you will start trailing your initial stop loss.

Trailing Stop Loss (%) - Now question is how to trail stop loss. I feel the trailing method which i follow is the best suited in this intraday strategy. For eg. if you are long @ 4000 so your initial stop loss is placed below @ 3980. and stock reaches to 4020, means you will start trailing your initial stop loss. I follow method in which you need to protect 85% of the profits from 4000 to 4020 move in your favor. Hence first you will calculate difference between your entry point to highest high in favor i.e. from 4000 to 4020 i.e. 20 points. Now calculate 85% of 20 points i.e. its 17 points. Now you will reduce this 17 points from 4020 which comes to 4003. Hence your new trailing stop loss will be below 4003. This will protect your profits as well as cost incurred to enter the trade. in case market reverses from any point, you wont be incurring losses.

Misc Rules - (a) Avoid Signals in First and Last 15 minutes of Market timings. (b) There is only two ways to exit the trade i.e. (1) Stop Loss or Trailing Stop Loss & (2) Exit 5 minute prior to market close.

Other Notes - I am currently trading on this system since last 6 months and overall it has given me edge over other intraday systems. I had done many back-testing to arrive at levels of CCI i.e. CCI(32) with 30 and CCI (28) with -160. I am currently Trading in Index Futures in India i.e. S&P CNX NIFTY Futures. Its best suited on Index Futures only. I had seen that it does not work on stocks. Also I request all of you to back-test this system with your data before entering trade.

Seems interesting!!!I am from India too!! Shall have a look and get back with queries if any!!!

Are you still trading this system? Has this stood test of time?

These are some relatively old posts you're attempting to revive.

FWIW have a play with a 21 period CCI and use it for timing your EXITs when it hooks back from extremes at +/-150.

It's less reliable used as an entry as the direction and the strength of the underlying trend will skew it above/below these extremes.

But that's something else to play with.