Since 2022 Sort Finance

CCI Trend

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Compute the 20-bar CCI from each bar's typical price — the average of its high, low and close — measuring how far the bar sits from its recent average in units of normal deviation.
  2. Buy when CCI crosses above +100. In Lambert's original design this is not an overbought warning but the opposite: the point where a move is finally strong enough to be called a trend.
  3. Sell when CCI breaks below −100, marking a move of the same conviction in the other direction.
Score
Total Score Mean Of Real And Resampled 52 / 100
Real Data 53 / 100
Resampled Data 52 / 100
Overall Rank Top 31% 16 of 52
Rank In Momentum Top 10% 1 of 10
Score By Metric
Beats Hold Real 46 · Resampled 59 53 / 100
Risk Adjusted Real 53 · Resampled 47 50 / 100
Profitability Real 66 · Resampled 59 63 / 100
Win Rate Real 40 · Resampled 37 38 / 100
Fee Efficiency Real 58 · Resampled 58 58 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.