Commodity Channel Index
CCI

Type: Oscillator (for trend detection)

The Commodity Channel Index (CCI) was developed by D. Lambert to be able to  identify raw material cycles.

The calculation of the indicator is not easy. It is calculated in several steps. First the so-called typical price which consists of the average of the highest, lowest and last quote is established. Now a Moving Average (MA) is calculated from this value from then in the third step the standard deviation is formed. In a final step the CCI itself is calculated. It can accept positive as well as negative values and is not limited upwards and down.

Calculation:
As a rule one uses not the closing quote, but the TP (Typical Price) of the day which calculates as follows:
TP (i) = (STOCK_HIGH (i) + STOCK_LOW (i) + STOCK_CLOSE (i))/3

From this TP the CCI is then calculated:
CCI(i) = (TP(i) - ATP(i)) / (0.015 * D)
--------
Auxiliary formula:
D = Sum i[|TP-ATP|]/i
ATP = Sum i[TP] / i
--------
Abbreviations
TP = Typical Price
ATP = Average TP
D = Deviation

Interpretation:
With the Commodity channel index does not matter the zero line. Against it Lambert suggests marking a line with +100 and one with-100. Lies the CCI between these lines, consists after Lambert a market without trend. Then the distance between course value and GD is too small to be able to determine a trend. If the indicator cuts +100 lines from below upwards, a purchase signal originates. If the indicator falls under +100 lines, should this position be resold (glattgestellt (?). If the CCI cuts -100 lines from above down, this means a sales signal. This position should be dissolved by a purchase again if -100 lines is broken through from below upwards.

Settings:
Typically 20 days

 

 

 







 

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