Formula:
There are several steps involved in calculating the CCI.
- TV = (HIGHn + LOWn + CLOSEn) / 3
TV is temporary values
HIGHn is highest price for interval (term number of bars)
LOWn is lowest price for interval
CLOSEn is the close for the interval
- Calculate Moving Average for TVs
- Calculate a Mean Deviation for the TVs
- CCI for current period =
(TV this period - MA TV this period) /
(0.015 * MD TV this period)
The CCI is designed to detect beginning and ending market trends. A value of greater than 100 indicates a strategy in which one should BUY and hold until indicator is less than 100. A value of less than -100 indicates a stratagy in which one should SELL short and cover when the indicator is greater than -85.
Parameters:
Period Value with which to base the moving average
Arguments:
None
Output Indicators:
CCI
Example:
Study Name Expanded in a 3 minute timeframe:
I3_CCI(10)_I3
This study calculates a CCI with a period of 10 on the 3 minute time frame.
The output indicators names are appended to the studyname,
that is if the studyname is sn1 then
the outputindicator is
sn1::CCI
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