CCI - Commodity Channel Index
The Commodity Channel Index was introduced by Donald Lambert in an article published in the October 1980 issue of Commodities magazine. Although originally intended for commodities it is now popularly used with other instruments including stocks.
It indicates the level of the price relative to the average price for the requested Period.
High positive values mean that prices are above their average and low positive values mean that prices are below their average. Strong moves above 100 could indicate a Buy signal and strong moves below -100 could indicate a Sell signal.
1. calculate the Typical price for each day in the Period as (High + Low + Close) / 3.
2. calculate the Average Typical Price for the Period
3. calculate the Mean Deviation between the Typical Prices in the Period and the Average
4. CCI = (Typical Price - Average Typical Price) / (.015 * Mean Deviation)
The constant of .015 ensures that 70% to 80% of values fall between 100 and -100.