Abbreviation: CCI

Category: Price Momentum Indicators

Input Parameters:

Name | Range | Default |

High Price | High | |

Low Price | Low | |

Closing Price | Close | |

Periods | Int >= 2 | 5 |

Deviation Multiplier | Real > 0.0 | 0.015 |

Calculation:

MP – Avg(MP, n)

‘‘‘‘‘‘‘‘‘‘‘‘‘‘‘‘‘‘

Deviation Multiplier * MP Deviation

where

MP Deviation = (Sum over n periods of Abs(MP[-n] – Avg(MP[0], n)) / n

MP = Mean Price = ( High Price + Low Price + Close Price ) / 3

n = Periods

MP[-n] represents the MP value n days ago. When calculating MP Deviation n goes from 0 to n – 1.

Avg represents Simple Moving Average

Abs represents Absolute Value

Discussion:

Provides a measurement of the deviation of the current mean price from the average mean price relative to the deviation of all the previous n mean prices from the same mean price average. Upward market movement is indicated by positive values, while downward movement is indicated by negative values. The larger the positive or negative value, the stronger the upward or downward movement. The actual magnitude of values will vary depending upon the user’s choice of deviation multiplier.