The Commodity Channel Index (CCI) attempts to identify starting and ending trends.
CCI(HLC, n = 20, maType, c = 0.015, ...)A object of the same class as HLC or a vector (if
try.xts fails) containing the CCI values.
Object that is coercible to xts or matrix and contains High-Low-Close prices. If only a univariate series is given, it will be used. See details.
Number of periods for moving average.
A function or a string naming the function to be called.
Constant to apply to the mean deviation.
Other arguments to be passed to the maType function.
Joshua Ulrich
CCI relates the current price and the average of price over n periods.
The CCI usually falls in a channel of -100 to 100. A basic CCI trading system
is: Buy (sell) if CCI rises above 100 (falls below -100) and sell (buy) when
it falls below 100 (rises above -100).
CCI is usually calculated using the typical price, but if a univariate series (e.g. Close, Weighted Close, Median Price, etc.) is provided, it will be used instead.
The following site(s) were used to code/document this
indicator:
https://www.fmlabs.com/reference/CCI.htm
https://www.metastock.com/Customer/Resources/TAAZ/?p=42
https://www.linnsoft.com/techind/cci-commodity-channel-index
https://school.stockcharts.com/doku.php?id=technical_indicators:commodity_channel_index_cci
See EMA, SMA, etc. for moving average
options; and note Warning section. See aroon,
ADX, TDI, VHF, GMMA
for other indicators that measure trend direction/strength.
data(ttrc)
cci <- CCI(ttrc[,c("High","Low","Close")])
Run the code above in your browser using DataLab