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96 lines
2.9 KiB
Markdown
96 lines
2.9 KiB
Markdown
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# CCI - Commodity Channel Index
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## Overview
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The Commodity Channel Index (CCI) is a versatile momentum-based oscillator developed by Donald Lambert in 1980. Originally designed for commodity trading, it measures the deviation of price from its statistical mean, normalized by mean absolute deviation.
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## Formula
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```
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TP = (High + Low + Close) / 3
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SMA = Simple Moving Average of TP over period
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Mean Deviation = SUM(|TP - SMA|) / period
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CCI = (TP - SMA) / (0.015 × Mean Deviation)
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```
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## Key Characteristics
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| Property | Value |
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|----------|-------|
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| Default Period | 20 |
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| Lambert Constant | 0.015 |
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| Returns | Unbounded oscillator (typically -300 to +300) |
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| Warmup Period | Equal to period |
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| Input Data | OHLC bars (uses Typical Price) |
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## Signal Interpretation
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### Primary Levels
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- **Above +100**: Strong uptrend, potentially overbought
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- **Below -100**: Strong downtrend, potentially oversold
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- **Zero Line**: Centerline crossover indicates trend change
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### Trading Strategies
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1. **Trend Identification**: Values consistently above/below zero indicate trend direction
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2. **Overbought/Oversold**: Extreme readings (+200/-200) suggest reversal potential
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3. **Divergence**: Price making new high/low while CCI fails to confirm
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4. **Zero-Line Cross**: Bullish when crossing above, bearish when crossing below
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## Lambert Constant (0.015)
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The 0.015 constant was chosen by Lambert to ensure that approximately 70-80% of CCI values fall between +100 and -100 under normal market conditions. This provides a statistical framework where:
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- Values outside ±100 indicate significant price movement
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- Extended readings suggest strong trends
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- Extreme values (±200 or beyond) are relatively rare
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## Usage
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### Basic Construction
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```csharp
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// Create CCI with default 20-period
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var cci = new Cci();
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// Create CCI with custom period
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var cci = new Cci(14);
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```
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### Streaming Updates
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```csharp
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foreach (var bar in realTimeData)
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{
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TValue result = cci.Update(bar);
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double cciValue = result.Value;
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if (cciValue > 100)
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Console.WriteLine("Overbought territory");
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else if (cciValue < -100)
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Console.WriteLine("Oversold territory");
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}
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```
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### Batch Processing
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```csharp
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TSeries results = Cci.Batch(barSeries, period: 20);
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```
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## Comparison with Other Oscillators
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| Indicator | Bounds | Best For |
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|-----------|--------|----------|
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| CCI | Unbounded | Trend strength, divergence |
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| RSI | 0-100 | Overbought/oversold levels |
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| Stochastic | 0-100 | Price position within range |
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## Historical Context
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- Developed by Donald Lambert (1980)
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- Originally published in *Commodities* magazine
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- Early application for identifying cyclical trends in commodities
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- Now widely used across all asset classes
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## References
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- Lambert, D.R. (1980). "Commodity Channel Index: Tool for Trading Cyclic Trends"
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- [TradingView CCI Documentation](https://www.tradingview.com/support/solutions/43000502001/)
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- [Investopedia CCI Guide](https://www.investopedia.com/terms/c/commoditychannelindex.asp)
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