mql5/Indicators/MyIndicators/CCI_Pro.md

Commodity Channel Index (CCI) Professional Suite

1. Summary (Introduction)

The Commodity Channel Index (CCI), developed by Donald Lambert, is a versatile momentum oscillator that measures the current price level relative to an average price level. It is widely used to identify overbought/oversold conditions and cyclical turns.

Our professional suite provides a complete, unified family of indicators based on the CCI, all built upon our robust, modular framework:

• CCI_Pro.mq5: The main indicator. It plots the CCI line, a configurable moving average signal line, and optional Bollinger Bands calculated on the CCI itself.
• CCI_Oscillator_Pro.mq5: Displays the difference between the CCI and its signal line as a histogram, providing a clear visual of momentum acceleration/deceleration.
• CCI_PercentB_Pro.mq5: A %B oscillator that shows the CCI's position relative to its Bollinger Bands, scaled from 0 to 100.

All indicators in the suite can be calculated using either standard or Heikin Ashi price data.

2. Mathematical Foundations and Calculation Logic

The suite is constructed in a layered process, starting with the base CCI.

Calculation Steps (Algorithm)

1. Calculate the CCI Value: The standard CCI is calculated based on the Typical Price, its SMA, and the Mean Absolute Deviation (MAD). \text{CCI}_i = \frac{\text{Typical Price}_i - \text{SMA}_i}{0.015 \times \text{MAD}_i}
2. Calculate the Signal Line: A moving average of the CCI line is calculated.
3. Calculate the Bollinger Bands: Standard Bollinger Bands are calculated on the CCI line, centered around the Signal Line.
   • \text{StdDev}_t = \text{StandardDeviation}(\text{CCI}, \text{Bands Period})_t
   • \text{Upper Band}_t = \text{Signal Line}_t + (\text{Bands Deviation} \times \text{StdDev}_t)
   • \text{Lower Band}_t = \text{Signal Line}_t - (\text{Bands Deviation} \times \text{StdDev}_t)
4. Calculate the Oscillators:
   • CCI Oscillator: \text{Oscillator}_i = \text{CCI}_i - \text{Signal Line}_i
   • Percent B (%B): \text{\%B}_i = 100 \times \frac{\text{CCI}_i - \text{Lower Band}_i}{\text{Upper Band}_i - \text{Lower Band}_i}

3. MQL5 Implementation Details

Our MQL5 implementation follows a modern, component-based, object-oriented design to ensure stability and maintainability.

• Unified Calculation Engine (CCI_Calculator.mqh): The core logic is encapsulated in a robust engine.

  • Composition: The calculator internally uses our universal MovingAverage_Engine.mqh to handle the smoothing of the Signal Line. This allows for advanced smoothing types (like DEMA or TEMA) beyond the standard SMA.
  • Reusability: The CCI_Oscillator_Pro and CCI_PercentB_Pro calculators use composition to include the main CCCI_Calculator, ensuring that all indicators in the suite share the exact same mathematical foundation.

• Optimized Incremental Calculation (O(1)): Unlike basic implementations that recalculate the entire history on every tick, this indicator employs an intelligent incremental algorithm.

  • State Tracking: It utilizes prev_calculated to process only new bars.
  • Persistent Buffers: Internal buffers (SMA, MAD) persist their state between ticks.
  • Robust Offset Handling: The engine correctly handles the initialization periods of the chained calculations.

• Object-Oriented Design:

  • An elegant inheritance model (CCCI_Calculator and CCCI_Calculator_HA) allows all indicators in the family to dynamically choose the correct calculation engine at runtime based on user input.

4. Parameters

• CCI Period (InpCCIPeriod): The lookback period for the base CCI calculation.
• Applied Price (InpSourcePrice): The source price for the base CCI. (Standard or Heikin Ashi).
• Overlay Settings:
  • Display Mode (InpDisplayMode): (Only for CCI_Pro) Toggles between CCI_Only, CCI_and_MA, and CCI_and_Bands.
  • MA Period (InpMAPeriod): The period for the signal line, which also serves as the center for the Bollinger Bands.
  • MA Method (InpMAMethod): The type of moving average for the signal line. Supports: SMA, EMA, SMMA, LWMA, TMA, DEMA, TEMA.
  • Bands Period (InpBandsPeriod): The lookback period for the standard deviation calculation of the Bollinger Bands.
  • Bands Deviation (InpBandsDev): The standard deviation multiplier for the Bollinger Bands.

5. Usage and Interpretation

• CCI_Pro:
  • Overbought/Oversold: Readings above +100 and below -100.
  • Crossovers: CCI line crossing its signal line.
  • Bollinger Bands: The bands show the volatility of the CCI itself. A "squeeze" on the CCI bands can foreshadow a significant breakout in price momentum.
• CCI_Oscillator_Pro:
  • Visualizes the momentum of the CCI relative to its signal line. A zero-line cross confirms a signal line crossover on the CCI_Pro. Growing bars indicate accelerating momentum, while shrinking bars indicate decelerating momentum.
• CCI_PercentB_Pro:
  • Overbought/Oversold: Provides a normalized (0-100) view of overbought/oversold conditions. Readings above 80-100 or below 0-20 are significant.
  • "Headroom": Shows how much "room" the CCI has to move before it becomes extreme relative to its own recent volatility.