CCI | R Documentation |
The Commodity Channel Index (CCI) attempts to identify starting and ending trends.
CCI(HLC, n = 20, maType, c = 0.015, ...)
HLC |
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. |
n |
Number of periods for moving average. |
maType |
A function or a string naming the function to be called. |
c |
Constant to apply to the mean deviation. |
... |
Other arguments to be passed to the |
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.
A object of the same class as HLC
or a vector (if
try.xts
fails) containing the CCI values.
If HLC
is a High-Low-Close matrix, then typical price will be
calculated. If HLC
is a vector, then those values will be used
instead of the typical price.
Joshua Ulrich
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")])
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