| CCI {TTR} | R Documentation |
Commodity Channel Index
Description
The Commodity Channel Index (CCI) attempts to identify starting and ending trends.
Usage
CCI(HLC, n = 20, maType, c = 0.015, ...)
Arguments
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 |
Details
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.
Value
A object of the same class as HLC or a vector (if
try.xts fails) containing the CCI values.
Note
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.
Author(s)
Joshua Ulrich
References
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 Also
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.
Examples
data(ttrc)
cci <- CCI(ttrc[,c("High","Low","Close")])