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Commodity Channel Index (CCI)

Created by Donald Lambert, the Commodity Channel Index is an oscillator depicting deviation from typical price range, often used to identify cyclical trends. [Discuss] 💬

// C# usage syntax
IEnumerable<CciResult> results =
  quotes.GetCci(lookbackPeriods);

Parameters

lookbackPeriods int - Number of periods (N) in the moving average. Must be greater than 0. Default is 20.

Historical quotes requirements

You must have at least N+1 periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<CciResult>

• This method returns a time series of all available indicator values for the quotes provided.
• It always returns the same number of elements as there are in the historical quotes.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null values since there’s not enough data to calculate.

CciResult

Date DateTime - Date from evaluated TQuote

Cci double - Commodity Channel Index

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(qty)

See Utilities and helpers for more information.

Chaining

Results can be further processed on Cci with additional chain-enabled indicators.

// example
var results = quotes
    .GetCci(..)
    .GetSlope(..);

This indicator must be generated from quotes and cannot be generated from results of another chain-enabled indicator or method.