Resistance and support on the CCI indicator - page 6

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Geronimo:

let's look at the CCI indicator http://berg.com.ua/tech/indicators-overlays/cci/


Come on, what do you want to sort out ?
 
Yes, what is it?
 

Для того, чтоб сосчитать значение CCI на последний период, делаем следующее:

  1. for each of the last n periods, we calculate a typical price using the formula TC = (MAX+MIN+CLOSE)/3
  2. calculate a simple moving average of the period n of these typical prices (this value is called SMATP from simple moving average of typical price)
  3. Consider the Mean Deviation (MD): take the quotient, where the divisor is n and the dividend is the sum of moduli of differences between SMATP and typical price of each period
  4. we calculate CCI according to the formula CCI=(TC - SMATP)/(Const - AO), where Const is the constant 0.015, set by the author of the index

The indicator is considered one of the most sensitive - Why?

Because they take a typical price, a simple MA.

Where does the constant of 0.15 come from?

How to choose the optimal periods for each instrument and for each frame?

Further there will be questions about the interpretation of the indicator.
 

"After all, one takes a typical price, a simple MA, ..."

CCI uses a simple moving average instead of an exponential one, so prices from the distant past will be discarded and will not affect the results.

"Where does the constant of 0.15 come from?" = probably meant to write 0.015

Some arbitrary constant of 0.015, used in the CCI formula, was added to scale the index so that 70 to 80 per cent of the values fell into a channel between +100 per cent and -100 per cent. Lambert's premise was that fluctuations between channel boundaries were considered random and of no value for trading. Lambert suggested to go long only when the CCI was above +100. A significant drop below +100 would be an exit signal from a long position. The rules for a short position are the same: sell below -100, buy back above -100.

"How do I select the optimal periods for each instrument and for each frame?"

For CCI time period selection, Lambert recommended using 1/3 of a full cycle. So, if you see a cycle of 60 days (lows occur every 60 days), we recommend using a 20-period CCI.
By default, the CCI period is set to 14, so it tracks 42-bar cycles (14x3). Lambert has done research which suggests the CCI period length should be set to less than one third of the cycle length. He tested a number of different period lengths, ending with 20 as the standard number, but suggested that this number should be adjusted for each market individually. Twenty is the default value for CCI by most programmes.

 

After all, one takes a typical price, a simple MA, ...

How to choose the optimal periods for each instrument and for each frame?

Further there will be questions about the interpretation of the indicator.

All indicators, including oscillators, are to some extent based on the moving average of the price.

How to select the optimal periods - 1) look at the graph visually and select what seems optimal 2) optimize the parameters in the Expert Advisor or in Excel

Actually, you need to first decide on the interpretation - how you are going to use it, because there are several variants, and then solve the previous problem.

 
renoshnik:

So, if you see a cycle of 60 days (lows occur every 60 days), we recommend using a 20-period CCI.

Imho nonsense, if price always went in the same cycle it would be easy
 
ZZZEROXXX:
Imho nonsense, if the price always went in the same cycles everything would be easy

This is an example of tuning, you can tweak the indicator according to the algorithm whenever you want...
 
renoshnik:

This is an example of tuning, according to the algorithm you can tweak the indicator whenever you want...
I get it, it's not a rebuke to you, but to this approach in general, it's just that now on the chart it looks like bullshit, and it's unclear why 1/3
 
ZZZEROXXX:
I get it, I'm not criticising you, I'm just trying to figure it out on a chart and it's hard to understand why 1/3


Lambert's research showed that for best results, the moving average used in CCI should be less than one-third the length of the estimated cycle.

However, the test results tables showed that the five-period moving average performed best, regardless of cycle length...

Try setting CCI = 50 ... I for example use 47 on "cable" ....

 
Well, it depends on how you use it, if you watch diverters, overbought, it's one thing, but punctures and other voodoo patterns, it's probably another.
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