Discussion of article "CCI indicator. Three transformation steps"
Thank you very much for the interesting research!
There is one point that bothers me. Perhaps I have misinterpreted the code of indicators (unfortunately, I am not very good at programming), but as far as I understand, automatic calculation of indicator levels is based on the whole history. That is, if I look at the past behaviour of an indicator, I will see the levels calculated on the basis of all data, including those that did not exist at that moment. Is it so, or have I misinterpreted the code?
Thank you so much for the interesting research!
There is one point that bothers me. Perhaps I have misinterpreted the code of indicators (unfortunately, I am not very good at programming), but as far as I understand, automatic calculation of indicator levels is based on the whole history. That is, if I look at the past behaviour of an indicator, I will see the levels calculated on the basis of all data, including those that did not exist at that moment. Is it so, or have I misinterpreted the code?
It is correct, the levels are calculated on the whole history. But their values will be valid for the past as well. When the statistics on levels is just starting to be collected, the values of levels can still change. But after the first thousand bars they will stand in place. The easiest way is to start testing in MT4 (there is a little bit of history there). At the beginning the levels will float, and then they will stand firmly in place.
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New article CCI indicator. Three transformation steps has been published:
In this article, I will make additional changes to the CCI affecting the very logic of this indicator. Moreover, we will be able to see it in the main chart window.
For the experiment, we will take a rectangular window, a triangular window and a flat-top window. The last window function is rather unusual as some of its weights take on negative values. Let's also take three asymmetric windows - with linear, power and exponential weights. The averages with linear and exponential weights are available in MetaTrader in the Moving Average menu.
The general view of all options is shown in the figure (the lowest indicator is the classic CCI).
All options are quite similar, but their levels can differ quite a lot. It depends on the window function used — some of them lag behind, and relatively large indicator values may occur more often. Other window functions follow the price, and small deviations are more common as a result.
Author: Aleksej Poljakov