CCI of average - floating levels - MetaTrader 5용 지표

Theory :

The commodity channel index (CCI) is an oscillator originally introduced by Donald Lambert in 1980.

CCI measures a security’s variation from the statistical mean.The CCI is calculated as the difference between the typical price of a commodity and its simple moving average, divided by the mean absolute deviation of the typical price. The index is usually scaled by an inverse factor of 0.015 to provide more readable numbers. For scaling purposes, Lambert set the constant at 0.015 to ensure that approximately 70 to 80 percent of CCI values would fall between −100 and +100.

This version :

Sometimes CCI is "nervous" - if you use it for signals based on levels crossing, it can produce a lot of false signals. One of the possible ways is to pre-filter the prices prior to being used in CCI calculation (that way adds significantly less lag then smoothing the already calculated CCI). This version does that : uses pre-filtered price for CCI calculation. You can use the usual set of averages types :

• simple moving average (SMA)
• exponential moving average (EMA)
• smoothed moving average (SMMA)
• linear weighted moving average (LWMA)