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RE: [amibroker] AFL formula for CCI



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Just checked the CCI with a 
couple of sources, and it seems correct even though Tomasz must use a slight 
different version to that elsewhere.

/*
Add each period's High, Low, AND Close AND divide 
this Sum by 3. This is the typical price. 
Calculate an n-period simple moving average of the 
typical prices computed in Step 1. 
for each of the prior n-periods, subtract today's 
Step 2 value from Step 1's value n days ago. for example, if you were 
calculating a 5-Day CCI, you would perform five subtractions using today's Step 
2 value. 
Calculate an n-period simple moving average of the 
absolute values of each of the results in Step 3. 
Multiply the value in Step 4 by 0.015. 
Subtract the value from Step 2 from the value in 
Step 1. 
Divide the value in Step 6 by the value in Step 5. 

*/
n = <FONT face="Courier New" 
color=#ff00ff>20<FONT 
size=2>;
SMATP = <FONT face="Courier New" 
color=#0000ff>MA(<FONT face="Courier New" 
color=#ff0000>Avg,<FONT 
face="Courier New">n);<FONT face="Courier New" 
color=#008000>//1,2
MD = <FONT face="Courier New" 
color=#0000ff>MA( 
abs<FONT 
size=2>(<FONT face="Courier New" 
color=#ff0000>Avg - SMATP<FONT 
face="Courier New">), n );<FONT face="Courier New" 
color=#008000>//3,4
CCIx = (<FONT face="Courier New" 
color=#ff0000>Avg - SMATP) / (<FONT 
color=#ff00ff>0.015 * MD);<FONT 
face="Courier New" color=#008000>//5,6,7<FONT 
color=#0000ff>
Plot(CCIx,<FONT 
color=#8b0000>"CCIx",<FONT 
color=#ff0000>colorGreen,<FONT 
color=#ff0000>styleLine);<FONT 
color=#0000ff>
Plot(<FONT 
color=#0000ff>CCI(<SPAN 
class=786112106-12102003>n),<FONT 
color=#8b0000>"CCI",<FONT 
color=#ff0000>colorRed,<FONT 
color=#ff0000>styleLine);
 
 
Cheers,Graham<A 
href="">http://groups.msn.com/ASXShareTrading<A 
href="">http://groups.msn.com/FMSAustralia 


  
  <FONT 
  face=Tahoma size=2>-----Original Message-----From: Graham 
  [mailto:gkavanagh@xxxxxxxxxxxxx] Sent: Sunday, 12 October 2003 1:46 
  PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] 
  AFL formula for CCI
  sorry that was 
  wrong
   
   
  Cheers,Graham<A 
  href="">http://groups.msn.com/ASXShareTrading<A 
  href="">http://groups.msn.com/FMSAustralia 
  
  
    
    <FONT 
    face=Tahoma size=2>-----Original Message-----From: Graham 
    [mailto:gkavanagh@xxxxxxxxxxxxx] Sent: Sunday, 12 October 2003 
    1:39 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
    [amibroker] AFL formula for CCI
    ok got 
    it
    
    TP = (H<FONT 
    size=2>+L<FONT 
    size=2>+C<FONT 
    size=2>)/<FONT face="Courier New" color=#ff00ff 
    size=2>3;
    SMATP = <FONT face="Courier New" color=#0000ff 
    size=2>MA(TP,<FONT color=#ff00ff 
    size=2>20);
    MD = <FONT face="Courier New" color=#0000ff 
    size=2>MA(<FONT face="Courier New" 
    color=#0000ff size=2>MA(TP<FONT 
    face="Courier New" size=2>,<FONT face="Courier New" color=#ff00ff 
    size=2>20) - 
    SMATP,20);
    CCIx = (TP - SMATP) / (<FONT color=#ff00ff 
    size=2>0.015 * MD);<FONT color=#0000ff 
    size=2>
    Plot(CCIx,<FONT color=#8b0000 
    size=2>"CCIx",<FONT color=#ff0000 
    size=2>colorGreen,<FONT color=#ff0000 
    size=2>styleLine);<FONT color=#0000ff 
    size=2>
    Plot(<FONT color=#0000ff 
    size=2>CCI(<FONT 
    face="Courier New" color=#ff00ff size=2>20<FONT 
    face="Courier New" size=2>),<FONT 
    color=#8b0000 size=2>"CCI",<FONT 
    color=#ff0000 size=2>colorRed,<FONT 
    color=#ff0000 size=2>styleLine<FONT 
    size=2>);
     
     
    Cheers,Graham<A 
    href="">http://groups.msn.com/ASXShareTrading<A 
    href="">http://groups.msn.com/FMSAustralia 
    
    
      
      <FONT 
      face=Tahoma size=2>-----Original Message-----From: Dave Merrill 
      [mailto:dmerrill@xxxxxxx] Sent: Sunday, 12 October 2003 1:24 
      PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
      [amibroker] AFL formula for CCI
      <SPAN 
      class=806081305-12102003>thanks for jumping in graham.
      <SPAN 
      class=806081305-12102003> 
      <SPAN 
      class=806081305-12102003>first, I think AB's Avg is (H+L+C)/3, so we don't 
      need to calculated it again.
      <SPAN 
      class=806081305-12102003> 
      <SPAN 
      class=806081305-12102003>second, I think the problem we're both having is 
      the mean deviation code. my loop version sums, over 20 days, the 
      absolute values of the difference between TODAY'S SMATP and the typical 
      price of that day.
      <SPAN 
      class=806081305-12102003> 
      <SPAN 
      class=806081305-12102003>this non-loop version is close, not the results 
      it gives, but conceptually:
      <SPAN 
      class=806081305-12102003> 
      <SPAN 
      class=806081305-12102003>  MD = Sum(Abs(SMATP - avg), 
      period);
      <SPAN 
      class=806081305-12102003> 
      <SPAN 
      class=806081305-12102003>what's wrong I think is that for each day being 
      summed, it uses the SMATP value for that day, same as it uses the avg 
      value for that day. but as I said above, it needs the avg for each day, 
      but the SMATP value used should always be from the current day, the one 
      being calculated, not the value on each of the previous (Period) 
      days.
      <SPAN 
      class=806081305-12102003> 
      <SPAN 
      class=806081305-12102003>any more ideas? not just you graham, 
      but anyone?
      <SPAN 
      class=806081305-12102003> 
      <SPAN 
      class=806081305-12102003>dave
      <BLOCKQUOTE 
      >This 
        isn't an exact match, I tried to check against the description in 
        ABhelp files but couldn't quite follow it.I am missing 
        something, just not certain what.TP = (H+L+C)/3;SMATP = 
        MA(TP,20);MD = MA(abs(TP - SMATP),20);CCIx = (TP - SMATP) / 
        (0.015 * 
        MD);Plot(CCIx,"CCIx",colorGreen,styleLine);Plot(CCI(20),"CCI",colorRed,styleLine);Cheers,Graham<A 
        href="">http://groups.msn.com/ASXShareTrading<A 
        href="">http://groups.msn.com/FMSAustralia 
        -----Original Message-----From: Dave Merrill 
        [mailto:dmerrill@xxxxxxx] Sent: Sunday, 12 October 2003 12:22 
        PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] AFL formula 
        for CCIre the earlier discussion of using arrays as 
        paremters to built-inindicators, I need a version of the CCI that 
        can take an array for itsperiod.here's a description of how 
        the 20-period CCI is calculated, fromStockCharts.com:  1) 
        Calculate today's Typical Price (TP) = (H+L+C)/3 where H = high; L 
        =low, and C = close.  2) Calculate today's 20-day Simple 
        Moving Average of the Typical Price(SMATP).  3) Calculate 
        today's Mean Deviation. First, calculate the absolute valueof the 
        difference between today's SMATP and the typical price for each 
        ofthe past 20 days. Add all of these absolute values together and 
        divide by 20to find the Mean Deviation.  4) The final step 
        is to apply the Typical Price (TP), the Simple MovingAverage of the 
        Typical Price (SMATP), the Mean Deviation and a Constant(.015) to 
        the following formula:      CCI = (Typical 
        Price - SMATP) / (.015 x Mean Deviation)according to my tests, 
        this matches the built-in CCI exactly:  MD = 
        0;      // MD is Mean Deviation  for(i 
        = 0; i < period; i++) {    MD = MD + Abs(SMATP - 
        Ref(avg, -i));  }  MD = MD / period;can anyone 
        see how to do the same thing with AFL array processing instead ofthe 
        loop?thanks,daveSend BUG REPORTS to 
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