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CCI is
a little tricky to code. The issue is that the mean
deviation
<SPAN
class=406034019-04012004>
Here's
the version I used in the auto-optimization framework, based on code Tomasz
posted a while ago. Compared to the built-in version, it has the added advantage
of allowing the period to be dynamic (an array rather than a single value),
which is why I included it in the framework.
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class=406034019-04012004>
<SPAN
class=406034019-04012004>===========
<SPAN
class=406034019-04012004>
<SPAN
class=406034019-04012004>function MeanDev(array, mean, range) { result
= 0; for(i = LastValue(Highest(range)); i < BarCount; i++)
{ result[i] = 0; // the mean is not 'moving' over the range
(outside the loop) tm = mean[i]; for(j = 0; j
< range[i]; j++) { result[i] = result[i] + abs(array[i -
j] - tm); } result[i] = result[i] / range[i];
} return result;}<SPAN
class=406034019-04012004>
function CCIx(period) { //
use in place of AB CCI function when period needs to be an array // CCI
= (TypicalPrice - MA(TypicalPrice, 20)) / (.015 x MeanDeviation) SMATP
= MA(Avg, period); MD = MeanDev(Avg, SMATP, period); result =
(Avg - SMATP) / (0.015 * MD); return result;}
============
<FONT face=Arial color=#0000ff
size=2>Dave
<BLOCKQUOTE
>As
an exercise to get used to Amibroker's AFL language, I thought I would
take a description of how to calculated a CCI(20) and code it up myself to
compare against Amibroker's built-in CCI() indicator. My results are
different than Amibroker's. Could someone please take the following,
place it in an exploration and tweak it to get it to match Tomasz's
CCI? Thanks!SteveP.S. I used the description
from stockcharts.com because Tomasz's description did not mention taking
an absolute value in one step and the mention of taking 0.015 as a
multiplier was mentioned twice which confused me. Here is the
stockcharts.com link:<A
href="">http://www.stockcharts.com/education/IndicatorAnalysis/indic_CCI.html-------------------------------------------------Filter
= 1; /* all symbols and quotes accepted */ // Calculate the last
period's Typical Price // (TP) = (H+L+C)/3 where H = High, L = Low, AND C
= Close. // In Amibroker, the built-in symbol Avg is the same as
TP.TP = Avg;// Calculate the 20-period Simple Moving Average
of the // Typical Price (SMATP)SMATP = MA(TP, 20);//
Calculate the Mean Deviation. First, calculate the absolute value// of the
difference between the last period's SMATP AND the typical // price for
each of the past 20 periods. Add all of these absolute // values together
AND divide by 20 to find the Mean Deviation. MeanDiff = TP -
SMATP;MD = MA(abs(MeanDiff), 20);// The final step is to apply the
Typical Price (TP), the Simple // Moving Average of the Typical Price
(SMATP), the Mean Deviation // AND a Constant (.015) to the following
formula://// CCI = (Typical
Price - SMATP) / (0.015 * Mean Deviation)//myCCI = MeanDiff /
(0.015 *
MD);AddColumn(High,"High",1.2);AddColumn(Low,"Low",1.2);AddColumn(Close,"Close",1.2);AddColumn(Avg,
"TP", 1.2);AddColumn(SMATP, "SMATP(20)", 1.2);AddColumn(MeanDiff,
"MeanDiff", 1.2);AddColumn(MyCCI, "MyCCI(20)", 1.2);AddColumn(CCI(20),
"CCI(20)", 1.2);
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