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Ton Mass:
Plotting this latest CCI from you yields values, for one example of an S&P
500, over a range of + 275 to -425, compared to the MS CCI standard of a
much tighter range of + 175 to - 150 approximately.
In addition to having a wider range, this last formula traces a somewhat
differrent shape, in that it appears slightly more smooth, yet less
sensitive at tops...than the MS CCI standard.
((MP()-Mov(MP(),14,S))/
(1.5*Stdev(Abs(Mov( MP()-Mov(MP() ,14,S),14,S)),14)))*100
Please understand that I am not trying in any way to correct you. I am
merely copying the formulas as you send them into my MS 6.51 EOD and viewing
the plots.
Mike Robb
----- Original Message -----
From: "A.J. Maas" <anthmaas@xxxxxxxxx>
To: "Metastock-List" <metastock@xxxxxxxxxxxxx>
Sent: Sunday, March 19, 2000 9:54 AM
Subject: Re: CCI
> The appearance of the MSK's "CCI-Standard" and "CCI-Equis" indicators
> differs full stop. My mail's CCI indicator is close to the CCI-standard.
And
> to top it off, the Achelis' TA from A to Z weblink version also "totaly
differs".
>
> Also note that in the CCI formula that I had send, a "large typo" might
> have been made, if the in the MSK's Help+Manual interpretation (see
further below)
> explained "Equis formula developing for CCI" was to be used.
>
> Original:
> ((MP()-Mov(MP(),14,S))/
> (1.5*Stdev(Abs( MP()) ,14)))*100
>
> Then the correct(ed) formula would be:
> ((MP()-Mov(MP(),14,S))/
> (1.5*Stdev(Abs(Mov( MP()-Mov(MP() ,14,S),14,S)),14)))*100
>
> here the adjusted large typo is than in the extra average:
> "Mean deviation of absolute values of the average numerator over p
periods."
> where in the previous formula the
> "Mean deviation of absolute values of the numerator over p periods."
> was used.
>
> Please correct me, if I am wrong in the "interpretation" of this line.
> Also correct me if you're being confused, as well as that perhaps Equis
and
> its President are also being confused.
>
> Regards,
> Ton Maas
> ms-irb@xxxxxxxxxxxxxxxx
> Dismiss the ".nospam" bit (including the dot) when replying.
> Homepage http://home.planet.nl/~anthmaas
>
> ===========MSK Help+Manual==================
> CCI according to Equis
>
> The Commodity Channel Index (CCI) is calculated by
> first determining the difference between the mean price of a commodity
> and the average of the means over the time period chosen
> (where Mean is the exact middle between 2 extremes, eg MidPrice).
>
> ///////////section1: MidPri:=((H-L)/2);
> Diff:=MidPri-Mov(MidPri,14,S);
>
> This difference is then compared to the average difference over the time
period
> (this factors in the commodity's own inherent volatility).
>
> ///////////section2: AveDiff:=Mov(Abs(Diff),14,S);
> EquationComp:=Diff/AveDiff;
>
> The result is then multiplied by a constant that is designed to adjust the
CCI
> so that it fits into a "normal" trading range of +/-100.
>
> ///////////section3: AdjCon:=66.66667{equivelant=2/3tds};
> PercResult:=EquationComp*AdjCon;
>
> Further details on the contents and interpretation of the CCI can be found
in
> the October 1980 issue of Commodities magazine (now known as Futures).
> The article was written by Donald Lambert.
> ------------------------
> Name: CCI-Equis custom
>
> Formula:
> MidPri:=((H+L+C)/3);
> Diff:=MidPri-Mov(MidPri,14,S);
> AveDiff:=Mov(Abs(Diff),14,S);
> EquationComp:=Diff/AveDiff;
> AdjCon:=66.66667{equivelant=2/3tds};
> PercResult:=EquationComp*AdjCon;
> PercResult
>
> Name: CCI-Standard custom
>
> Formula:
> (Typ()-Mov(Typ(),14,S))/
> (1.75*Stdev(Abs(Typ()),14))*125
> {Note: this is the closest 'equal' to the
> build-in version}
> ------------------------
> Note1:
> The CCI indicator used in older versions of MetaStock is called "CCI
(EQUIS)."
>
> Note2:
> "CCI (Standard)" is the recently modified version that is consistent with
the
> author's current calculation method.
>
> Note3:
> The interpretation of both methods is identical.
> =========================================
> CCI according to Steve Achelis TA from A to Z book.
>
> For Metastock v6.5+
>
> Name: CCI - Donald Lambert
>
> Formula:
> { CCI according to Steve Achelis' TA from A to Z
> book, of which an electronic version can be found
> http://www.equis.com/free/taaz/cci.html }
>
> step1:=(H+L+C)/3;
> step2:=Mov(step1,14,S);
> step3:=Ref(step1,-1)-step2 AND
> Ref(step1,-2)-step2 AND
> Ref(step1,-3)-step2 AND
> Ref(step1,-4)-step2 AND
> Ref(step1,-5)-step2 AND
> Ref(step1,-6)-step2 AND
> Ref(step1,-7)-step2 AND
> Ref(step1,-8)-step2 AND
> Ref(step1,-9)-step2 AND
> Ref(step1,-10)-step2 AND
> Ref(step1,-11)-step2 AND
> Ref(step1,-12)-step2 AND
> Ref(step1,-13)-step2 AND
> Ref(step1,-14)-step2;
> step4:=Mov(Abs(step3),14,s);
> step5:=step4*0.015;
> step6:=step1-step2;
> step7:=step6/step5;
> step8:=step7/20;{for the +100, -100 scale}
> step8
>
> =========================================
>
> ----- Original Message -----
> From: "M. Robb" <robb@xxxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: zaterdag 18 maart 2000 6:54
> Subject: Re: CCI
>
>
> > The appearance of MS CCI standard, and CCI-Equis diffe from the formula
you
> > sent.
> >
> > ((MP()-Mov(MP(),14,S))/
> > (1.5*Stdev(Abs(MP()),14)))*100
> >
> > The "CCI -equis" seems a little closer to yours.
> >
> > Strangely, the MS "CCI -standard" is less smooth, but less useful at
> > turning points.
> >
> > M.R.
> >
> > ----- Original Message -----
> > From: "A.J. Maas"
> > To: "Metastock-List" <metastock@xxxxxxxxxxxxx>
> > Sent: Saturday, March 18, 2000 7:22 AM
> > Subject: Re: CCI and Brown's
> >
> >
> > > C. Brown's RSI derivative index
> > >
> > > "Brown's formula says to add 2.3 times the average true range of
> > > up RSI 14,6,S closes, and then runs the triple smoothing.
> > >
> > > Brown puts it as follows:
> > > A 15 unit triple smoothed RSI 14 added with 2.3 times the average
> > > true range of up closes and 2.1 times the average true range of
> > > the down closes".
> > > ------------------------------------------------
> > > (Then) Brown's formula for MetaStock6.5 (is):
> > >
> > > Name:
> > > RSI derivative index - C. Brown
> > >
> > > Formula:
> > > Part1:=
> > > 2.3*{the average true range of
> > > ("RSI 14,6,S") up closes}
> > > If({"RSI 14,6,S=up"}
> > > Mov(RSI(14),6,S)>
> > > Ref(Mov(RSI(14),6,S),-1){=true},
> > > {then}ATR(1),
> > > {else}0);
> > > Part2:=
> > > 2.1*{the average true range of
> > > ("RSI 14,6,S") down closes}
> > > If({"RSI 14,6,S=down"}
> > > Mov(RSI(14),6,S)<
> > > Ref(Mov(RSI(14),6,S),-1){=true},
> > > {then}ATR(1),
> > > {else}0);
> > > Part3:=
> > > {RSI 14 added with Part1 + Part2}
> > > RSI(14)+Sum(Part1,14)+Sum(Part2,14);
> > > RSIderIDX:=
> > > {The 15 unit triple smoothed Part3}
> > > Mov(Mov(Mov(Part3,15,S),15,S),15,S);
> > > RSIderIDX
> > >
> > > ========================================
> > > CCI
> > >
> > > CCI[i] = (M - A)/(X * D) {return=percent, multiply by 100
> > > (for +100, -100
scale)}
> > >
> > > In MetaStock
> > >
> > > ((MP()-Mov(MP(),14,S))/
> > > (1.5*Stdev(Abs(MP()),14)))*100
> > >
> > > See further below.
> > >
> > > See also the "totaly" different calculation method
> > > http://www.equis.com/free/taaz/cci.html
> > >
> > > Regards,
> > > Ton Maas
> > > ms-irb@xxxxxxxxxxxxxxxx
> > > Dismiss the ".nospam" bit (including the dot) when replying.
> > > Homepage http://home.planet.nl/~anthmaas
> > >
> > > Commodity Channel Index
> > >
> > > Description :
> > > The CCI is a price momentum indicator that works well for commodities,
> > > stocks, and mutual funds.
> > >
> > > Usage: CCI( Period1 )
> > > Returns: Array
> > >
> > > where:
> > > Period1 = number of periods in the CCI calculation as shown below.
> > >
> > >
> > > Mathematically:
> > >
> > > CCI[i] = (M - A)/(X * D) percent
> > >
> > > where:
> > > i(nput,periods) =The user defined periods.
> > > M(ean,Price) =Mean price of the current-day sample period.
> > > A(verage,Mov.) =The p-period simple moving average of M.
> > > D(eviation) =Mean deviation of absolute values of
> > > the numerator over p periods.
> > > X(known,unkown)=An adjusting factor, 0.15, which normalizes
> > > the excursions to a trading range
of +/- 100.
> > > percent(%result) =The full formula's Return value
> > >
> > > The CCI is a sort of "noise" filter, for which the random fluctuations
> > > should fall inside the +/- 100 percent range.
> > >
> > > Excursions outside this range tend to be nonrandom and indicate
> > > trading opportunities.
> > >
> > > Suggested trading rules are:
> > > 1. Buy long when CCI goes above +100%.
> > > 2. Sell long when CCI subsequently returns below 100%.
> > > 3. Sell short when CCI goes below -100%.
> > > 4. Cover shorts when CCI subsequently returns above -100%.
> > >
> > > - Selection of a large number of periods (p) will filter out much
> > > of the noise, but can mask trading opportunities and trends.
> > > - A smaller number of periods can create false signals.
> > >
> > > 90 and 53 weeks as tentative starting periods for your analysis
> > > are suggested.
> > >
> > > Another way of using the CCI is to note when the security being
> > > analyzed rises dramatically, but the rise is not reflected by the
> > > overall momentum represented by the CCI. Such a divergence is
> > > usually followed by a price correction for the security.
> > >
> > > ----- Original Message -----
> > > From: "M. Robb"
> > > To: <metastock@xxxxxxxxxxxxx>
> > > Sent: woensdag 15 maart 2000 8:11
> > > Subject: Re: MS 7.0 EOD Upgrade Screen. New Features?
> > >
> > >
> > > > In attempting to write an indicator to match C. Brown's RSI
derivative
> > > > oscillator the formula builder stops at the comma after the ATR(14)
and says
> > > > this variable must contain only constant data.
> > > >
> > > > Brown's formula says to add 2.3 times the average true range of up
RSI
> > > > 14,6,S closes, and then runs the triple smoothing.
> > > >
> > > > Mov((RSI(14)),6,S) + 2.3*ATR(If(INDICATOR > PREVIOUS ,
> > > > mov((RSI(14)),((RSI(14))),(RSI(14))),15)))
> > > >
> > > > For some reason I can't figure out how to express this correctly.
> > > >
> > > >
> > > ----- Original Message -----
> > > From: "M. Robb"
> > > To: <metastock@xxxxxxxxxxxxx>
> > > Sent: dinsdag 14 maart 2000 10:33
> > > Subject: CCI and Brown's
> > >
> > >
> > > > Does anyone recall where a metastock formula can be found for
Lambert's CCI
> > > > commodity chanel index.....and C. Brown's RSI derivative index.
> > > >
> > > > The last is a 15 unit triple smoothed RSI 14 combined with 2.3 times
the
> > > > average true range of up closes, and 2.1 times the average true
range of the
> > > > down closes.
> > > >
> > > > Thanks in advance. Help of any kind would be useful, and much
appreciated
> > > >
> > > > Mike
>
>
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