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Re: CCI



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Have attached the various available CCI versions.

A quick look will let the viewer believe that all are 'one and the same'.
A closer look tho, wil show the differences (in patterns + in values).

The "CCI-Standard" and the "CCI-Standard-custom" differ indeed, but
'only' in values, not in the pattern. Its the closest to, so to speak, that is
available at the moment.

A mail to  formulas@xxxxxxxxx  requesting Equis to provide you+List with
the code for the CCI-Standard formula, might be of help here
(have cc-ed with this mail).

Regards,
Ton Maas
ms-irb@xxxxxxxxxxxxxxxx
Dismiss the ".nospam" bit (including the dot) when replying.
Homepage  http://home.planet.nl/~anthmaas


----- Original Message ----- 
From: "M. Robb"
To: <metastock@xxxxxxxxxxxxx>
Sent: zondag 19 maart 2000 11:51
Subject: Re: CCI 


> 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"
> 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"
> > 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
> > >
> > >
> > > > 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: 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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