CCI - Commodity Channel Index
The Commodity Channel Index (CCI) measures the variation of the current price from its statistical mean.
Parameters:
- N - time period.
Calculation:
The typical price is calculated as the simple average of close, high and low prices for the j-th time interval on the first step:
Then the N-period simple Moving Average of the typical price MAve(typical, N) is calculated. Using the result, the simple Moving Average of the absolute value of the variance of the typical price and its average is calculated:
And, at last, the indicator itself is calculated:
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