CCI Strategy

Description

Commodity Channel Index Strategy is build to gain profit on buying and selling shares. CCI Strategy calculates one line of values:

CCI line – a function of a last price, mean deviation of past prices and simple moving average (SMA) of past prices.

Moreover it is dependent of user defined parameters a mean deviation impact (Impact factor) and a Number of Periods.

$\text{CCI} = (\text{Last price} - \text{SMA of last n prices}) / (\text{impact factor} \times \text{mean deviation of last n prices})$

where $n$ is equal to the Number of Periods parameter.

Mean deviation (after receiving $(k+n)$ prices, $k \geq 0$ ) is defined as follows:

$\frac{\sum_{i = k}^{k+n} |\text{Price(i)} - \text{SMA of last } n \text{ prices}|}{n}$

In the moment when the CCI line crosses the Oversold or Overbought Level from the proper side it is a signal for a strategy to make an order.

Market Data

Last trade

Parameters

PARAMETER NAME	DESCRIPTION	ESSENTIAL
Number of Periods	Number of prices which are used to compute a standard deviation and an SMA	Yes
Oversold Level	Upper boundary of the CCI values area where market is oversold	Yes
Overbought Level	Lower boundary of the CCI values area where market is overbought	Yes
Impact Factor	It is a multiplayer by which ‘standard deviation’ is multiplied in a computation of CCI	Yes

Conditions

Open position

Side Buy or Sell
Amount One asset per order
Price Last market price
Type Price limit

Sell order sending – Overbought Level is crossed by the CCI line from the top side.

Buy order sending – Oversold Level is crossed by the CCI line from the bottom side.

Close position

There is no closing position condition.

Termination

There is no strategy termination condition.

Time frame

Strategy bases on some initial Number of Periods of data collection without trading and is designed to enable adjusting both: period of data collection and its trading time span from hours to whole weeks.

Further information & source

A complete guide to Algorithmic Trading