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.
where is equal to the Number of Periods parameter.
Mean deviation (after receiving prices, ) is defined as follows:
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.
- Last trade
|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|
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.
There is no closing position condition.
There is no strategy termination condition.
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.