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 Platinum Customer
Joined: 10/7/2004
Posts: 10
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I'm using the following formula for a CCI Clone (13 periods):
(((H + L + C) / 3) - ((AVGH13 + AVGL13 + AVGC13) / 3)) / (((ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H + L + C) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H1 + L1 + C1) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H2 + L2 + C2) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H3 + L3 + C3) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H4 + L4 + C4) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H5 + L5 + C5) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H6 + L6 + C6) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H7 + L7 + C7) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H8 + L8 + C8) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H9 + L9 + C9) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H10 + L10 + C10) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H11 + L11 + C11) / 3) + ABS(((AVGH13 + AVGL13 + AVGC13) / 3) - (H12 + L12 + C12) / 3)) / 13) * .013)
THEN, I place 5,13 Bollinger Bands around the CCI indicator, and add a 5 period SMA. The indicator appears to "ride" or closely approximate either of the higher or lower bands until a point of breaking away. Bouncing off of, or crossing the SMA seems to be visually critical (the trend is either changed or not), and it also appears one can get fairly early signals for a trade this way. I use it in a weekly time frame, but also in 3 and 8 day charts. I like what I see, but I don't understand anythingabout what is happening, either visually or conceptually. Any ideas or comments? Thanks!
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Platinum Customer
Joined: 10/7/2004
Posts: 10
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I forgot to mention that I smooth the CCI indicator by a factor of 8.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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QUOTE (chaneverett) ...it also appears one can get fairly early signals for a trade this way. I use it in a weekly time frame, but also in 3 and 8 day charts. I like what I see, but I don't understand anythingabout what is happening, either visually or conceptually. Any ideas or comments?
The trainers cannot give settings, interpretation or investment advice. It is possible, or even likely, that other traders will comment on these aspects of your question however. I'm not sure if it will provide any insight, but, with these guidelines in mind, I will make some observations (I suspect they will just restate what you already know).
QUOTE (chaneverett) I place 5,13 Bollinger Bands around the CCI indicator, and add a 5 period SMA.
The 5-Period Simple Moving Average of CCI should be the Bollinger Band Centerline.
QUOTE (chaneverett) The indicator appears to "ride" or closely approximate either of the higher or lower bands until a point of breaking away.
If the CCI is in a relatively stable trend, the width setting should pretty much assure this. If the CCI is trending up, it should ride the Upper Band. If it is trending down, it should ride the Lower Band. If the CCI is flat, the Bollinger Bands should collapse onto the CCI. Any change in this trend should cause the CCI to either cross or bounce off the Band. The fact that the Bollinger Band has such a short period means it will do this very quickly. CCI frequently seems to be in a relatively stable up or down trend for a significant percentage of stocks. This is especially true of a smoothed version.
QUOTE (chaneverett) Bouncing off of, or crossing the SMA seems to be visually critical (the trend is either changed or not)
Without getting into interpretation, this makes sense. The lag of a 5-Period Simple Moving Average is 2-Periods. Coincidently or not, local minima and maxima in the 5-Period Simple Moving Average frequently happen 2-Periods after the local minima and maxima in the CCI. Since the CCI and Moving Average are going in opposite directions for these two periods, these crosses or bounces frequently happen 1-Period after the local minima or maxima in the CCI. This provides a relatively quick method of finding large deflections in the CCI while weeding out changes that are not large enough to cause a cross.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Platinum Customer
Joined: 10/7/2004
Posts: 10
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Thanks, Bruce. Starting to make a little sense to me.
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Registered User
Joined: 1/1/2005
Posts: 2,645
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QUOTE (Bruce_L) QUOTE (chaneverett) The indicator appears to "ride" or closely approximate either of the higher or lower bands until a point of breaking away. If the CCI is in a relatively stable trend, the width setting should pretty much assure this. If the CCI is trending up, it should ride the Upper Band. If it is trending down, it should ride the Lower Band. If the CCI is flat, the Bollinger Bands should collapse onto the CCI. Any change in this trend should cause the CCI to either cross or bounce off the Band. The fact that the Bollinger Band has such a short period means it will do this very quickly. CCI frequently seems to be in a relatively stable up or down trend for a significant percentage of stocks. This is especially true of a smoothed version.
Bruce,
That is outstanding! You will get another raise for sure. I did not catch on until reading the above.
A ramp will ride its Bollinger Band (TeleChart calculations) iff the Width, W, is
W = 10*(P-1)*SQR(3/(P*(P+1)))
where P is the Period. The W is increasing in P and approaches 10*SQR(3) ~ 17.32 as P approaches infinity.
For P = 5, W = 12.65, which you apparently already knew.
I am not 100% confident in the formula, but it appears to do fine on FX100 for Periods up to 20+. There is some error for larger P but that may be because FX100 is not a straight line on Arithmetic Scale.
Again. Your work is outstanding.
Thanks,
Jim Murphy
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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bustermu,
Thank you for both the compliment (deserved or not) and the equation. I hadn't done anything so generalized. I started with the following:
AVGC5+SQR(((C-AVGC5)^2+(C1-AVGC5)^2+(C2-AVGC5)^2+(C3-AVGC5)^2+(C4-AVGC5)^2)/4)*W/10=C
Forced price into a straight line and set C2 and AVGC5 to zero:
0+SQR(((0+2X-0)^2+(0+X-0)^2+(0-0)^2+(0-X-0)^2+(0-2X-0)^2)/4)*W/10=0+2X
Reduced it:
SQR(5*X^2/2)*W/10=2X
Solved for W:
W=20X/SQR(5*X^2/2)
If X>0, X can be dropped out:
W=20/SQR(5/2)=12.65
I didn't bother solving for the negative case matching the Bottom Bollinger Band since the math would have been so similar.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 1/1/2005
Posts: 2,645
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Bruce,
I did essentially the same as you but left the period P instead of 5.
The big difference is that I got my lead from you.
Thanks,
Jim Murphy
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Registered User
Joined: 2/28/2005
Posts: 825
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Ref: 17Aug 1st 2 posts
In SnapSheetsI inserted one of the new indicators (CCI of price) in a new pane. Then changed the period to 13.
Could you show me how to edit that pane to duplicate chaneverett's setup  ?
TIA!!
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Do you now want to add a Bollinger bands to it?
- Craig
Here to Help!
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Registered User
Joined: 2/28/2005
Posts: 825
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Yes. Bollinger Bands, and the 5dsma as described at the beginning of this session.
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Add a moving average and set it to simple period 5 (from the Web Library) and choose the CCI as the parent.
Add Bollinger Bands from the Web Library and choose the CCI as the parent.
Both are available via the ADD STUDY button
- Craig
Here to Help!
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