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CCI Price Value Calculation
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CCI Price Value Calculation

  #1 (permalink)
Elite Member
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CCI Price Value Calculation

hi guys,

i am trying to calculate a price level based on current cci values.

lets say we use a 5 period cci on a daily timeframe.
the last closed bar does have a cci value of 120.0 and a price value of 1920.0.
now i want to know at which price level the current (not closed) cci value would reach a value of 100.0

does anybody have an idea how to calculate this?

thank you and cheers,
mike

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  #3 (permalink)
Market Wizard
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look into the code you should be able to find its calculation.

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cory View Post
look into the code you should be able to find its calculation.

hey cory,

i already starred at the code of the cci for quite some time and didnt had the enlightenment

cheers,
mike

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  #5 (permalink)
Market Wizard
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you can can wiki it or read this note Incredible Charts: Commodity Channel Index

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Market Wizard
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mk77ch View Post
hi guys,

i am trying to calculate a price level based on current cci values.

lets say we use a 5 period cci on a daily timeframe.
the last closed bar does have a cci value of 120.0 and a price value of 1920.0.
now i want to know at which price level the current (not closed) cci value would reach a value of 100.0

does anybody have an idea how to calculate this?

thank you and cheers,
mike

I think this is what you want:

https://futures.io/elite-circle/1261-want-your-ninjatrader-indicator-created-free-986.html#post398278

It draws bands on the price chart where CCI would have a value of 100 (or 200 or whatever -- I think I remember that you can set the values you want.) There's also an explanation of how it's calculated, as I recall.

Hope that does it for you.

Bob.

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  #7 (permalink)
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well, to calculate the cci we could use the following informations:

There are several steps involved in calculating the Commodity Channel Index.
The following example is for a typical 20 Period CCI:

CCI = (Typical Price - 20 Period SMA of TP) / (.015 x Mean Deviation)

Typical Price (TP) = (High + Low + Close)/3

Constant = .015
The Constant is set at .015 for scaling purposes.
By including the constant, the majority of CCI values will fall within the 100 to -100 range.

There are three steps to calculating the Mean Deviation.
1. Subtract the most recent 20 Period Simple Moving from each typical price (TP) for the Period.
2. Sum these numbers strictly using absolute values.
3. Divide the value generated in step 3 by the total number of Periods (20 in this case).

if we do this with numbers, it looks like this:

Typical Price of day 20 : 25.06
20 Day SMA of Typical Price : 24.21
20 Day Mean Deviation : 0.55

(25.06 - 24.21) / (0.015 * 0.55)
0.85 / 0.00825 = 103.03

the question now is how i have to change the calculation in order to get a price by providing the cci value of 100.
seems to be not that easy because price will change the mean deviation, the typical price of today and the 20 day sma of tp.

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  #8 (permalink)
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bobwest View Post
I think this is what you want:

https://futures.io/elite-circle/1261-want-your-ninjatrader-indicator-created-free-986.html#post398278

It draws bands on the price chart where CCI would have a value of 100 (or 200 or whatever -- I think I remember that you can set the values you want.) There's also an explanation of how it's calculated, as I recall.

Hope that does it for you.

Bob.

you are the man!
thank you
mike

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  #9 (permalink)
Market Wizard
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mk77ch View Post
you are the man!
thank you
mike

Glad it works for you.

Bob.

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