General Characteristics
Any trader knows that the acronym means CCI Commodity Channel Index, that translated into Russian language sounds like a commercial channel index (other names - the index of trade channel, channel index points). This indicator is a normalized oscillator moment, built according to the formula:
where T (Typical) = (High + Low + Close) / 3,MA (T) - n-periodnaya moving average of T,
D = 1 / n * SUM i = 1 ... nl Ti-MA (T) l - the average deviation from the average price.
Sami indicator developers and most authors of textbooks are regarded as signals CCI crossing lines 100 and -100. In this case, the signal for the opening of the long position is the intersection of the indicator marks -100 from the bottom up, as a signal for the opening short position, the intersection of the indicator mark 100 from top to bottom, as shown in Figure 1. That is, we trade on the classical oscillator.
There are "alternative" interpretation of the indicator. According to this interpretation, the position can be viewed not from the lines 100 and -100, and from the zero line. Consequently, the crossing point 0 from the bottom up is a signal to buy, top-down - a signal to sell. Practice has shown that such a trading system makes sense for the market trend, where the oscillators are not appropriate.Simple
To get started, build a very simple trading system based on the CCI indicator crossing zero. The position will be opened after crossing the line indicator of the zero line: a long - at the intersection up short - at the intersection down accordingly. The closure will be on lines 100 and -100: long positions are closed at the intersection of CCI through 100 top-down, short - when crossing the line -100 upwards. In fact, it is a full trading system, set up only one indicator. The only drawback is its lack of foot, but to this subject we will return.
To test the system in MetaStock, you should write and put in MetaStock System Tester following code:
Enter Long:
CCI (opt1)> 0 AND Ref (CCI (opt1), -1) <0 Close Long:
CCI (opt1) <190> 100 Enter Short:
CCI (opt1) <0> 0 Close Short:
CCI (opt1)> -190 AND Ref (CCI
(opt1), -1) <-100
Variable Opt1 means the period of the indicator. Manually find the best period difficult, if not - impossible, so it's best to identify it automatically using the test in MetaStock. During the afternoon schedule of the currency pair EUR / USD testing issues as the optimal period, the value 7. Consequently, the final type of trading system code would be:
Enter Long: CCI (7)> 0 AND Ref (CCI (7), -1) <0 Close Long:
CCI (7) <190> 100 Enter Short:
CCI (7) <0> 0 Close Short:
CCI (7)> -190 AND Ref (CCI (7), -1) <-100
System testing on historical data EUR / USD from February 2001 to January 2003 showed the average profit of 355 points. However, it is not deceive ourselves: the results of such testing on historical data does not necessarily mean that real-time system will be just as profitable. Of the 77 transactions made during this time period, 40 were profitable, and 37-losses. That is to say "hit accuracy" is 52%. It's quite a risky rate. Yield curve, although improving, but does not show a clear direction: the growth is rather chaotic.
Such a system is, of course, requires optimization. Her goal - to eliminate two disadvantages: a small number of profitable transactions and access of large losses (the maximum loss - 1700 points to 2400 points of maximum profit for the transaction).
Connects stop-loss
It is important that any loss in trading, including the system shall be borne by subsequent profitable transaction. Otherwise, no brilliant solutions in the field of technical analysis does not save from the negative outcomes of trade. In this case, we must minimize the potential loss of a single transaction.
The only way to do it with a system sale, when the trader is not always fully control the open position - in advance to stand a foot. In this case, a possible solution is the issue of a stop-loss, corresponding market volatility at the moment. To determine the volatility, you can use the Average True Range - one of many indicators, based on the concept of volatility (you can also experiment with other such indicators, the principles are the same).
In the second trading system, and stop-loss, and the floating stop-loss has on the current value of ATR. As a result, the code system acquires the form:
Enter Long
CCI (opt1)> 0 AND Ref (CCI (opt1), -1) <0
Close Long
LOW <(Ref (LOW, -1)-Ref (opt3 * ATR (opt2), -1))
Enter Short
CCI (opt1) <0> 0
Close Short
HIGH> (Ref (HIGH, -1) + Ref (opt3 * ATR (opt2), -1))
Variable Opt1, as in the first system, means the period indicator CCI, variable Opt2-time indicator of ATR, Opt3 - number of values of ATR. As a result, testing can determine that the optimal period CCI is, as in the first case, 7, the optimal period ATR - 2, the optimal number of variables ATR - 1.
Thus, in the final form of the system will look like this:
Enter Long
CCI (7)> 0 AND Ref (CCI (7), -1) <0
Close Long
LOW <(Ref (LOW, -1)-Ref (1 * ATR (2), -1))
Enter Short
CCI (7) <0> 0
Close Short
HIGH> (Ref (HIGH, -1) + Ref (1 * ATR (2), -1))
The average profitability of the system on EUR / USD over the same period is 509 points. In this case, we have reached an acceptable ratio of the average gain / loss on the transaction - 1.93. However, compared with the first system, significantly decreased the number of profitable transactions: only 38% instead of 52%.
The graph (Fig. 2) shows that the curve increases with the profitability of the market trend, and trend in side crashes. Consequently, the lack of a system is that it does not distinguish strong from weak signals, and as a result of the majority of transactions ending foot.
An attempt to build a system based on the breakdown of volatility, the results are not provided - it has been less profitable than the second modification. Therefore, the only possible solution in this case may be trading system, in which the filter is a dominant market trend.CCI + exponential moving average
The next update trading system based on the CCI indicator of the position will be open only on the trend. Alerts CCI to the dominant trend is ignored. The dominant trend is determined by the simplest way - on location on the price of an exponential moving average.
It is possible to formulate the terms of decision-making. A long position is opened if the curve CCI crosses the zero line from the bottom up, with the current price is above the exponential moving average. A short position is opened if the curve CCI crosses the zero line from top to bottom, with the current price is below the exponential moving average. Terms of closing positions remain the same. Code system in MetaStock will look like this:
Enter Long
CCI (opt1)> 0 AND Ref (CCI (opt1), -1) <0> Mov (C, opt2, E)
Close Long
LOW <(Ref (LOW, -1)-Ref (1 * ATR (opt3), -1))
Enter Short
CCI (opt1) <0> 0 AND C
Variable Opt1 - this time CCI, variable Opt2 - period exponential moving average, Opt3 - period ATR. Test results on currency pair EUR / USD showed that previous periods of CCI values and ATR remain valid, but the optimal period EMA - 7. Thus, the finished code system for MetaStock following:
Enter Long
CCI (7)> 0 AND Ref (CCI (7), -1) <0> Mov (C, 7, E)
Close Long
LOW <(Ref (LOW, -1)-Ref (1 * ATR (2), -1))
Enter Short
CCI (7) <0> 0 AND C
This system brings to the average earnings of € 821, para. For other indicators, it also far exceeded not only the previous system, but also advertised the "black boxes" on the basis of neural networks. The average profit on the transaction exceeds the average loss of more than 2 times. The maximum profit on the transaction exceeds the maximum loss factor of 4.
At the intersection of two CCI
Trading System at the intersection of two CCI is somewhat non-standard interpretation of this indicator. In one window open two CCI indicator with different periods, and if the line is an indicator with a smaller period of the indicator crosses the line with a large period of top-down - a long position. If the line is an indicator with a large period of passes down the line indicator less time - a short position. The closure of long positions is carried out simultaneously with the opening short, closing short - along with the opening of long positions, ie the reverse way. In such a system in MetaStock code will look like:
Enter Long
Cross (CCI (opt1), CCI (opt2)) AND
opt1
The testing gives a similar result, from which it can be concluded that the optimization should not exit the market, and entry into it. You can do the same as in previous systems that use exponential moving average. Then the code would be as follows:
Enter Long
Cross (CCI (8), CCI (16)) AND C> Mov (C, opt1, E)
Close Long
LOW <(Ref (LOW, -1)-Ref (opt2 * ATR (opt3), -1)) Enter Short Cross (CCI (16), CCI (8)) AND C
Variable Opt1 - period moving average, variable Opt2 - the number of variables ATR, a Opt3 - period ATR. In this case it is recommended to apply the exponential moving average with a period of 5, the number of ATR set 4, the period of ATR - 10. The finished code is workable system would look like this:
Enter Long
Cross (CCI (8), CCI (16)) AND C> Mov (C, 5, E)
Close Long
LOW <(Ref (LOW, -1)-Ref (4 * ATR (10), -1)) Enter Short Cross (CCI (16), CCI (8)) AND C
Yield system - an average of 1215 points per month. The graph (Fig. 3) shows that the system is designed for long-term investors, and the yield curve is close to ideal. By the way, shows that the trend of increase in the euro continues.
We should not harbor illusions that by applying all of these systems in real time can be guaranteed to earn the specified number of points, not less. CCI - the indicator is quite cranky. If the test had to deal with retrospective market, in other words, its a static image, in real time before you have been locked at a value of, the curve is an indicator can often describe the steep turns.
CCI can react to the slightest changes in the market and give false signals. The program of technical analysis will fix them dispassionately. If, for example, after crossing the line Stochastics reverse process is unlikely to happen, then the curve is the channel index commodity may fluctuate around the critical point for the whole day. In order to verify that the signal was not false, it is necessary that the graph has passed 2 more candles or bars.
CCI: Rules for Traders
1. Open a long position when the CCI exceeds +100%. Close when the index falls below 100%.
2. Open a short position when the CCI falls below -100%. Close when the index rises above -100%.
Rule of zero (Zero CCI) for traders of risk
1. Buy at the intersection of top-level index of zero CCI.
2. Sell down while crossing the zero level. From V. Meladze
"The course is technical analysis"
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