R: Commodity Channel Index

CCI {TTR} | R Documentation

## Commodity Channel Index

### Description

The Commodity Channel Index (CCI) attempts to identify starting and ending trends.

### Usage

    CCI(HLC, n = 20, maType, c = 0.015, ...)

### Arguments

`HLC` | Object that is coercible to xts or matrix and contains High-Low-Close prices. If only a univariate series is given, it will be used. See details.
`n` | Number of periods for moving average.
`maType` | A function or a string naming the function to be called.
`c` | Constant to apply to the mean deviation.
`...` | Other arguments to be passed to the `maType` function.

### Details

CCI relates the current price and the average of price over `n` periods. The CCI usually falls in a channel of -100 to 100. A basic CCI trading system is: Buy (sell) if CCI rises above 100 (falls below -100) and sell (buy) when it falls below 100 (rises above -100).

CCI is usually calculated using the typical price, but if a univariate series (e.g. Close, Weighted Close, Median Price, etc.) is provided, it will be used instead.

### Value

A object of the same class as `HLC` or a vector (if `try.xts` fails) containing the CCI values.

### Note

If `HLC` is a High-Low-Close matrix, then typical price will be calculated. If `HLC` is a vector, then those values will be used instead of the typical price.

### Author(s)

Joshua Ulrich

### References

The following site(s) were used to code/document this indicator:
http://www.fmlabs.com/reference/CCI.htm
http://www.equis.com/Customer/Resources/TAAZ/?c=3&p=42
http://www.linnsoft.com/tour/techind/cci.htm
http://stockcharts.com/education/IndicatorAnalysis/indic_CCI.html

### See Also

See `EMA`, `SMA`, etc. for moving average options; and note Warning section. See `aroon`, `ADX`, `TDI`, `VHF`, `GMMA` for other indicators that measure trend direction/strength.

### Examples

    data(ttrc)
    cci <- CCI(ttrc[,c("High","Low","Close")])

[Package TTR version 0.23-1 Index]