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1995issue C011-2

Building the commodity channel index from typical price

Rebuild the commodity channel index as successive series: a typical price from high, low, and close, a simple moving average over a chosen lookback, and a mean-deviation denominator scaled by 0.015.

  • The first series is a typical price formed by adding the period high, low, and close and dividing by 3.
  • A simple moving average of those typical prices uses any lookback the user selects; an 11-period window is one illustration.
  • Mean deviation averages the absolute differences between the current moving average and each typical price inside that same window.
  • The index is a ratio: latest typical price minus latest moving average, divided by mean deviation multiplied by 0.015.
Entries in this reading1 entry
Current trackCommodity Channel Index40 readings

Assembling the index in order

Editorial framing: this note treats the commodity channel index as a classroom assembly problem. Rebuild the typical price series, the lookback average, and the scaled mean-deviation denominator so the constant 0.015 is a visible design choice rather than a black-box setting. That framing is a TradersWeek interpretation of the construction, not a statement from the archive workflow.

The archive workflow builds the commodity channel index as a ratio from those intermediate series. The lookback period may be any length the user selects, and the same window is used for both the moving average and the mean deviation.

Typical price as the first series

The first constructed series is a typical price. A typical price is a single period value formed by averaging that period's high, low, and close. In this workflow the average is formed by adding the period high, low, and close and dividing by 3.

A lookback average of typical prices

The next series is a simple moving average of those typical prices over the chosen lookback. The simple moving average is the unweighted average of typical prices inside that window. The archive workflow illustrates the step with an 11-period window.

Mean deviation in the same window

Mean deviation is taken over the same lookback period as the moving average. It averages the absolute differences between the current moving average and each of the typical prices inside that window.

The finished ratio

The commodity channel index is a ratio that compares how far the latest typical price sits from its lookback average, scaled by mean deviation. The numerator is the latest typical price minus the latest moving average. The denominator is the current mean deviation multiplied by the constant 0.015. That constant is the scaling factor applied to mean deviation.

Spreadsheet columns for each series

Each intermediate series can be stored in successive spreadsheet columns so the finished ratio is recomputed from those cells. The typical price, the simple moving average, and the mean deviation stay available as inputs to the ratio.

11-period CCI on the Dow Jones Industrial Average

Once the 11-day window fills, CCI swings from deeply negative into a strong overbought stretch as typical price pulls away from its moving average. Values are taken cell by cell from the source spreadsheet, not traced from a plot.
Once the 11-day window fills, CCI swings from deeply negative into a strong overbought stretch as typical price pulls away from its moving average. Values are taken cell by cell from the source spreadsheet, not traced from a plot.Dow Jones Industrial Average · daily · 1999-01-18T00:00:00.000Z to 1999-02-10T00:00:00.000Z

Lookback is 11 sessions. CCI uses (typical price minus the 11-day SMA) divided by 0.015 times the 11-day mean deviation. Columns F–H start on the 11th row because the window is not yet full.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
15 of 39 in the Commodity Channel Index track
19951-5 pp.Next on Commodity Channel IndexStaged reversal rules with commodity channel index and average channelsKeep the moving-average percentage channel and the dual commodity channel index as a late environment layer, not as the entry trigger.
All readings on this track · 39 readings
  1. 1982Three gates on a 1982 pork-belly short
  2. 1982Scale-free Commodity Channel Index construction
  3. 1986Constructing a commodity channel index and a regression price channel
  4. 1987Constructing scaled OHLC matrices for study overlays
  5. 1987Constructing the commodity channel, average directional, and relative strength indexes on a shared cycle scale
  6. 1992Eleven-bar commodity channel index from typical price and mean deviation
  7. 1992Evaluating Commodity Channel Index breakout versus range rules
  8. 1992Evaluating breakout and CCI rules as complete mechanical procedures
  9. 1993Constructing stochastic, RSI and CCI inputs for forecasts
  10. 1993Nested centered channels with a commodity channel index confirmation gate
  11. 1993Listed-option timing as three separable clocks
  12. 1994Constructing an eleven-period commodity channel index
  13. 1994Confirming Elliott wave turns with channels and the commodity channel index
  14. 1995Commodity Channel Index band rules lag zero-line timing
  15. 1995Building the commodity channel index from typical price
  16. 1995Staged reversal rules with commodity channel index and average channels
  17. 1995Commodity channel index construction from typical price to a smoothed zero line
  18. 2001Reader tests for unfinished lookback oscillators
  19. 2002Constructing the commodity channel index from typical price
  20. 2003Breadth-filtered commodity channel index entry and exit rules
  21. 2003Constructing the Commodity Channel Index from typical price and scaled deviation
  22. 2003A shallow, poorly participated advance is an unconfirmed trend
  23. 2003CCI and RSI parameter defaults as scaling conventions
  24. 2003A cost and capital audit of a Commodity Channel Index trade engine
  25. 2003Commodity channel index peak divergence as an exit after twin patterns
  26. 2004Constructing the Commodity Channel Index from typical price
  27. 2004Constructing the Commodity Channel Index from typical price and mean deviation
  28. 2006Building custom indicators from the Commodity Channel Index, a least squares moving average and a rule-based entry
  29. 2012Confirming breakouts and retracements with CCI, ADX, and averages
  30. 2012Stacking oscillator lookbacks into a heatmap mosaic
  31. 2013Constructing a consensus and volatility-normalized value oscillator
  32. 2013Walk-forward system evaluation with a commodity channel index and chandelier exits
  33. 2014Dual detrended oscillators and dual Bollinger Band channels
  34. 2014RSI, CCI, and moving-average trend-filter construction
  35. 2014Dual RSI, a moving average, and CCI as a confirmation stack
  36. 2017Constructing dual-average cross and channel-index filters
  37. 2018Treat CAM as a classification layer before confirmation becomes an entry
  38. 2018Four-state slope labels gated by a moving average and a commodity channel index
  39. 2018Deviation-Scaled Moving Average construction from a two-bar difference
By fieldIndicators and filters682 readingsBy year199575 readings
All 40 readings tagged Commodity Channel Index
Also on Commodity Channel Index5 readings
1982Three gates on a 1982 pork-belly short1982Scale-free Commodity Channel Index construction1986Constructing a commodity channel index and a regression price channel1987Constructing the commodity channel, average directional, and relative strength indexes on a shared cycle scale1987Constructing scaled OHLC matrices for study overlays