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2004issue C101

Constructing the Commodity Channel Index from typical price

The Commodity Channel Index is rebuilt from ordered high, low, and close prints. Each session becomes a typical price, that series is measured against its lookback mean, and the gap is scaled by mean deviation and a fixed 0.015 factor so the reading can be checked as a forecast over a defined sampling interval.

  • Each session's typical price is the average of that session's high, low, and close.
  • The lookback window of N consecutive typical prices supplies both the moving average and the mean deviation, summed from the newest print through the oldest print retained in the window.
  • Mean deviation is the average absolute distance of those N typical prices from the lookback mean, and every difference enters the sum as a positive quantity.
  • The Commodity Channel Index is the current typical price minus the lookback mean, divided by 0.015 times mean deviation, and is used as a forecast over a defined sampling interval.
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Current trackCommodity Channel Index40 readings

An auditable construction

This article treats the Commodity Channel Index as a construction that can be audited from ordered session prints. The workflow rebuilds a typical-price series from each session's high, low, and close, then places the latest typical price against its lookback mean and scales that distance by mean deviation and a fixed 0.015 factor.

Editorial: the archive facts describe only this historical workflow. Reading the finished value as a forecast over a defined sampling interval is a TradersWeek interpretation, not an archive claim.

Rebuild the typical price series

Each session contributes one typical price. That session input is the average of the session's high, low, and close. The ordered typical-price series is the path carried into the later averages.

Average the lookback window

The construction next averages the N most recent typical prices, where N is the number of days in the working database. That count N is the lookback window for both the moving average and the mean deviation. The lookback sum runs from the newest typical price through the oldest typical price retained in the N-day window.

Form the mean deviation

Mean deviation is the average of the absolute differences between those N typical prices and that moving average. Every difference entering the mean-deviation sum is added as a positive quantity. The result is the average absolute distance of the window's typical prices from their lookback mean.

Scale the gap into the index

The Commodity Channel Index is the current typical price minus the lookback mean, divided by 0.015 times the mean deviation. The factor 0.015 is a fixed scaling constant applied to mean deviation in the final index ratio. The reading therefore places the latest typical price against its lookback mean after that scaling.

Read the result as a forecast

Editorial: once the ratio is formed, the Commodity Channel Index is a scaled quantitative-model reading used as a forecast over a defined sampling interval. Students can hold this explicit baseline fixed and compare it with later out-of-sample readings. The archive does not supply that comparison.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
26 of 39 in the Commodity Channel Index track
20041-3 pp.Next on Commodity Channel IndexConstructing the Commodity Channel Index from typical price and mean deviationAssemble typical price, a simple average, mean deviation, and the 0.015 scaling constant before any crossing rule is attached.
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
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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