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1992issue C021-2

Eleven-bar commodity channel index from typical price and mean deviation

A commodity channel index is a three-part ratio: typical price, a simple-average center, and a 0.015-scaled mean-deviation term. An 11-period worksheet shows the same steps, and the lookback can be chosen by the user.

  • A commodity channel index can be constructed with any lookback length the user chooses.
  • Typical price is the arithmetic mean of a bar's high, low, and close, and an 11-period version then takes a simple moving average of those typical prices.
  • Mean deviation averages the absolute differences between the current moving average and each typical price in the lookback.
  • The index equals today's typical price minus today's moving average, divided by 0.015 times today's mean deviation.
Entries in this reading1 entry
Current trackCommodity Channel Index40 readings

A commodity channel index is a ratio that places typical-price distance from a moving-average baseline over a scaled mean-deviation term. A commodity channel index can be constructed with any lookback length the user chooses. Lookback is the number of observations used for both the simple moving average and the mean-deviation window.

Typical price

Each bar's typical price is the arithmetic mean of high, low, and close.

The 11-period center and mean deviation

An 11-period version next takes a simple moving average of those typical prices over the same 11 observations.

The 11-period mean deviation averages the absolute differences between the current moving average and each of the last 11 typical prices. Mean deviation is the average absolute gap between the current moving-average baseline and each typical price inside the lookback.

The scaled ratio

The index equals today's typical price minus today's moving average, divided by 0.015 times today's mean deviation. The scaling constant is the 0.015 factor applied to mean deviation in the denominator of the ratio.

An 11-period worksheet

The same 11-period construction can be arranged as a worksheet that produces a commodity channel index series on the Dow Jones Industrial Average.

Eleven-period CCI on the Dow Jones Industrial Average

The 11-bar CCI on the Dow starts slightly negative, falls to about −114 on 21 January, then flips sharply positive and holds between +60 and +196 into early February. Every point is the CCI column of the sidebar Excel worksheet, not a curve traced off a printed chart.
The 11-bar CCI on the Dow starts slightly negative, falls to about −114 on 21 January, then flips sharply positive and holds between +60 and +196 into early February. Every point is the CCI column of the sidebar Excel worksheet, not a curve traced off a printed chart.Dow Jones Industrial Average · daily · 1993-01-18T00:00:00.000Z to 1993-02-10T00:00:00.000Z

The worksheet uses an 11-day lookback on typical price, so CCI is blank until 18 January 1993. The mean-deviation term is scaled by Lambert’s 0.015 constant.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
6 of 39 in the Commodity Channel Index track
19921-19 pp.Next on Commodity Channel IndexEvaluating Commodity Channel Index breakout versus range rulesThe Commodity Channel Index is built from typical price, a simple moving average of that typical price, and a mean deviation scaled by 0.015 so that readings beyond plus or minus 100 mark unusual variability.
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 year1992115 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