Commodity Channel Index Wikipedia.
With the typical price TP = (high + low + close) / 3:
CCI = (TP - SMA(TP, period)) / (0.015 * mean_deviation)
where the mean deviation is the average of |TP - SMA| across the
window. Bars are maps with at least :high, :low and :close. See
TAlib for the remaining conventions: chronological order, oldest
first, series aligned with the input, nil when there is not enough
data or the deviation is zero.
Summary
Functions
@spec cci([map()], pos_integer()) :: float() | nil
Calculate the latest CCI value.
Parameters
- bars: list of bars, oldest first.
- period: lookback window, a positive integer (default 20).
Examples
iex> bars = [
...> %{high: 12, low: 8, close: 10},
...> %{high: 11, low: 9, close: 10},
...> %{high: 13, low: 9, close: 12}
...> ]
iex> TAlib.Indicators.CCI.cci(bars, 2) |> Float.round(4)
66.6667@spec cci_list([map()], pos_integer()) :: [float() | nil]
Calculate the full CCI series.
Returns a list aligned with bars: the first period - 1 entries are
nil, and every later entry is the CCI of the window ending at that
point.
Parameters
- bars: list of bars, oldest first.
- period: lookback window, a positive integer (default 20).
Examples
iex> bars = [
...> %{high: 12, low: 8, close: 10},
...> %{high: 11, low: 9, close: 10},
...> %{high: 13, low: 9, close: 12}
...> ]
iex> TAlib.Indicators.CCI.cci_list(bars, 2) |> Enum.map(fn
...> nil -> nil
...> x -> Float.round(x, 4)
...> end)
[nil, nil, 66.6667]