CCI — Commodity Channel Index

Typical-price deviation from its own average, scaled by mean absolute deviation. Single value, unbounded, ±100 classic thresholds.

Signature

CCI(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Lookback. Default 20, bounds 2–200.
on=	symbol	No	Source. Defaults to the trade symbol. (CCI needs HLC — pass the symbol, not a single field.)

Formula

$$ \text{tp}_t = \frac{\text{high}_t + \text{low}_t + \text{close}_t}{3} $$

$$ \text{CCI} = \frac{\text{tp}t - \text{SMA}N(\text{tp})}{0.015 \cdot \text{MAD}}, \qquad \text{MAD} = \frac{1}{N} \sum{i=0}^{N-1} |\text{tp}{t-i} - \text{SMA}_N(\text{tp})| $$

The denominator is floored at a small epsilon, so a perfectly flat window reads a large finite value rather than dividing by zero.

Warmup

period bars. Reads 0 until the window is full.

Reading the value

cci = CCI(20, on=self.trade)

cci.value
cci.crossed_above(-100)     # leaving oversold
cci.crossed_below(100)      # leaving overbought

Example

class CCIReversion(Strategy):
    """Buy when CCI leaves oversold, exit at the zero line."""
    period = Param(20, min=5, max=50)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        cci = CCI(self.period, on=self.trade)
        self.stop_loss(3.0)

        if cci.crossed_above(-100) and self.trade.is_flat:
            self.buy(self.trade, reason=f"CCI leaving oversold ({cci.value:.0f})")

        if cci.value > 0 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="CCI back above zero")

Notes

• The 0.015 constant calibrates roughly 70–80% of values into the ±100 band — beyond ±100 is the classic “extreme” read.
• CCI is unbounded (unlike RSI) — extremes can run far past ±200 in strong trends. Mean-reversion entries need a stop.
• Because CCI uses typical price (H+L+C)/3, it reacts to intrabar range, not just closes — noisier but earlier than close-only oscillators.