A CCI Variant Using Exponential Averages for Price and Deviation

Summary

The document describes a modified Commodity Channel Index (CCI). In the conventional calculation, the reference price average is a simple moving average, and the deviation measure is calculated around that average. The proposed variant replaces both components: it uses an exponential moving average (EMA) as the reference and an EMA-based deviation measure.

The author says this change can produce substantially different readings from Donald Lambert’s original CCI in many cases. The text offers no formula, parameter settings, chart examples, trading rules, or performance results, so it does not establish when the variant may be useful or whether it improves decisions. It presents an indicator-construction idea rather than a tested strategy; traders would need to specify implementation details and evaluate the signal on relevant data before drawing conclusions.

Key ideas

• The conventional CCI uses a simple moving average and a mean deviation measure based on that average.
• The described variant substitutes an exponential moving average for the simple average.
• It also replaces the conventional mean deviation with an EMA-based deviation measure.
• The author reports that readings can differ substantially from the original CCI, but provides no tests or examples.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.