A CCI Variant Using Standard Deviation and Wilder Smoothing

Summary

This document outlines a variation on the Commodity Channel Index. It replaces the conventional mean absolute deviation calculation with standard deviation and offers an option to filter prices using a double-smoothed Wilder exponential moving average. The stated purpose of this price filtering is to reduce some false signals. The indicator is presented as usable in the same general way as a regular CCI.

The description supplies a high-level account of the changes but no equations, parameter values, charts, testing results, or specific entry and exit rules. It does not establish whether the modified dispersion measure or smoothing improves signal quality, and the filtering may also alter signal timing. Traders would need to understand the implementation and evaluate the variant on their own data before relying on it; the document gives no comparative evidence or risk guidance.

Key ideas

• The indicator changes CCI by using standard deviation instead of mean absolute deviation.
• It can filter prices with a double-smoothed Wilder exponential moving average.
• The filtering is intended to reduce some false signals.
• The document gives no test results or specific trading rules for the variant.

Tags

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