Adaptive CCI: Adjusting the Lookback Period to the Market Cycle

Summary

This indicator adapts the Commodity Channel Index lookback period to an estimated market cycle. It first smooths price data and uses phase and quadrature components with a homodyne discriminator to estimate cycle length. That estimate is constrained to a range of 6 to 50 bars and smoothed; a configurable fraction of the resulting period sets the rolling window for calculating typical price, its mean absolute deviation, and the CCI value.

The document supplies an implementation formula and describes the intended benefit as a CCI whose period responds dynamically to changing cycles. It does not provide a trading rule, comparative tests, or performance evidence to establish that the adaptive version gives better signals than a fixed-period CCI. Its output depends on the cycle estimate, smoothing choices, price input, and bounds, so users would need to evaluate those choices and test the indicator in their own markets and time frames.

Key ideas

• The method estimates market cycle length from smoothed price phase and quadrature components.
• It bounds the estimated period between 6 and 50 bars and smooths the estimate over time.
• A configurable fraction of the adaptive period determines the rolling window for the CCI calculation.
• The calculation uses typical price, its moving average, and mean absolute deviation.
• The document provides no comparative results showing that the adaptive indicator improves trading performance.

Tags

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