CCI Moving-Average Threshold Crossings for Futures Entries and Exits

Summary

This document presents a periodic-range trading method for commodity futures using the Commodity Channel Index. It calculates CCI over a configurable lookback, then averages recent CCI readings. With the example threshold set to 40 and the CCI lookback and averaging length set to 100 and 10, respectively, the strategy enters long when the averaged value crosses above the positive threshold and enters short when it crosses below the negative threshold. It exits a long when the average crosses back below the positive threshold, and exits a short when it rises back above the negative threshold.

The supplied configuration specifies hourly futures data from 2015 to 2018, but no performance statistics or interpretation of results are included. Although comments mention price moving averages and stochastic K/D signals, the operative conditions use averaged CCI threshold crossings instead. The document gives little discussion of market selection, transaction costs, position sizing, or risk controls; the example also specifies zero fees. Those omissions limit what can be inferred about practical performance, and the stated test period and parameters do not demonstrate that the method generalizes.

Key ideas

• The strategy smooths recent CCI readings and compares them with positive and negative thresholds.
• Crossing above the positive threshold opens a long, while crossing below the negative threshold opens a short.
• Positions exit when the averaged CCI crosses back through the corresponding threshold.
• The example specifies hourly futures data and zero fees but reports no performance results.
• Code comments mention other indicators, though the operative conditions use averaged CCI values.

Tags

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