Commodity Selection Index Combines Directional Strength and True Range

Summary

The document introduces the Commodity Selection Index (CSI), specifying high, low, close, and a lookback length as inputs. Its pseudocode builds an average true range measure from intraday range and gaps relative to the previous close. It also estimates positive and negative directional movement, derives directional indicators, and smooths their relative difference into ADX and ADXR. CSI then scales a range measure by ADXR and a constant involving assumed margin and commission inputs. This construction combines market movement size with a measure of directional trend strength.

The page provides pseudocode but little explanation of how to interpret CSI values or use them to select contracts. A linked document is referenced for the indicator’s meaning, but its contents are not reproduced. There are no example calculations, parameter tests, trading rules, or performance results. The formula’s constants embed trading-cost and margin assumptions, which may not fit other instruments or market conditions; users would need to verify the implementation and test any application independently.

Key ideas

• CSI takes high, low, close, and a lookback length as inputs.
• The calculation uses smoothed true range and positive and negative directional movement.
• ADX and ADXR represent the smoothed difference between directional indicators.
• The final index scales range by trend strength and a constant based on margin and commission assumptions.
• The document gives no usage thresholds, validation, or trading performance evidence.

Tags

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