The adaptive CCI is based on formulas published in John Ehler's book, "Rocket Science for Traders". You can also visit his website at mesasoftware.com which he has much to read. Also visit tuckerreport.com. Very good articles about the CCI and making it better. In fact, I suggest you read tuckerreport.com to get a better explanation of the adaptive CCI than what I can give. However, the basic idea of the John Ehlers CCI is to dynamically adjust the CCI period based on the market cycle. The period will range from 6 to 50 or in my case I allow it to go even higher to let it minimize the effects of divergence as much as possible. You may not be bothered by divergence but I am. This version of the adaptive CCI also has the same 2 features that the LinRegMulti has, up to 4 alternate CCIs overlayed with the main CCI and also smoothing. Smooth is easier to explain so I will start there. Smooth is a setting that allows you reduce the humps and bumps of the normal CCI. Using this feature applies to all the CCIs, the main one and the alternates. The alternate CCIs are adaptive as well but they use a different formula to calculate the CCI. Typical price is calculated using (High + Low + Close) /3. We modified that as follows. High and Low aren't the high and low of the current bar. High is the highest high for the previous N bars and Low is the lowest low of the previous N bars. Close is just the close of the current bar. Again, this alternate formula is only used for the alternate CCI plots. The main CCI uses the standard formula for the CCI. You can select the number of bars that each of the alternate CCIs will sample. I use 2, 4, 6, and 8. Can go even wider if you like. Experiment with it to see which you like better. This difference causes some disparity between the alternate CCIs and the main CCI which gives me a heads up as to the direction price is more likely to move. The alternate CCIs really give a pretty good idea when you get those fakeout patterns. Obviously not a certainty but if you can stay out of enough of those fakeouts, you might have a profitable day.
You will notice the bars aren't the same as the normal Woodie CCI. They are like the LinRegMulti bars. Green means all the alternate CCIs are pointing up. Red means all the alternate CCIs are pointing down. Gray means the alternate CCIs are pointing in different directions. Be cautious using them as they don't always refresh properly during the live market. I use them for confirmation but I also have to reload the script to be sure.
Note : If you just want to see the Adaptive CCI on its own you can remove all the additional features within the properties pane.
To import:
- Download the file contained in this thread to your desktop
- From the Control Center window select the menu File > Utilities > Import NinjaScript
- Select the downloaded file
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