Friday, May 20, 2022

Perfect Commodity Channel Index

Author: Vladimir Kravchuk

“New Adaptive Method of Following the Tendency and Market Cycles”

PCCI (Perfect Commodity Channel Index) indicator is calculated by the following formula:

PCCI(bar) = close(bar) – FATL(bar)

where:

  • close(bar) – closed bars prices;
  • FATL(bar) – FATL digital filter.

It resembles D. Lambert’s Commodity Channel Index by the method of its calculation.

Actually, CCI index is calculated as a normalized difference between the current price and its moving average. PCCI is calculated as a difference between a day closing price and its statistical expectation presented by a FATL value. Therefore, PCCI is more efficient than CCI.

PCCI index is a high frequency part of the exchange rate fluctuations normalized according to its standard deviation.

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