Glossary
CCI (Commodity Channel Index)
Lambert's measure of how far the typical price is from its moving average, scaled by mean deviation. A common setting is 20 periods.
The CCI (Commodity Channel Index), introduced by Donald Lambert in 1980, measures how far price is from its recent average. The typical price is (high + low + close) ÷ 3, and CCI = (typical price − its simple moving average) ÷ (0.015 × mean deviation), over n periods. The constant 0.015 was chosen so that most values fall between −100 and +100. A common setting is 20 periods; some platforms default to 14.
Example
Gold's typical price is 4,020.0, its 20-period average 4,000.0 and the mean deviation 10.0. CCI = (4,020.0 − 4,000.0) ÷ (0.015 × 10.0) = 20.0 ÷ 0.15 ≈ 133. Readings above +100 are read as strength or as overextension, depending on the strategy.
Why it matters
The same reading can support opposite trades, so a test has to state how it is used before it runs. In our lab, CCI rules on gold did not leave a positive result after costs.