CCI
Momentum
The Commodity Channel Index (Donald Lambert, 1980): measures how far the price deviates from its statistically normal level. Despite the name it works on all assets, not just commodities.
Construction & calculation
- Compute the typical price (in the scanner: the closing price) and its 20-day average.
- Compute the mean absolute deviation of that price relative to the average.
- Divide the difference by 0.015 times that mean deviation — the constant ensures that roughly 70 to 80% of the values fall between -100 and +100.
CCI = (TP - SMA(TP,20)) / (0.015 x mean deviation)
Interpretation
- Between -100 and +100: normal fluctuations, no signal.
- Above +100: the price is exceptionally strong. Lambert read this as a buy signal (breakout), later analysts as overbought.
- Below -100: exceptionally weak — the same debate mirrored.
How the signal works in this scanner
Buy signal (green)The CCI crosses -100 from below to above (it leaves the extremely weak zone; the scanner therefore reads this as a reversal, not a breakout).
Sell signal (red)The CCI crosses +100 from above to below.
Watch-outs & pitfalls
- There are two schools: breakout (buy above +100) and mean reversion (buy on the return above -100). This scanner uses the second.
- In a strong trend the CCI stays above +100 for a long time — the mean-reversion reading would then take you out of the market too early.