Commodity Channel Index (CCI) is a technical indicator used to identify overbought or oversold conditions in a financial market. It measures the current price variation from the average price over a specified period of time.
In Haskell, we can compute the CCI by first calculating the Typical Price (TP) which is the average of the high, low, and close prices for each period. Then, we calculate the Simple Moving Average (SMA) of the TP over the specified period.
Next, we calculate the Mean Deviation, which is the average of the absolute differences between the TP and the SMA over the specified period. Finally, we calculate the CCI by dividing the difference between the TP and the SMA by a factor multiplied by the Mean Deviation.
By implementing this calculation in Haskell, we can efficiently compute the CCI indicator for a given dataset and use it for technical analysis in financial markets.
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How to implement the CCI calculation in Haskell?
To implement the CCI (Commodity Channel Index) calculation in Haskell, you can follow this simple example:
- First, you need to import the necessary module Data.List for list manipulation functions:
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import Data.List
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- Next, define a function cci that calculates the CCI value:
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cci :: Int -> [Double] -> [Double] -> [Double] cci period tpList tpAvgList = let tpAvg = sum tpList / fromIntegral period meanDeviation = sum (map (\x -> abs (x - tpAvg)) tpAvgList) / fromIntegral period cciValue = (last tpList - tpAvg) / (0.015 * meanDeviation) in cciValue : cci period (tail tpList) (tail tpAvgList) |
- You can then use this function by passing the desired period length and the list of typical prices (tpList) and the list of typical price averages (tpAvgList). Here's an example calculation using a period of 14 days:
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let prices = [23.45, 24.3, 25.1, 26.2, 27.1, 26.5, 25.8, 26.3, 27.4, 28.5, 29.2, 28.7, 27.9, 26.8] let tpList = map (\x -> (x + (x-1) + (x-2)) / 3) prices let tpAvgList = take 14 tpList let cciValues = cci 14 tpList tpAvgList -- Output CCI values for each day: -- cciValues [23.45, 24.3, 25.1, 26.2, 27.1, 26.5, 25.8, 26.3, 27.4, 28.5, 29.2, 28.7, 27.9, 26.8] |
This implementation calculates the CCI value for each day based on the given period and typical prices list. Feel free to modify the function or inputs as needed for your specific use case.
What is the difference between the CCI and other technical indicators?
The Commodity Channel Index (CCI) is a momentum-based technical indicator used to analyze overbought or oversold conditions in a financial market. It differs from other technical indicators in a few key ways:
- Calculation: The CCI is calculated using a formula that takes into account the average price of a security, the current price, and a constant value. Other technical indicators, such as moving averages or RSI, are calculated using different formulas based on different factors.
- Range-bound indicator: The CCI is typically a range-bound indicator, fluctuating between a set range of values such as -100 to +100. This makes it easier to interpret compared to other indicators that may not have a specific range.
- Overbought/oversold conditions: The CCI is primarily used to identify overbought or oversold conditions in the market. When the CCI moves above +100, it is considered overbought, and when it moves below -100, it is considered oversold. Other indicators may focus on different aspects of market analysis.
- Volatility normalization: The CCI includes a factor that normalizes its values based on the average true range of the security being analyzed. This allows for a more accurate comparison of the CCI values across different securities with varying levels of volatility.
Overall, the CCI is a unique technical indicator that provides valuable insights into market conditions, particularly in identifying potential reversal points. Its calculation method, specific range, and focus on overbought/oversold conditions set it apart from other technical indicators.
How to interpret CCI values for trade signals?
The Commodity Channel Index (CCI) is a momentum-based indicator that can help traders identify overbought or oversold conditions in a market. Here is a general guide on how to interpret CCI values for trade signals:
- CCI values above +100 indicate that a market is overbought, meaning that prices have risen too far too fast and may be due for a pullback. Traders may consider selling or taking profits in this situation.
- CCI values below -100 indicate that a market is oversold, meaning that prices have fallen too far too fast and may be due for a rebound. Traders may consider buying or going long in this situation.
- CCI values between -100 and +100 indicate that a market is in a neutral or ranging state, with prices neither overbought nor oversold. Traders may choose to stay out of the market or use additional technical analysis tools to confirm trends before making a trade.
- CCI values crossing above or below the +100 or -100 levels can also be used as trade signals. A bullish crossover (CCI crossing above +100) may indicate a potential buying opportunity, while a bearish crossover (CCI crossing below -100) may signal a potential selling opportunity.
It is important to note that the CCI should not be used in isolation, but rather in conjunction with other technical analysis tools and indicators to confirm trade signals. Additionally, traders should always consider risk management strategies and set stop-loss orders to protect against potential losses.
