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I show that, to calculate CCI you do the following:
1. Add each period's high, low, and close, and divide this sum by 3. This
is the typical price.
2. Calculate an n-period simple moving average of the typical prices
computed in step 1.
3. For each of the prior n periods, subtract today's Step 2 value from Step
1's value n days ago. For example, if you were calculating a five-day CCI,
you would perform five subractions using today's step 2 value.
4. Calculate an n-period simple moving average of the absolute values of
each of the results in step 3.
5. Multiply the value in Step 4 by 0.015
6. Subract the value in Step 2 from the value in Step 1.
7. Diovide the value in Step 6 by the value in Step 5.
Value of n could vary, buy may typically be 14.
The above description was taken from Technical Analysis from A to Z, by
Steven B. Achelis, who states that a more detailed descripton appears in the
October 1980 issue of Commocities (now Futures) magazine in an article by
Donald Lambert.
Good luck,
Larry Stone
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