CommodityChannelIndex

Summary

CommodityChannelIndex is RTTA's streaming implementation of: CCI deviation of typical price from its moving average.

Update API

result = rtta.CommodityChannelIndex().update(close, high, low)

The update(...) call consumes one observation using close, high, low. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

CommodityChannelIndex is a causal smoother or average. It updates compact rolling or exponential state with the newest observation and returns the current smoothed estimate.

Recurrence

Let \(z_t = (close_t, high_t, low_t)\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[H_t=\max_{i\in W_t} high_i, \qquad L_t=\min_{i\in W_t} low_i\]

\[y_t = G(H_t,L_t,close_t)\]

The return value is the current scalar indicator value.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class CommodityChannelIndex.

Reference

Background reference