John Ehlers Adaptive CCI

This is an implementation of John Ehlers’ Adaptive CCI, as described in his book Rocket Science for Traders: Digital Signal Processing Applications (2001-07-20).

// Adaptive Commodity Channel Index (CCI)
// Rocket Science for Traders: Digital Signal Processing Applications
// 2001-07-20 John F. Ehlers

Price = (high+low)/2
CycPart = 1

If BarIndex > 5 then
	Smooth = (4*Price + 3*Price[1] + 2*Price[2] + Price[3]) / 10
	Detrender = (.0962*Smooth + .5769*Smooth[2] - .5769*Smooth[4] - .0962*Smooth[6])*(.075*Period[1] + .54)

	// Compute InPhase and Quadrature components
	Q1 = (.0962*Detrender + .5769*Detrender[2] - .5769*Detrender[4] - .0962*Detrender[6])*(.075*Period[1] + .54)
	I1 = Detrender[3]

	// Advance the phase of I1 and Q1 by 90 degrees
	j1 = (.0962*I1 + .5769*I1[2] - .5769*I1[4] - .0962*I1[6])*(.075*Period[1] + .54)
	jQ = (.0962*Q1 + .5769*Q1[2] - .5769*Q1[4] - .0962*Q1[6])*(.075*Period[1] + .54)

	// Phasor addition for 3 bar averaging
	I2 = I1 - jQ
	Q2 = Q1 + j1

	// Smooth the I and Q components before applying the discriminator
	I2 = .2*I2 + .8*I2[1]
	Q2 = .2*Q2 + .8*Q2[1]

	// Homodyne Discriminator
	Re = I2*I2[1] + Q2*Q2[1]
	Im = I2*Q2[1] - Q2*I2[1]
	Re = .2*Re + .8*Re[1]
	Im = .2*Im + .8*Im[1]
	If Im <> 0 and Re <> 0 then
		Period = 360/ATAN(Im/Re)
	Endif
	If Period > 1.5*Period[1] then
		Period = 1.5*Period[1]
	Endif
	If Period < .67*Period[1] then
		Period = .67*Period[1]
	Endif
	If Period < 6 then
		Period = 6
	Endif
	If Period > 50 then
		Period = 50
	Endif
	Period = .2*Period + .8*Period[1]
	SmoothPeriod = .33*Period + .67*SmoothPeriod[1]

	Length = ROUND(CycPart*Period)
	MedianPric = (High + Low + Close) / 3
	Avg = 0
	For count = 0 to Length - 1 do
		Avg = Avg + MedianPrice[count]
	Next
	Avg = Avg / Length
	MD = 0
	For count = 0 to Length - 1 do
		MD = MD + ABS(MedianPric[count] - Avg)
	Next
	MD = MD / Length
	If MD <> 0 then
		ACCI = (MedianPric - Avg) / (0.015*MD)
	Endif
Endif

Return ACCI as "CCI"

// Adaptive Commodity Channel Index (CCI)

// Rocket Science for Traders: Digital Signal Processing Applications

// 2001-07-20 John F. Ehlers

Price = (high+low)/2

CycPart = 1

If BarIndex > 5 then

Smooth = (4*Price + 3*Price[1] + 2*Price[2] + Price[3]) / 10

Detrender = (.0962*Smooth + .5769*Smooth[2] - .5769*Smooth[4] - .0962*Smooth[6])*(.075*Period[1] + .54)

// Compute InPhase and Quadrature components

Q1 = (.0962*Detrender + .5769*Detrender[2] - .5769*Detrender[4] - .0962*Detrender[6])*(.075*Period[1] + .54)

I1 = Detrender[3]

// Advance the phase of I1 and Q1 by 90 degrees

j1 = (.0962*I1 + .5769*I1[2] - .5769*I1[4] - .0962*I1[6])*(.075*Period[1] + .54)

jQ = (.0962*Q1 + .5769*Q1[2] - .5769*Q1[4] - .0962*Q1[6])*(.075*Period[1] + .54)

// Phasor addition for 3 bar averaging

I2 = I1 - jQ

Q2 = Q1 + j1

// Smooth the I and Q components before applying the discriminator

I2 = .2*I2 + .8*I2[1]

Q2 = .2*Q2 + .8*Q2[1]

// Homodyne Discriminator

Re = I2*I2[1] + Q2*Q2[1]

Im = I2*Q2[1] - Q2*I2[1]

Re = .2*Re + .8*Re[1]

Im = .2*Im + .8*Im[1]

If Im <> 0 and Re <> 0 then

Period = 360/ATAN(Im/Re)

Endif

If Period > 1.5*Period[1] then

Period = 1.5*Period[1]

Endif

If Period < .67*Period[1] then

Period = .67*Period[1]

Endif

If Period < 6 then

Period = 6

Endif

If Period > 50 then

Period = 50

Endif

Period = .2*Period + .8*Period[1]

SmoothPeriod = .33*Period + .67*SmoothPeriod[1]

Length = ROUND(CycPart*Period)

MedianPric = (High + Low + Close) / 3

Avg = 0

For count = 0 to Length - 1 do

Avg = Avg + MedianPrice[count]

Avg = Avg / Length

MD = 0

For count = 0 to Length - 1 do

MD = MD + ABS(MedianPric[count] - Avg)

MD = MD / Length

If MD <> 0 then

ACCI = (MedianPric - Avg) / (0.015*MD)

Endif

Return ACCI as "CCI"

The attached screenshot shows Donald Lambert’s CCI (black) and John Ehlers’ Adaptive CCI (red).

CCI Ehlers john ehlers

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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Nicolas • 09/07/2018 #
Thanks again for all your valuable posts… and well formatted code! 🙂

Abdelkrim Maksour • 09/07/2018 #
hi sir is this indicator for mt4 and how i can get one .

DANY I did it on demo account; it's too dangerous for mea and I can not resist psychologically ....

demoz How can a demo account be dangerous? Did you have it run live (on a demo account for exampl...

DANY Yes, I mean that I tried on a demo account for 2 months and it had work fine, like the BackT...

Nicolas En effet, j'ai déjà eu ce genre de retour sur cet indicateur, je t'avoue avoir eu du mal à c...

Lavallette Bonjour Nicolas. Je trouve cet indicateur intéressant et j'essaie de l'intégrer dans une st...

Nicolas Non tout est correct, mais je comprends que tu aies un doute. C'est la façon dont a été écri...

Stef Thanks @Saud. Enjoyed the article.

Newbie I've tried to modify this so I can display on 1min chart with the 5 min chart variant as a s...

Nicolas No, just create 2 different indicators in this case, one with the timeframe(5 minutes) and o...

robertogozzi Vous ne pouvez pas, car ProBuilder ne prend actuellement pas en charge MTF (Multiple Time Fr...

jeanguy Merci pour ce travail En quoi cette MM est elle différente d’une MM courte ?

Bern latest version pro real time not accepting code, same with Ehler's MAMA indicator. any idea...

Nicolas Why not, but a stock screener for what conditions?

Dimi.A Whenever the yellow CCI line goes "outside" the bands. Which will alert us of possible rever...

Nicolas ok why not, please add a request in the appropriate forum section, many thanks.

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