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CCI Indicator Suite for AmiBroker

The CCI (Commodity Channel Index) is an indicator with enduring popularity.

CodeForTraders is pleased to offer the CCI Indicator Suite for AmiBroker as a low-cost, pre-written, powerful, well-organized place from which to begin (or extend) your AB journey.

What It Is
The CCI Indicator Suite for AmiBroker is 3 AFL formulas which together implement a collection of , visualization, presentation, and optimization techniques to create a complete solution for investigating CCI trading (or trading of any other indicator, after minor editing).

What It Looks Like

Observe the smoothed CCI indicator in the bottom pane. The two brighter horizontal lines (green and red) are your trade entry lines (long and short). The darker horizontal lines are the corresponding exit lines (the colors may be chosen by you).

Notice how the bars in the upper pane have been colored green during long trades, red during short trades, and white when no trades are in progress. Trade entry signal bars are indicated by the green and red arrows. All signals (buy, sell, short, cover) may be seen in the (optional) histogram display at the bottom of the price pane.


These pictures show the extensive set of parameters made available in the main formula (the one in the price pane), which is designed to provide easy control of both interactive visualization, and automatic optimization as desired.
Note the lines that start with "+++++++ ". These indicate blocks of functionality which may be switched on and off as desired for backtests and optimizations.

The lines that end with " ---------- " are individual parameters which may be set to either be optimized or "locked down" from right here in the Parameter Dialog.

Read on to learn about the many other features provided.

What It Does

The CCI Indicator Suite Package uses AmiBroker Formula Language (AFL) to implement a long list of desirable features. Each section of code is clearly marked and commented.

Included you will find:

Code for setup of cooperating indicator
Code for adding custom metric(s)
Code for AA window display of non-optimized parameters
Code for optimizer choice and setup
Code for single contract testing
Code for trading on the Open of the next bar after a Signal.
Code for technical calculation(s).
Code for trading long-only, short-only, or in both directions
Code for trading signals in the opposite direction
Code for a choice of trade signal filters
Code for limiting trading to an intraday time window
Code for optimizable indicator-based exits
Code for optimizable StopLoss and PftTgt
Code for determining and displaying exit reason
Code for histogram visualization of buy/sell/short/cover arrays.
Code for passing NetPft to cooperating display indicator in another chart pane.
Code for Displaying signals as an Exploration
Code for on-chart plotting of price, signal arrows, and trade duration/direction bar coloring
Code for creating and displaying informative title text
Code for display of filters

These features are provided in the context of a 4-level, indicator-based trading model:

Low level on the indicator (i.e weakness, oversold) for Long Entry (LE)
High level on the indicator (i.e strength, overbought) for Short Entry (SE)
Long Exit (LX) level on the indicator (for optional indicator-based long trade profit-taking)
Short Exit (SX) level on the indicator (for optional indicator-based short trade profit-taking)

For optimization, there are 8 major numeric dimensions:

CCI_Base_Period
CCI_Smooth_Period
CCI_LowLvl
CCI_HighLvl
CCI_LX_Lvl
CCI_SX_Lvl
StopLossPct
PftTgtPct
along with various other useful switches and choices.

The code uses the CCI as the provided calculation, but has been carefully constructed to allow you to easily substitute a different indicator with only very minor changes to the source.

Innovations

This strategy has been specially designed to allow wide-scope or narrow-scope optimization to be configured directly from the AB Parameters Dialog. This means optimization across any desired combination of the major numeric dimensions based strictly on Dialog settings without requiring code edits.

Also, custom metrics are used to ensure that non-optimized (i.e. locked-down) major dimensions are displayed in the AmiBroker Automatic window optimization results. This ensures that the report more thoroughly reflects the configuration of parameters used to generate it (which is not normally true by default).



(Note how the "locked down" CCI_Base and CCI_Smooth parameters remain unchanging throughout the optimization, yet are still part of the final display. Without them, you wouldn't know everything important about what created the performance.)

You may choose to operate the code with any of the built-in AmiBroker non-exhaustive optimizers (CMAE, Tribes, SPSO). Again, no code edits required for this!

The goal of this code is to advance the new user past months of study and experimentation directly to feature-rich, working code that is both

immediately useful as-is
easily repurposed and extended
The CCI Indicator Suite uses the same underlying technology as the RSI Indicator Suite. Please visit that page to view video explanations of the visual features, 4-line indicator trading model, and special optimization features in action.

Though similar to our other Indicator Suite(s), the CCI Indicator Suite is offered separately

for those who prefer CCI as a primary indicator
for those who want to view exactly (with a file comparison tool) how to adapt for a different indicator
for those who want more than one ready-made, without any further edits or typing required
What You Get

The primary CCI-based trading formula for backtesting/optimization/display
Cooperating Net-Profit formula for separate pane display
Cooperating rCCI (remote CCI) formula, for displaying the CCI per the strategy formula settings
A .chart file for creating the window as shown above
Customer Support for initial installation.
This package is distributed as fully-disclosed AFL. You will be able to modify and extend it as desired, but you may not share it with non-licensees (just send them here instead!).