README.md

Commodity Channel Index (CCI)

Oscillator depicting deviation from typical price range. More info ...

// usage
IEnumerable<CciResult> results = Indicator.GetCci(history, lookbackPeriod);  

Parameters

name	type	notes
history	IEnumerable<Quote>	Historical Quotes data should be at any consistent frequency (day, hour, minute, etc). You must supply at least N+1 periods of history.
lookbackPeriod	int	Number of periods (N) in the moving average. Must be greater than 0. Default is 20.

Response

IEnumerable<CciResult>

The first N-1 periods will have null values since there's not enough data to calculate. We always return the same number of elements as there are in the historical quotes.

CciResult

name	type	notes
Index	int	Sequence of dates
Date	DateTime	Date
Cci	decimal	CCI value for N lookback periods

Example

// fetch historical quotes from your favorite feed, in Quote format
IEnumerable<Quote> history = GetHistoryFromFeed("SPY");

// calculate 20-period CCI
IEnumerable<CciResult> results = Indicator.GetCci(history,20);

// use results as needed
DateTime evalDate = DateTime.Parse("12/31/2018");
CciResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
Console.WriteLine("CCI on {0} was ${1}", result.Date, result.Cci);

CCI on 12/31/2018 was -52.99