Supported Indicators

Commodity Channel Index

Introduction

This indicator represents the traditional commodity channel index (CCI) CCI = (Typical Price - 20-period SMA of TP) / (.015 * Mean Deviation) Typical Price (TP) = (High + Low + Close)/3 Constant = 0.015 There are four steps to calculating the Mean Deviation, first, subtract the most recent 20-period average of the typical price from each period's typical price. Second, take the absolute values of these numbers. Third, sum the absolute values. Fourth, divide by the total number of periods (20).

To view the implementation of this indicator, see the LEAN GitHub repository.

Using CCI Indicator

To create an automatic indicator for CommodityChannelIndex, call the CCIcci helper method from the QCAlgorithm class. The CCIcci method creates a CommodityChannelIndex object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initializeinitialize method.

public class CommodityChannelIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private CommodityChannelIndex _cci;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _cci = CCI(_symbol, 20, MovingAverageType.Simple);
    }

    public override void OnData(Slice data)
    {

        if (_cci.IsReady)
        {
            // The current value of _cci is represented by itself (_cci)
            // or _cci.Current.Value
            Plot("CommodityChannelIndex", "cci", _cci);
            // Plot all properties of abands
            Plot("CommodityChannelIndex", "typicalpriceaverage", _cci.TypicalPriceAverage);
            Plot("CommodityChannelIndex", "typicalpricemeandeviation", _cci.TypicalPriceMeanDeviation);
        }
    }
}
class CommodityChannelIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._cci = self.cci(self._symbol, 20, MovingAverageType.SIMPLE)

    def on_data(self, slice: Slice) -> None:

        if self._cci.is_ready:
            # The current value of self._cci is represented by self._cci.current.value
            self.plot("CommodityChannelIndex", "cci", self._cci.current.value)
            # Plot all attributes of self._cci
            self.plot("CommodityChannelIndex", "typical_price_average", self._cci.typical_price_average.current.value)
            self.plot("CommodityChannelIndex", "typical_price_mean_deviation", self._cci.typical_price_mean_deviation.current.value)

For more information about this method, see the QCAlgorithm classQCAlgorithm class.

You can manually create a CommodityChannelIndex indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Updateupdate method. The indicator will only be ready after you prime it with enough data.

public class CommodityChannelIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private CommodityChannelIndex _commoditychannelindex;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _commoditychannelindex = new CommodityChannelIndex(20, MovingAverageType.Simple);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
            _commoditychannelindex.Update(bar);

        if (_commoditychannelindex.IsReady)
        {
            // The current value of _commoditychannelindex is represented by itself (_commoditychannelindex)
            // or _commoditychannelindex.Current.Value
            Plot("CommodityChannelIndex", "commoditychannelindex", _commoditychannelindex);
            // Plot all properties of abands
            Plot("CommodityChannelIndex", "typicalpriceaverage", _commoditychannelindex.TypicalPriceAverage);
            Plot("CommodityChannelIndex", "typicalpricemeandeviation", _commoditychannelindex.TypicalPriceMeanDeviation);
        }
    }
}
class CommodityChannelIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._commoditychannelindex = CommodityChannelIndex(20, MovingAverageType.SIMPLE)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._commoditychannelindex.update(bar)

        if self._commoditychannelindex.is_ready:
            # The current value of self._commoditychannelindex is represented by self._commoditychannelindex.current.value
            self.plot("CommodityChannelIndex", "commoditychannelindex", self._commoditychannelindex.current.value)
            # Plot all attributes of self._commoditychannelindex
            self.plot("CommodityChannelIndex", "typical_price_average", self._commoditychannelindex.typical_price_average.current.value)
            self.plot("CommodityChannelIndex", "typical_price_mean_deviation", self._commoditychannelindex.typical_price_mean_deviation.current.value)

For more information about this indicator, see its referencereference.

Visualization

The following plot shows values for some of the CommodityChannelIndex indicator properties:

CommodityChannelIndex line plot.

Indicator History

To get the historical data of the CommodityChannelIndex indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription. 

public class CommodityChannelIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private CommodityChannelIndex _cci;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _cci = CCI(_symbol, 20, MovingAverageType.Simple);

        var indicatorHistory = IndicatorHistory(_cci, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_cci, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_cci, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);

        // Access all attributes of indicatorHistory
        var typicalPriceAverage = indicatorHistory.Select(x => ((dynamic)x).TypicalPriceAverage).ToList();
        var typicalPriceMeanDeviation = indicatorHistory.Select(x => ((dynamic)x).TypicalPriceMeanDeviation).ToList();
    }
}
class CommodityChannelIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._cci = self.cci(self._symbol, 20, MovingAverageType.SIMPLE)

        indicator_history = self.indicator_history(self._cci, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._cci, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._cci, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
    
        # Access all attributes of indicator_history
        indicator_history_df = indicator_history.data_frame
        typical_price_average = indicator_history_df["typicalpriceaverage"]
        typical_price_mean_deviation = indicator_history_df["typicalpricemeandeviation"]

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