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Published by:: Nikolay Kositsin
Views:: 11427
Rating:: (20)
Published:: 2011.08.23 11:56
Updated:: 2016.11.22 07:32

pcci.mq5 (6.23 KB) view

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Real author:

Vladimir Kravchuk, "New Adaptive Method of Following the Tendency and Market Cycles "

PCCI (Perfect Commodity Channel Index) indicator is calculated by the following formula:

PCCI(bar) = close(bar) – FATL(bar)

where:

close(bar) - closed bars prices;
FATL(bar) - FATL digital filter.

FATL_filter

It resembles D. Lambert's Commodity Channel Index by the method of its calculation.

Actually, CCI index is calculated as a normalized difference between the current price and its moving average. PCCI is calculated as a difference between a day closing price and its statistical expectation presented by a FATL value. Therefore, PCCI is more efficient than CCI.

PCCI index is a high frequency part of the exchange rate fluctuations normalized according to its standard deviation.

PCCI (Perfect Commodity Channel Index) indicator

Translated from Russian by MetaQuotes Ltd.
Original code: https://www.mql5.com/ru/code/409

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