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{Adaptive CCI From the book 'Rocket Science for Traders' by John Ehlers modified with new cycle measurement method from 'Cybernetic Analysis for Stocks and Futures' mmillar, July 2004 Price - the current price - only used by the Cycle Period measurement, not by the CCI calculation Length - used by the Cycle Period measurement - John Ehlers uses alpha but I have replaced it with the more intuitive Length, where alpha=2/(Length+1) CycPart - allows you to change how much of the cycle period should be used in the CCI calculation - usually 1 } Inputs: Price((H+L)/2), Length(19), CycPart(1); Vars: oResult1(0), oResult2(0); value1=_Oscillators(18, Price, Length, CycPart, 1, 0, 1, oResult1, oResult2); Plot1(oResult1, "AdaptCCI"); _Oscillators function: {A collection of oscillators by John Ehlers by mmillar, July 2004 1-15 are taken from 'Cybernetic Analysis for Stocks and Futures' 16-18 are taken from 'Rocket Science for Traders' and updated using a new cycle period measurement method This function calls the function '_CyclePeriod' to calculate the Dominant Cycle for use in adaptive strategies Oscillator Types 1 - Cyber Cycle 2 - CG Oscillator 3 - Relative Vigor Index (RVI) 4 - Stochastic RSI 5 - Stochastic Cyber Cycle 6 - Stochastic CG 7 - Stochastic RVI 8 - Fisher Cyber Cycle 9 - Fisher CG 10 - Fisher RVI 11 - Adaptive Cyber Cycle 12 - Adaptive CG 13 - Adaptive RVI 14 - Sinewave Indicator 15 - Laguerre RSI 16 - Adaptive RSI 17 - Adaptive Stochastic 18 - Adaptive CCI This function is called with OscType - one of the above Price - some indicators can use a price input e.g. (H+L)/2, Close etc, otherwise this can be set to 0 Length - the length or period that you wish to measure. In some instances John Ehlers uses 'alpha' as his input but I have standardised all inputs using Length and then converted, where necessary, with alpha=2/(Length+1) Length2 - this is a catch all used when an additional input variable is needed (just because everything is done in one function) RSILength, StocLength, WMALength - only used by Stochastic RSI (OscType=4) oResult1, oResult2 - are the results returned by the function } Inputs: OscType(Numeric), Price(Numeric), Length(Numeric), Length2(Numeric), {general inputs} RSILength(Numeric), StocLength(Numeric), WMALength(Numeric), {only used by OscType=4} oResult1(NumericRef), oResult2(NumericRef); {results to return} Vars: alpha(0), count(0), Num(0), Denom(0), Smooth(0), Cycle(0), {for OscType=1, 5, 8, 11} CG(0), {for OscType=2, 6, 9, 12} RVI(0), {for OscType=3, 7, 10, 13} MaxVal(0), MinVal(0), {for OscType=5-10} Period(0), {for OscType=11-18} Cycle1(0), {for OscType=11-18 but only used in 14} Smooth1(0), {for OscType=11-18 but only used in 11} DCPeriod(0), RealPart(0), ImagPart(0), DCPhase(0), {for OscType=14} L0(0), L1(0), L2(0), L3(0), {for OscType=15} vRSI(0), CU(0), CD(0), {for OscType=15, 16} vStoch(0), HH(0), LL(0), {for OscType=17} vCCI(0), Avg(0), MD(0), MPrice(0); {for OscType=18} If ( OscType=1 ) then Begin {Cyber Cycle} alpha=2/(Length+1); Smooth=(Price+2*Price[1]+2*Price[2]+Price[3])/6; Cycle=(1-0.5*alpha)*(1-0.5*alpha)*(Smooth-2*Smooth[1]+Smooth[2])+2*(1-alpha)*Cycle[1]-(1-alpha)*( 1-alpha)*Cycle[2]; If currentbar<7 then Cycle=(Price-2*Price[1]+Price[2])/4; oResult1=Cycle; oResult2=Cycle[1]; end else If ( OscType=2 ) then Begin {CG Oscillator} Num=0; Denom=0; For count=0 to Length-1 Begin Num=Num+(1+count)*Price[count]; Denom=Denom+Price[count]; end; If Denom<>0 then CG=-Num/Denom+(Length+1)/2; oResult1=CG; oResult2=CG[1]; end else If ( OscType=3 ) then Begin {Relative Vigor Index} Value1=((Close-Open)+2*(Close[1]-Open[1])+2*(Close[2]-Open[2])+(Close[3]-Open[3]))/6; Value2=((High-Low)+2*(High[1]-Low[1])+2*(High[2]-Low[2])+(High[3]-Low[3]))/6; Num=0; Denom=0; For count=0 to Length-1 Begin Num=Num+Value1[count]; Denom=Denom+Value2[count]; end; If Denom<>0 then RVI=Num/Denom; oResult1=RVI; oResult2=RVI[1]; end else If ( OscType=4 ) then Begin {Stochastic RSI} Value1=RSI(Close, RSILength)-Lowest(RSI(Close, RSILength), StocLength); Value2=Highest(RSI(Close, RSILength), StocLength)-Lowest(RSI(Close, RSILength), StocLength); If Value2<>0 then Value3=Value1/Value2; Value4=2*(WAverage(Value3, WMALength)-0.5); oResult1=Value4; oResult2=Value4[1]; end else If ( OscType=5 ) then Begin {Stochastic Cyber Cycle} alpha=2/(Length+1); Smooth=(Price+2*Price[1]+2*Price[2]+Price[3])/6; Cycle=(1-0.5*alpha)*(1-0.5*alpha)*(Smooth-2*Smooth[1]+Smooth[2])+2*(1-alpha)*Cycle[1]-(1-alpha)*(1-alpha)*Cycle[2]; If currentbar<7 then Cycle=(Price-2*Price[1]+Price[2])/4; MaxVal=Highest(Cycle, StocLength); MinVal=Lowest(Cycle, StocLength); If MaxVal<>MinVal then Value1=(Cycle-MinVal)/(MaxVal-MinVal); Value2=(4*Value1+3*Value1[1]+2*Value1[2]+Value1[3])/10; Value2=2*(Value2-0.5); oResult1=Value2; oResult2=0.96*(Value2[1]+0.02); end else If ( OscType=6 ) then Begin {Stochastic CG} Num=0; Denom=0; For count=0 to Length-1 Begin Num=Num+(1+count)*Price[count]; Denom=Denom+Price[count]; end; If Denom<>0 then CG=-Num/Denom+(Length+1)/2; MaxVal=Highest(CG, Length); MinVal=Lowest(CG, Length); If MaxVal<>MinVal then Value1=(CG-MinVal)/(MaxVal-MinVal); Value2=(4*Value1+3*Value1[1]+2*Value1[2]+Value1[3])/10; Value2=2*(Value2-0.5); oResult1=Value2; oResult2=0.96*(Value2[1]+0.02); end else If ( OscType=7 ) then Begin {Stochastic RVI} Value1=((Close-Open)+2*(Close[1]-Open[1])+2*(Close[2]-Open[2])+(Close[3]-Open[3]))/6; Value2=((High-Low)+2*(High[1]-Low[1])+2*(High[2]-Low[2])+(High[3]-Low[3]))/6; Num=0; Denom=0; For count=0 to Length-1 Begin Num=Num+Value1[count]; Denom=Denom+Value2[count]; end; If Denom<>0 then RVI=Num/Denom; MaxVal=Highest(RVI, Length); MinVal=Lowest(RVI, Length); If MaxVal<>MinVal then Value3=(RVI-MinVal)/(MaxVal-MinVal); Value4=(4*Value3+3*Value3[1]+2*Value3[2]+Value3[3])/10; Value4=2*(Value4-0.5); oResult1=Value4; oResult2=0.96*(Value4[1]+0.02); end else If ( OscType=8 ) then Begin {Fisher Cyber Cycle} alpha=2/(Length+1); Smooth=(Price+2*Price[1]+2*Price[2]+Price[3])/6; Cycle=(1-0.5*alpha)*(1-0.5*alpha)*(Smooth-2*Smooth[1]+Smooth[2])+2*(1-alpha)*Cycle[1]-(1-alpha)*(1-alpha)*Cycle[2]; If currentbar<7 then Cycle=(Price-2*Price[1]+Price[2])/4; MaxVal=Highest(Cycle, Length2); MinVal=Lowest(Cycle, Length2); If MaxVal<>MinVal then Value1=(Cycle-MinVal)/(MaxVal-MinVal); Value2=(4*Value1+3*Value1[1]+2*Value1[2]+Value1[3])/10; Value3=0.5*Log((1+1.98*(Value2-0.5))/(1-1.98*(Value2-0.5))); oResult1=Value3; oResult2=Value3[1]; end else If ( OscType=9 ) then Begin {Fisher CG} Num=0; Denom=0; For count=0 to length-1 Begin Num=Num+(1+count)*(Price[count]); Denom=Denom+(Price[count]); end; If Denom<>0 then CG=-Num/Denom+(Length+1)/2; MaxVal=Highest(CG, Length); MinVal=Lowest(CG, Length); If MaxVal<>MinVal then Value1=(CG-MinVal)/(MaxVal-MinVal); Value2=(4*Value1+3*Value1[1]+2*Value1[2]+Value1[3])/10; Value3=0.5*Log((1+1.98*(Value2-0.5))/(1-1.98*(Value2-0.5))); oResult1=Value3; oResult2=Value3[1]; end else If ( OscType=10 ) then Begin {Fisher RVI} Value1=((Close-Open)+2*(Close[1]-Open[1])+2*(Close[2]-Open[2])+(Close[3]-Open[3]))/6; Value2=((High-Low)+2*(High[1]-Low[1])+2*(High[2]-Low[2])+(High[3]-Low[3]))/6; Num=0; Denom=0; For count=0 to Length-1 Begin Num=Num+Value1[count]; Denom=Denom+Value2[count]; end; If Denom<>0 then RVI=Num/Denom; MaxVal=Highest(RVI, Length); MinVal=Lowest(RVI, Length); If MaxVal<>MinVal then Value3=(RVI-MinVal)/(MaxVal-MinVal); Value4=(4*Value3+3*Value3[1]+2*Value3[2]+Value3[3])/10; Value5=0.5*Log((1+1.98*(Value4-0.5))/(1-1.98*(Value4-0.5))); oResult1=Value5; oResult2=Value5[1]; end else If ( OscType=11 ) then Begin {Adaptive Cyber Cycle} alpha=2/(Length+1); Period=_CyclePeriod(Price, alpha, Cycle1, Smooth1); alpha=2/(Period+1); Cycle=(1-0.5*alpha)*(1-0.5*alpha)*(Smooth1-2*Smooth1[1]+Smooth1[2])+2*(1-alpha)*Cycle[1]-(1-alpha)*(1-alpha)*Cycle[2]; If currentbar<7 then Cycle=(Price-2*Price[1]+Price[2])/4; oResult1=Cycle; oResult2=Cycle[1]; end else If ( OscType=12 ) then Begin {Adaptive CG} alpha=2/(Length+1); Period=_CyclePeriod(Price, alpha, Cycle1, Smooth1); Value1=IntPortion(Period/2); {use half the cycle period} Num=0; Denom=0; For count=0 to Value1-1 Begin Num=Num+(1+count)*(Price[count]); Denom=Denom+(Price[count]); end; If Denom<>0 then CG=-Num/Denom+(Value1+1)/2; oResult1=CG; oResult2=CG[1]; end else If ( OscType=13 ) then Begin {Adaptive RVI} alpha=2/(Length+1); Period=_CyclePeriod(Price, alpha, Cycle1, Smooth1); Value3=IntPortion((4*Period+3*Period[1]+2*Period[3]+Period[4])/20); Value1=((Close-Open)+2*(Close[1]-Open[1])+2*(Close[2]-Open[2])+(Close[3]-Open[3]))/6; Value2=((High-Low)+2*(High[1]-Low[1])+2*(High[2]-Low[2])+(High[3]-Low[3]))/6; Num=0; Denom=0; For count=0 to Value3-1 Begin Num=Num+Value1[count]; Denom=Denom+Value2[count]; end; If Denom<>0 then RVI=Num/Denom; oResult1=RVI; oResult2=RVI[1]; end else If ( OscType=14 ) then Begin {Sinewave Indicator} alpha=2/(Length+1); Period=_CyclePeriod(Price, alpha, Cycle1, Smooth1); DCPeriod=IntPortion(Period); RealPart=0; ImagPart=0; For count=0 to DCPeriod-1 Begin RealPart=RealPart+Sine(360*count/DCPeriod)*(Cycle1[count]); ImagPart=ImagPart+Cosine(360*count/DCPeriod)*(Cycle1[count]); end; If AbsValue(ImagPart)>0.001 then DCPhase=Arctangent(RealPart/ImagPart); If AbsValue(ImagPart)<=0.001 then DCPhase=90*Sign(RealPart); DCPhase=DCPhase+90; If ImagPart<0 then DCPhase=DCPhase+180; If DCPhase>315 then DCPhase=DCPhase-360; oResult1=Sine(DCPhase); oResult2=Sine(DCPhase+45); end else If ( OscType=15 ) then Begin {Laguerre RSI} L0=(1-Length2)*Close+Length2*L0[1]; L1=-Length2*L0+L0[1]+Length2*L1[1]; L2=-Length2*L1+L1[1]+Length2*L2[1]; L3=-Length2*L2+L2[1]+Length2*L3[1]; CU=0; CD=0; If L0>=L1 then CU=L0-L1 else CD=L1-L0; If L1>=L2 then CU=CU+L1-L2 else CD=CD+L2-L1; If L2>=L3 then CU=CU+L2-L3 else CD=CD+L3-L2; If CU+CD<>0 then vRSI=CU/(CU+CD); oResult1=vRSI; oResult2=0; end else If ( OscType=16 ) then Begin {Adaptive RSI} alpha=2/(Length+1); Period=_CyclePeriod(Price, alpha, Cycle1, Smooth1); CU=0; CD=0; For count=0 to (Period*Length2)-1 Begin If Close[count]-Close[count+1]>0 then CU=CU+(Close[count]-Close[count+1]); If Close[count]-Close[count+1]<0 then CD=CD+(Close[count+1]-Close[count]); end; If CU+CD<>0 then vRSI=100*CU/(CU+CD); oResult1=vRSI; oResult2=0; end else If ( OscType=17 ) then Begin {Adaptive Stochastic} alpha=2/(Length+1); Period=_CyclePeriod(Price, alpha, Cycle1, Smooth1); HH=High; LL=Low; For count=0 to IntPortion(Period*Length2)-1 Begin If High[count]>HH then HH=High[count]; If Low[count]<LL then LL=Low[count]; end; If HH-LL<>0 then vStoch=(Close-LL)/(HH-LL); oResult1=vStoch; oResult2=0; end else If ( OscType=18 ) then Begin {Adaptive CCI} alpha=2/(Length+1); Period=_CyclePeriod(Price, alpha, Cycle1, Smooth1); Value1=IntPortion(Period*Length2); MPrice=(High+Low+Close)/3; Avg=0; For count=0 to Value1-1 Begin Avg=Avg+MPrice[count]; end; If Value1<>0 then Avg=Avg/Value1; MD=0; For count=0 to Value1-1 Begin MD=MD+AbsValue(MPrice[count]-Avg); end; If Value1<>0 then MD=MD/Value1; If MD<>0 then vCCI=(MPrice-Avg)/(0.015*MD); oResult1=vCCI; oResult2=0; end; _Oscillators=1; _cycleperiod function {Cycle Period Measurement From the book 'Cybernetic Analysis for Stocks and Futures' by John Ehlers mmillar, July 2004 This function is called with Price - the current price, such as (H+L)/2 or Close alpha - the alpha (which is related to the measurement period/length) oCycle - a return variable that is needed by some indicators } Inputs: Price(numeric), alpha(numeric), oCycle(numericref), oSmooth(numericref); Vars: Smooth(0), Cycle(0), Q1(0), I1(0), DC(0), DeltaPhase(0), MedianDelta(0), InstPeriod(0), Period(0); Smooth=(Price+2*Price[1]+2*Price[2]+Price[3])/6; Cycle=(1-0.5*alpha)*(1-0.5*alpha)*(Smooth-2*Smooth[1]+Smooth[2])+2*(1-alpha)*Cycle[1]-(1-alpha)*(1 -alpha)*Cycle[2]; If currentbar<7 then Cycle=(Price-2*Price[1]+Price[2])/4; Q1=(0.0962*Cycle+0.5769*Cycle[2]-0.5769*Cycle[4]-0.0962*Cycle[6])*(0.5+0.08*InstPeriod[1]); I1=Cycle[3]; If Q1<>0 and Q1[1]<>0 then DeltaPhase=(I1/Q1-I1[1]/Q1[1])/(1+I1*I1[1]/(Q1*Q1[1])); If DeltaPhase<0.1 then DeltaPhase=0.1; If DeltaPhase>1.1 then DeltaPhase=1.1; MedianDelta=Median(DeltaPhase, 5); If MedianDelta=0 then DC=15 else DC=6.28318/MedianDelta+0.5; InstPeriod=0.33*DC+0.67*InstPeriod[1]; Period=0.15*InstPeriod+0.85*Period[1]; oCycle=Cycle; oSmooth=Smooth; _CyclePeriod=Period;

THE DOUBLE CCI TRADING METHOD I'm using my own CCI trading method using some of Woodie's "observations" to trade stocks and eventually options. I have collected some sophisticated nuances for each set-up and I do keep an eye on the price. I call a Head & Shoulders a Head & Shoulders , not a Ghost. Same goes for Shamu and Famir... there are run of the mill continuation patterns. :missy: Anyone for "meows" or "batman" set-ups? :crap: I never visited Woodie's trading forum. Have read most that has been written by Jeff, DrBob and others. From what I read, I have concluded the the old man has reached senility and has a Napoleonic complex along with a small and closed mind. The use of the double CCI does not produce a leading indicator ... just another tool like the 14-day stochastic. By the way, the same set-ups that you get using the 6- and 14- day CCIs are EXACTLY the same as the ones produced by the 6- and 14- day exponential moving averages. If you doubt me, check it out in your charting system. :helloooo: ***** If anyone is interested in discussing the technicalities of trading with the dual CCI sytem, I'm game! I will frequently check this forum to see if anybody has come alive. SAM6691