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CCI (Commodity Channel Index): Formula, ±100 Levels, How to Read

CCI(20) compares typical price with its 20-session average, scaled by 0.015 × mean absolute deviation. Formula and the ±100 conventions.

Reviewed · Sources at the end · How Vyreon measures
Vyreon's per-security reports are not live yet; this page describes what they will measure. Examples are illustrative.

The Commodity Channel Index (CCI) measures how far today's typical price is from its 20-session average, scaled by the average distance of recent typical prices from that average. A reading of 0 means the typical price equals its average; readings beyond +100 or −100 are conventionally treated as unusually far from it. Despite the name, introduced by Donald Lambert for commodities in 1980, it applies to any traded security.

CCI Formula

  1. Typical price (TP) for each session = (high + low + close) ÷ 3
  2. Average = 20-session simple average of TP
  3. Mean absolute deviation (MAD) = the average distance of each of those 20 typical prices from that average, ignoring sign
  4. CCI = (today's TP − average) ÷ (0.015 × MAD)

Illustrative example: a typical price of 105, a 20-session average of 100 and a mean absolute deviation of 2.5 give CCI = 5 ÷ (0.015 × 2.5) = 5 ÷ 0.0375 ≈ 133.

Why 0.015?

Lambert set the constant at 0.015 intending most readings to fall between −100 and +100. It only scales the result; it is not a statistical boundary. How often a given security goes beyond ±100 depends on how its prices behave.

Mean Absolute Deviation, Not Standard Deviation

CCI uses the mean absolute deviation, the plain average distance from the mean. Bollinger Bands use the standard deviation, which weights large deviations more. The two are related but not interchangeable, and a tool that uses the standard deviation in CCI will show different numbers.

How To Read CCI: +100 And −100

  • Above +100: the typical price is unusually high relative to its recent average and usual spread.
  • Below −100: unusually low.
  • Between −100 and +100: within the normal spread.

CCI has no upper or lower limit, so readings of ±200 or more occur after sharp moves. Some traders read moves beyond ±100 as the start of a trend and others as overextension; both are conventions, not rules.

How Vyreon Calculates It

  • CCI(20) on daily bars adjusted for splits and dividends, so a split does not create an extreme reading.
  • Typical price from each session's high, low and close; 20-session simple average and mean absolute deviation; constant 0.015.
  • The window includes the reported day and no later session.
  • If all 20 typical prices are identical, CCI is withheld rather than guessed.

What CCI Does Not Tell You

  • It describes the last 20 sessions. It does not forecast.
  • ±100 is a convention. A high reading can persist through a long rise, and a low one through a long decline.
  • It ignores volume.

Related: Bollinger Bands · stochastic oscillator · Williams %R · RSI · ADX

Sources

  • Donald R. Lambert, "Commodity Channel Index: Tool for Trading Cyclic Trends", Commodities (October 1980).
  • John J. Murphy, Technical Analysis of the Financial Markets (New York Institute of Finance, 1999): general reference for oscillators and their conventional readings.

The ±100 readings are conventions from CCI's original use; we know of no peer-reviewed source establishing them as thresholds.