CCI in EasyLanguage — TradeStation & MultiCharts

EasyLanguage has CCI built in, which is convenient given it was born in a commodities-trading magazine and TradeStation grew up serving futures traders. See the explainer for the concept.

What you’ll need

• TradeStation or MultiCharts
• The EasyLanguage / PowerLanguage Editor, new Indicator

The built-in version

{ AlgoGen CCI — TradeStation / MultiCharts }
inputs:
    Length( 20 );

variables:
    CCIval( 0 );

CCIval = CCI( Length );

Plot1( CCIval, "CCI" );
Plot2( 100, "OB" );
Plot3( -100, "OS" );
Plot4( 0, "Zero" );

CCI( Length ) returns the standard Commodity Channel Index using typical price — the blue line with ±100 references from the output chart.

From scratch

To make the mean-absolute-deviation step explicit:

{ AlgoGen CCI (manual) }
inputs: Length( 20 ), Constant( 0.015 );
variables: TP( 0 ), MA( 0 ), MAD( 0 ), jj( 0 ), CCIval( 0 );

TP = ( High + Low + Close ) / 3;
MA = Average( TP, Length );

MAD = 0;
for jj = 0 to Length - 1 begin
    MAD = MAD + AbsValue( TP[jj] - MA );
end;
MAD = MAD / Length;

if MAD = 0 then
    CCIval = 0
else
    CCIval = ( TP - MA ) / ( Constant * MAD );

Plot1( CCIval, "CCI" );

The for loop accumulates the absolute deviations of typical price from its average — the mean absolute deviation Lambert specified. Note it uses TP[jj], the typical price jj bars ago.

A regime-aware strategy

CCI’s two readings call for a regime switch. Here’s a breakout version for trending markets:

{ AlgoGen CCI Breakout — Strategy }
inputs: Length( 20 );
variables: CCIval( 0 );
CCIval = CCI( Length );

{ Lambert's breakout reading: enter with the push past the extreme }
if CCIval crosses over 100 then Buy next bar at market;
if CCIval crosses under -100 then SellShort next bar at market;
{ Exit when momentum returns to neutral }
if MarketPosition = 1 and CCIval crosses under 0 then Sell next bar at market;
if MarketPosition = -1 and CCIval crosses over 0 then BuyToCover next bar at market;

Swap the entries for crosses over -100 / crosses under 100 to test the mean-reversion reading instead, and let the Strategy Performance Report say which suits your market.

Gotchas

• Mean absolute deviation. The manual loop uses AbsValue, not squares — EasyLanguage has StandardDev, but that’s the wrong denominator for CCI.
• Average of typical price, not close, feeds both the numerator and the deviation.
• MAD = 0 guard. A flat window would divide by zero; return 0 instead.

Same indicator elsewhere: Python, MQL5, Pine Script, NinjaScript. Then backtest it in AlgoGen.

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This post is educational, not financial advice. Indicators describe the past; they don’t predict the future. Backtest anything before you risk real money on it.