CCI in MetaTrader 5 — MQL5 Source Code

Building CCI in MQL5 is a good exercise because the mean-absolute-deviation step forces you to loop the window twice — once for the average, once for the deviation. See the explainer for the concept.

What you’ll need

• MetaTrader 5 with MetaEditor
• Save as AlgoGen.CCI.mq5 under MQL5/Indicators/

The source

//+------------------------------------------------------------------+
//|                                                  AlgoGen.CCI.mq5 |
//|                                          Copyright 2026, AlgoGen |
//|                                           https://www.algogen.io |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, AlgoGen"
#property link      "https://www.algogen.io"
#property version   "1.00"
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots   1

#property indicator_label1  "CCI"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrDodgerBlue
#property indicator_width1  2
#property indicator_level1  100.0
#property indicator_level2  -100.0

input int    InpPeriod   = 20;
input double InpConstant  = 0.015;

double CCIBuffer[], TPBuffer[];

int OnInit()
  {
   SetIndexBuffer(0, CCIBuffer, INDICATOR_DATA);
   SetIndexBuffer(1, TPBuffer,  INDICATOR_CALCULATIONS);
   IndicatorSetString(INDICATOR_SHORTNAME, "AlgoGen CCI(" + (string)InpPeriod + ")");
   return(INIT_SUCCEEDED);
  }

int OnCalculate(const int rates_total, const int prev_calculated,
                const datetime &time[], const double &open[],
                const double &high[],   const double &low[],
                const double &close[],  const long &tick_volume[],
                const long &volume[],   const int &spread[])
  {
   if(rates_total < InpPeriod)
      return(0);

   // Typical price for every bar.
   int tpStart = (prev_calculated > 1) ? prev_calculated - 1 : 0;
   for(int i = tpStart; i < rates_total; i++)
      TPBuffer[i] = (high[i] + low[i] + close[i]) / 3.0;

   int start = (prev_calculated > InpPeriod) ? prev_calculated - 1 : InpPeriod - 1;
   for(int i = start; i < rates_total; i++)
     {
      // SMA of typical price.
      double sum = 0.0;
      for(int j = 0; j < InpPeriod; j++) sum += TPBuffer[i - j];
      double ma = sum / InpPeriod;

      // Mean ABSOLUTE deviation from that average.
      double mad = 0.0;
      for(int j = 0; j < InpPeriod; j++) mad += MathAbs(TPBuffer[i - j] - ma);
      mad /= InpPeriod;

      CCIBuffer[i] = (mad == 0.0) ? 0.0
                     : (TPBuffer[i] - ma) / (InpConstant * mad);
     }
   return(rates_total);
  }
//+------------------------------------------------------------------+

Install & compile

1. Drop it in MQL5/Indicators/, press F7.
2. Drag onto a chart — a separate window shows CCI with the ±100 level lines, matching the output chart.

Gotchas

• Two passes over the window. The first computes the SMA; the second uses that SMA to accumulate mean absolute deviation. Don’t substitute a standard-deviation routine — that’s a different indicator.
• mad == 0 guard. A perfectly flat window gives zero deviation; return 0 rather than dividing by zero.
• Built-in / MQL4. MT5 has iCCI; MQL4 does too. The custom version exposes the math and lets you tweak the constant.

Same indicator elsewhere: Python, Pine Script, EasyLanguage, NinjaScript. Then test a CCI rule 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.