Point and Figure (PnF) CCI

31 янв. 2020 г.

This is live and non-repainting Point and Figure Chart Commodity Channel Index - CCI tool. The script has it’s own P&F engine and not using integrated function of Trading View.

Point and Figure method is over 150 years old. It consist of columns that represent filtered price movements. Time is not a factor on P&F chart but as you can see with this script P&F chart created on time chart.

P&F chart provide several advantages, some of them are filtering insignificant price movements and noise, focusing on important price movements and making support/resistance levels much easier to identify.

Commodity Channel Index – CCI was developed by Donalt Lambert. CCI can be used to identify overbought or oversold, a new trend or warn of extreme conditions. CCI measures the difference between a security's price change and its average price change. High positive readings indicate that prices are well above their average, which is a show of strength. Low negative readings indicate that prices are well below their average, which is a show of weakness.

The Formula for the Commodity Channel Index ( CCI ) Is:

CCI = (Typical Price – L-period SMA of TP) / (0.015 * Mean Deviation)

Mean Deviation = (SumOf 1->L ( |TP – MA| )) / L
L = Length
TP = Typical Price

If you are new to Point & Figure Chart then you better get some information about it before using this tool. There are very good web sites and books. Please PM me if you need help about resources.

Options in the Script

Box size is one of the most important part of Point and Figure Charting. Chart price movement sensitivity is determined by the Point and Figure scale. Large box sizes see little movement across a specific price region, small box sizes see greater price movement on P&F chart. There are four different box scaling with this tool: Traditional, Percentage, Dynamic (ATR), or User-Defined

4 different methods for Box size can be used in this tool.
User Defined: The box size is set by user. A larger box size will result in more filtered price movements and fewer reversals. A smaller box size will result in less filtered price movements and more reversals.

ATR: Box size is dynamically calculated by using ATR, default period is 20.

Percentage: uses box sizes that are a fixed percentage of the stock's price. If percentage is 1 and stock’s price is $100 then box size will be $1

Traditional: uses a predefined table of price ranges to determine what the box size should be.
Price Range Box Size
Under 0.25 0.0625
0.25 to 1.00 0.125
1.00 to 5.00 0.25
5.00 to 20.00 0.50
20.00 to 100 1.0
100 to 200 2.0
200 to 500 4.0
500 to 1000 5.0
1000 to 25000 50.0
25000 and up 500.0

Default value is “ATR”, you may use one of these scaling method that suits your trading strategy.

If ATR or Percentage is chosen then there is rounding algorithm according to mintick value of the security. For example if mintick value is 0.001 and box size (ATR/Percentage) is 0.00124 then box size becomes 0.001.

And also while using dynamic box size (ATR or Percentage), box size changes only when closing price changed.

Reversal : It is the number of boxes required to change from a column of Xs to a column of Os or from a column of Os to a column of Xs. Default value is 3 (most used). For example if you choose reversal = 2 then you get the chart similar to Renko chart.

Source: Closing price or High-Low prices can be chosen as data source for P&F charting.

Upper Band : as default, Upper band is 100

Lower Band : as default, Lower band is -100

There are alerts when P&F CCI moves above Upper Band or moves below Lower Band.