Ultimate Algorithmic Trading System

Now, switching gears and using the CCI as a coincident indicator, Box 2.6
provides the description of a trend-following algorithm. A coincident indicator
simply means it is confirming the current market direction.
52
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
Box 2.6 Donald Lambert’s CCI Trend-Following System
myCCIVal = 9-day average of the 20-day CCI
If the lowest myCCIVal for the past 3 days > 100, then
Buy MOC
If the highest myCCIVal for the past 3 days < −100, then
Sell Short MOC
If position is long
Take Profit: If close > entry price + 5 ATR Sell MOC
Protective Stop: If close < entry price − 3ATR,SellMOC
If position is short
Take Profit: If close < entry price − 5 ATR, BuyToCover MOC
Protective Stop: If close > entry price + 3 ATR, BuyToCover MOC
Note that MOC stands for market on close.
Donald Lambert’s CCI Trend-Following System p − code
myCCIVal = average(cci(cciLen),smooth);
If lowest(myCCIVal,3) > 100 then buy this bar on close;
If highest(myCCiVal,3) < -100 then sellShort this bar on
close;
If marketPosition = 1 then
If c > entryPrice + 5* avgTrueRange(10) then sell this
bar on close
if c < entryPrice - 3* avgTrueRange(10) then sell this
bar on close
If marketPosition =-1 then
If c < entryPrice - 5* avgTrueRange(10) then buyToCover
this bar on close
if c > entryPrice + 3* avgTrueRange(10) then buyToCover
this bar on close
This trading algorithm description is somewhat different from the others we have
thus discussed in this chapter. Instead of repeating the words for the 9-day average
of the 20-day CCI, I simply assigned it to the variable myCCIVal. This is just like
you would do in an actual programming language. The words lowest and highest were
also introduced and used as a shortcut to see if the myCCIVal variable was above or
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