New edge proposed: commodity_channel_index_extreme_reversal — E8 Intelligence Research

{ "name": "commodity_channel_index_extreme_reversal", "source": "Donald Lambert (1980) Commodity Channel Index; Wood/Wilder practitioner literature on CCI +/-200 overextension reversion", "type": "entry_engine", "rule": "When CCI(20) closes above +200, enter short on first bar whose close is below the prior bar's low; when CCI(20) closes below -200, enter long on first bar whose close is above the prior bar's high; CCI computed on typical price (H+L+C)/3.", "pseudocode": "tp = (H+L+C)/3\nsma = SMA(tp, 20)\nmd = mean(|tp - sma| over 20)\ncci = (tp - sma) / (0.015 * md)\nif cci[1] > 200 and C < L[1]: short at close\nif cci[1] < -200 and C > H[1]: long at close", "why_it_works": "CCI beyond +/-200 marks statistically rare mean-deviation extremes where trend exhaustion and mean reversion dominate, and the follow-through bar confirms momentum has actually flipped." }

Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com