Trend: Commodity Channel Index (CCI) (#64)

README.md

@@ -18,6 +18,7 @@ The following list of indicators are currently supported by this package:
 - [Aroon Indicator](trend_indicators.md#aroon-indicator)
 - [Balance of Power (BOP)](trend_indicators.md#balance-of-power-bop)
 - [Chande Forecast Oscillator (CFO)](trend_indicators.md#chande-forecast-oscillator-cfo)
+- [Community Channel Index (CMI)](trend_indicators.md#community-channel-index-cmi)
 - [Double Exponential Moving Average (DEMA)](trend_indicators.md#double-exponential-moving-average-dema)
 - [Exponential Moving Average (EMA)](trend_indicators.md#exponential-moving-average-ema)
 - [Moving Average Convergence Divergence (MACD)](trend_indicators.md#moving-average-convergence-divergence-macd)

helper.go

@@ -253,3 +253,14 @@ func sqrt(values []float64) []float64 {
 
 	return result
 }
+
+// Abs of given values.
+func abs(values []float64) []float64 {
+	result := make([]float64, len(values))
+
+	for i := 0; i < len(values); i++ {
+		result[i] = math.Abs(values[i])
+	}
+
+	return result
+}

trend_indicators.go

@@ -109,6 +109,29 @@ func ChandeForecastOscillator(closing []float64) []float64 {
 	return cfo
 }
 
+// The Community Channel Index (CMI) is a momentum-based oscillator
+// used to help determine when an investment vehicle is reaching a
+// condition of being overbought or oversold.
+//
+// Moving Average = Sma(Period, Typical Price)
+// Mean Deviation = Sma(Period, Abs(Typical Price - Moving Average))
+// CMI = (Typical Price - Moving Average) / (0.015 * Mean Deviation)
+//
+// Returns cmi.
+func CommunityChannelIndex(period int, high, low, closing []float64) []float64 {
+	tp, _ := TypicalPrice(low, high, closing)
+	ma := Sma(period, tp)
+	md := Sma(period, abs(substract(tp, ma)))
+	cci := divide(substract(tp, ma), multiplyBy(md, 0.015))
+
+	return cci
+}
+
+// The default community channel index with the period of 20.
+func DefaultCommunityChannelIndex(high, low, closing []float64) []float64 {
+	return CommunityChannelIndex(20, high, low, closing)
+}
+
 // Dema calculates the Double Exponential Moving Average (DEMA).
 //
 // DEMA = (2 * EMA(values)) - EMA(EMA(values))

trend_indicators.md

@@ -6,6 +6,7 @@ Trend indicators measure the direction and strength of a trend.
 - [Aroon Indicator](#aroon-indicator)
 - [Balance of Power (BOP)](trend_indicators.md#balance-of-power-bop)
 - [Chande Forecast Oscillator (CFO)](#chande-forecast-oscillator-cfo)
+- [Community Channel Index (CMI)](#community-channel-index-cmi)
 - [Double Exponential Moving Average (DEMA)](#double-exponential-moving-average-dema)
 - [Exponential Moving Average (EMA)](#exponential-moving-average-ema)
 - [Moving Average Convergence Divergence (MACD)](#moving-average-convergence-divergence-macd)
@@ -79,6 +80,25 @@ Based on [Chande Forecast Oscillator Formula, Strategy](https://www.stockmaniacs
 ```golang
 cfo := indicator.ChandeForecastOscillator(closing)
 ```
+#### Community Channel Index (CMI)
+
+The [CommunityChannelIndex](https://pkg.go.dev/github.com/cinar/indicator#CommunityChannelIndex) is a momentum-based oscillator used to help determine when an investment vehicle is reaching a condition of being overbought or oversold.
+
+```
+Moving Average = Sma(Period, Typical Price)
+Mean Deviation = Sma(Period, Abs(Typical Price - Moving Average))
+CMI = (Typical Price - Moving Average) / (0.015 * Mean Deviation)
+```
+
+```golang
+result := indicator.CommunityChannelIndex(period, high, low, closing)
+```
+
+The [DefaultCommunityChannelIndex](https://pkg.go.dev/github.com/cinar/indicator#DefaultCommunityChannelIndex) calculates with the period of 20.
+
+```golang
+result := indicator.DefaultCommunityChannelIndex(high, low, closing)
+```
 
 #### Double Exponential Moving Average (DEMA)
 

trend_indicators_test.go

@@ -70,6 +70,27 @@ func TestChandeForecastOscillator(t *testing.T) {
 	}
 }
 
+func TestCommunityChannelIndex(t *testing.T) {
+	high := []float64{10, 9, 12, 14, 12}
+	low := []float64{6, 7, 9, 12, 10}
+	closing := []float64{9, 11, 7, 10, 8}
+	expected := []float64{math.NaN(), 133.33, 114.29, 200, 26.32}
+
+	actual := DefaultCommunityChannelIndex(high, low, closing)
+
+	if len(actual) != len(expected) {
+		t.Fatal("not the same size")
+	}
+
+	for i := 1; i < len(expected); i++ {
+		a := roundDigits(actual[i], 2)
+
+		if a != expected[i] {
+			t.Fatalf("at %d actual %f expected %f", i, a, expected[i])
+		}
+	}
+}
+
 func TestEma(t *testing.T) {
 	values := []float64{2, 4, 6, 8, 12, 14, 16, 18, 20}
 	ema := []float64{2, 3.333, 5.111, 7.037, 10.346, 12.782, 14.927, 16.976, 18.992}