Merge b02f9f6 into 84078b8

JuliaQuant · May 14, 2017 · a56ab9b · a56ab9b
2 parents 84078b8 + b02f9f6
commit a56ab9b
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diff --git a/src/momentum.jl b/src/momentum.jl
@@ -47,10 +47,16 @@ Commodity Channel Index
 ```math
     CCI = \frac{P_{typical} - SMA(P_{typical})}{c \times \sigma(P_{typical})}
 ```
+
+**Reference**
+
+- https://en.wikipedia.org/wiki/Commodity_channel_index
+
 """
-function cci{T,N}(ohlc::TimeArray{T,N}, ma::Int=20, c::Float64=0.015)
-    res = moving(typical(ohlc), mean_abs_dev, ma) ./ c
-    rename(res, "cci")
+function cci{T,N}(ohlc::TimeArray{T,N}, ma::Int=20, c::AbstractFloat=0.015)
+    pt = typical(ohlc)
+    cci = ((pt .- sma(pt, ma)) ./ moving(pt, mean_abs_dev, ma)) ./ c
+    rename(cci, "cci")
 end
 
 doc"""

diff --git a/test/momentum.jl b/test/momentum.jl
@@ -38,8 +38,10 @@ facts("Momentum") do
     end
 
      context("cci") do
-        @fact cci(ohlc).values[1]      --> roughly(360.765, atol=01)      # TTR::CCI value is -38.931614
-        @fact cci(ohlc).values[end]    --> roughly(44.651, atol=.01)      # TTR::CCI value is 46.3511339
-        @fact cci(ohlc).timestamp[end] --> Date(2001,12,31)
+        # TTR::CCI value is -38.931614
+        @fact cci(ohlc).values[1]      --> roughly(-38.931614, atol=01)
+        # TTR::CCI value is 46.3511339
+        @fact cci(ohlc).values[end]    --> roughly(46.3511339, atol=.01)
+        @fact cci(ohlc).timestamp[end] --> Date(2001, 12, 31)
      end
 end