Commodity Channel Index: Evaluation of Trading Rule of Agricultural Commodities

Mansoor Maitah (), Petr Prochazka, Michal Cermak and Karel r Dl
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Petr Prochazka: Department of Economics, Faculty of Economics and Management, Czech University of Life Sciences, Prague, Czech Republic,
Michal Cermak: Department of Economics, Faculty of Economics and Management, Czech University of Life Sciences, Prague, Czech Republic,
Karel r Dl: Department of Economic Theories, Faculty of Economics and Management, Czech University of Life Sciences, Prague, Czech Republic

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 1, 176-178

Abstract: This paper is focused on evaluating the trading rule of indicator commodity channel index (CCI), using selected agricultural commodities. The reason of testing is that this indicator is calculated with respect to fluctuation of commodity market - volatility. The recent issue of commodity markets examines trading under risk. The concept is in analyzing of predictive power of CCI. The main core of this paper is if the trading strategy under evaluating using technical analysis, respectively CCI, reaches positive profit. The returns of trading rule are measured using signals to buying or selling and comparison each of them. Authors of this paper created trading rule based on CCI and tested it on commodity markets. The results are positive in term of % CCI. Findings of the strategy are positive due to measurement volatility involved in indicator. The commodity markets are volatile, time series are fluctuating due to actual announcements or news.

Keywords: Commodity Channel Index; Agricultural Commodities; Trading (search for similar items in EconPapers)
JEL-codes: C22 C53 G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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