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Miscellaneous > Comm Sel Index

Article/Author: Omega Research Inc., 1997

Download: COMMSELLINDEX.ELA

Category: Indicator > Miscellaneous

Description:

CSI measures a market’s volatility and trending strength in relation to the costs involved in taking a position in that market. To calculate this value, the indicator considers directional movement, volatility, margin requirements, and commission costs.

Usage:

CSI identifies volatile markets for short-term trading and is widely used to compare the short-term risks associated with various futures contracts. Generally speaking, a higher relative value indicates a security with better trending and volatility characteristics, while a lower value is considered less attractive.




Inputs:

Length - Number of bars used to calculate the CSI
Mgn - Margin requirement in dollars
Comm - Commission amount in dollars

EasyLanguage Code:
INPUTS: MGN(.1), COMM(30), LENGTH(14);

VARIABLES: CSIVALUE(0);

IF CLOSE <> 0 THEN
CSIVALUE = CSI(MGN, COMM, LENGTH) / CLOSE
ELSE
CSIVALUE = 0;

PLOT1(CSIVALUE, "CSI");