TEC010Factor HubTechnical FactorsHigh
CCI Factor
The commodity channel index gauges deviation from the statistical mean of price.
Formula
CCI = (TP - MA(TP,N)) / (0.015 × MD(TP,N))Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
3.51%
Sharpe ratio
0.29
Max drawdown
-30.59%
Total return
41.18%
Cumulative performance（2016-09 … 2026-08）
2016 -10.3%2017 -8.0%2018 -4.5%2019 +3.8%2020 +22.8%2021 +3.5%2022 +39.0%2023 +2.1%2024 -10.9%2025 +6.9%2026 +0.3%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | EIX | Edison International | 285.426 |
| 2 | DLR | Digital Realty | 256.177 |
| 3 | TJX | TJX Companies | 222.885 |
| 4 | UDR | UDR | 199.719 |
| 5 | SBAC | SBA Communications | 199.374 |
| 6 | FTNT | Fortinet | 191.631 |
| 7 | DOW | Dow | 176.671 |
| 8 | VALE | Vale | 173.143 |
| 9 | AVGO | Broadcom | 168.147 |
| 10 | STT | State Street | 159.031 |
| 11 | YUM | Yum Brands | 156.936 |
| 12 | COST | Costco | 156.352 |
| 13 | USB | U.S. Bancorp | 156.025 |
| 14 | NVDA | NVIDIA | 156.022 |
| 15 | CHTR | Charter Communications | 152.281 |
| 16 | LNG | Cheniere Energy | 151.418 |
| 17 | MA | Mastercard | 149.181 |
| 18 | TGT | Target | 147.923 |
| 19 | FE | FirstEnergy | 147.174 |
| 20 | SPGI | S&P Global | 145.318 |
| 21 | MAA | Mid-America Apartment | 142.166 |
| 22 | EOG | EOG Resources | 140.528 |
| 23 | PRU | Prudential Financial | 140.141 |
| 24 | ISRG | Intuitive Surgical | 137.221 |
| 25 | AIG | American Intl Group | 135.968 |
| 26 | ADP | ADP | 135.308 |
| 27 | SMCI | Super Micro Computer | 134.222 |
| 28 | KMB | Kimberly-Clark | 133.837 |
| 29 | C | Citigroup | 133.548 |
| 30 | CCI | Crown Castle | 132.083 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.