here are the libraries. Feel free to play around. I've still not decided the best way to go about using jma with cci.
there are a few combinations but it boils down to:
JMA using closing price, typical prices or weighted typical price
CCI using JMA from either of the above and worign out the deviation from again either closing price, typical prices or weighted typical price.
Have yet to determine whihc the best combination is. While it's still faster than the regular CCI based of SMA it still lags the JMAs in terms of crossover. It's quite possible that the JMA's shoudl be used to trade and CCI to give the go ahead depending on the first differential of the CCI.
I'm currently working backtesting all possible JMA crossovers and CCIs. It's quite possible that the simple JMA crossover could be the best indicator, and that all you'd require would be to determine which two periods of the JMA to choose. The factors that would need to be taken into account are the spread of the two JMAs, first differnetial of the CCI, possibly a weighted implied volatility and correlation.
Anyway, let me know if you can make use of the libraries. Unfortunately they are a one off calculation and not cumulative. I've yet to add that as a method, but the calculations are so fast at the moment I haven't bothered to code it.
P.S. the code is pretty shoddy