Very Latest John Ehler's Correlation Trend Indicator

• 05/03/2020 at 3:22 PM #129599
  Vonasi

  If the returned value is only ever between -1 and 1 then simply add 1 then divide by 2 then multiply by 100.

   

  

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  05/03/2020 at 4:59 PM #129617
  supertiti

  Hola Vonasi

  Where can i place this parameters into the code ? I don’t know where

  thanks you

  

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  05/03/2020 at 5:31 PM #129619
  Vonasi

  Just add the following above the return line.

  ctiL = ((ctil+1)/2)*100 ctiS = ((ctil+1)/2)*100

  1 2	ctiL = ((ctil+1)/2)*100 ctiS = ((ctil+1)/2)*100

   

  

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  05/03/2020 at 6:45 PM #129625
  supertiti

  Gracias Vonasi , viva la Pepa !!!

  code and graph attached

   

  

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  05/03/2020 at 7:49 PM #129630
  Vonasi

  supertiti – It is better if you post an ITF file of the code that you have exported from the platform and a PNG file of the image rather than a DOCX for people to have to download.

  

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  05/04/2020 at 9:26 AM #129741
  Nicolas

  Hi Bard, you have posted in the library but without the itf file. If I understand well, you want the code from the above post: https://www.prorealcode.com/topic/very-latest-ehlers-correlation-trend-indicator-2/#post-129559 to be featured in the library, right? Thanks.

  

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  05/04/2020 at 10:09 AM #129757
  supertiti

  For French traders Open office is free

  https://www.openoffice.org/fr/

   

  CTI

  // CTI NICO d'après BARD adapté par VONASI 03.05.2020 //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Nicolas @ www.prorealcode.com / Bard //Sharing ProRealTime knowledge // --- settings //SPeriod length = 10 perso = 5//Add in Variables //LPeriod lengthL = 40 perso = 30 //Add in Variables // --- end of settings defparam calculateonlastbars = 100 // SHORT Sx = 0 Sy = 0 Sxx = 0 Sxy = 0 Syy = 0 data=customclose for count = 0 to Length -1 do X = Data[count] // the price curve Y = -count // the trend line Sx = Sx + X Sy = Sy + Y Sxx = Sxx + X*X Sxy = Sxy + X*Y Syy = Syy + Y*Y next if(Length*Sxx-Sx*Sx > 0 and Length*Syy-Sy*Sy > 0) then ctiS= (Length*Sxy-Sx*Sy)/sqrt((Length*Sxx-Sx*Sx)*(Length*Syy-Sy*Sy)) endif ////////////////////////////////////////////////////////////// // LONG Sx = 0 Sy = 0 Sxx = 0 Sxy = 0 Syy = 0 data=customclose for count = 0 to LengthL -1 do X = Data[count] // the price curve Y = -count // the trend line Sx = Sx + X Sy = Sy + Y Sxx = Sxx + X*X Sxy = Sxy + X*Y Syy = Syy + Y*Y next if(LengthL*Sxx-Sx*Sx > 0 and LengthL*Syy-Sy*Sy > 0) then ctiL= (LengthL*Sxy-Sx*Sy)/sqrt((LengthL*Sxx-Sx*Sx)*(LengthL*Syy-Sy*Sy)) endif ////////////////////////////////////////////////////////////// //ctiS =((ctiS+1)/2)*100 //ctiL =((ctiS+1)/2)*100 Return ((ctiS+1)/2)*100 style(line,3) as " ctiS ", ((ctiS+1)/2)*100 style (point,3) as " ctiS " ,((ctiL+1)/2)*100 style(line,3) as " ctiL ",((ctiL+1)/2)*100 style(point,3) as " ctiL " , 0 as " zero " , 50 as " 50 " , 100 as " 100 "

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  // CTI NICO d'après BARD adapté par VONASI 03.05.2020   //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Nicolas @ www.prorealcode.com / Bard //Sharing ProRealTime knowledge // --- settings //SPeriod length   = 10   perso = 5//Add in Variables //LPeriod lengthL  = 40   perso = 30 //Add in Variables // --- end of settings   defparam calculateonlastbars = 100 // SHORT   Sx = 0 Sy = 0 Sxx = 0 Sxy = 0 Syy = 0 data=customclose        for count = 0 to Length -1 do X = Data[count] // the price curve Y = -count // the trend line Sx = Sx + X Sy = Sy + Y Sxx = Sxx + X*X Sxy = Sxy + X*Y Syy = Syy + Y*Y next if(Length*Sxx-Sx*Sx > 0 and Length*Syy-Sy*Sy > 0) then ctiS= (Length*Sxy-Sx*Sy)/sqrt((Length*Sxx-Sx*Sx)*(Length*Syy-Sy*Sy)) endif //////////////////////////////////////////////////////////////   // LONG Sx = 0 Sy = 0 Sxx = 0 Sxy = 0 Syy = 0 data=customclose        for count = 0 to LengthL -1 do X = Data[count] // the price curve Y = -count // the trend line Sx = Sx + X Sy = Sy + Y Sxx = Sxx + X*X Sxy = Sxy + X*Y Syy = Syy + Y*Y next if(LengthL*Sxx-Sx*Sx > 0 and LengthL*Syy-Sy*Sy > 0) then ctiL= (LengthL*Sxy-Sx*Sy)/sqrt((LengthL*Sxx-Sx*Sx)*(LengthL*Syy-Sy*Sy)) endif //////////////////////////////////////////////////////////////   //ctiS =((ctiS+1)/2)*100 //ctiL =((ctiS+1)/2)*100   Return ((ctiS+1)/2)*100 style(line,3) as " ctiS ", ((ctiS+1)/2)*100 style (point,3) as " ctiS " ,((ctiL+1)/2)*100 style(line,3) as " ctiL ",((ctiL+1)/2)*100 style(point,3) as " ctiL " , 0 as " zero " , 50 as " 50 " , 100 as " 100 "

   

  

  supertiti

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  05/04/2020 at 10:25 AM #129778
  Vonasi

  supertiti wrote:

  For French traders Open office is free

  It is not about cost – it is about convenience for all forum members. ITF files can be saved and then directly imported into anyone’s PRT platform. PNG images when attached can be viewed with just one click. Code inserted into a post can be cut and pasted quickly and easily.

  

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  05/06/2020 at 1:59 PM #130232
  Bard

  Hi @Supertiti, the Long and Short values need to be different. I added “S” and “L” so it doesn’t read Sx= 0 but Sum”S”x = 0, etc so that it can plot two periods for the CTI.

  https://www.prorealcode.com/topic/very-latest-ehlers-correlation-trend-indicator-2/#post-129559

  

  Bard

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  05/06/2020 at 9:52 PM #130333
  Bard

  Hi Nicolas, great, thanks, sorry yes I only posted the new CTI system and Dev Stop itf.
  Yes please use the code in the link mentioned:

  https://www.prorealcode.com/topic/very-latest-ehlers-correlation-trend-indicator-2/#post-129559

  Thanks again for your help,  always appreciated.

  Looking good so far using Juanj’s Machine Learning code on the 5 and 10 period crosses and using ML on the CTI thresholds. About to turn the ML code on the period settings next…
  Cheers!

  

  Bard

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  05/07/2020 at 11:42 AM #130416
  Bard

  Hi @Nicolas, well, after a few hours I can’t get the machine learning (ML) code to work out the best value for the Ehler’s CTI Speriod and Lperiod of this new indicator.

  Typically when a ML system won’t work and the code is good (comparing an already working ML system with the non working one using a text-compare website) it’s the settings that the ML code works through — from Starting value to Max value etc — that aren’t working, but I already know a cross over of the 5 period and 10 period CTI are good for long positions and vice versa for shorts. I just want to find out if a 3 and 7 for example are better – I will see this from graphing Value X and Y.

  I can get the ML to work on a Ehler’s CTI system that looks for the best ML chosen thresholds of the CTI (graphing of  X and Y thresholds in increments of 0.1 plots okay on the variables chart with static CTI periods of 5 and 10, — which work well).

  Can you see from the screenshots below what is missing? The ML settings simply ask the ML algo to choose between CTI periods of 1 to 10 days for both the SPeriod short red CTI line and the LPeriod blue CTI line.

  Btw, I did re-read the lengthy post: https://www.prorealcode.com/topic/how-do-you-optimise-atr-stops-around-price
  again just to be sure I have done everything right in terms of labelling even though this is not a PRT optimisation but a ML algo coded “optimisation.” I hope this isn’t going to bring you out in a cold sweat!? 😅  Cheers!

  

  Bard

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  05/07/2020 at 1:11 PM #130438
  Nicolas

  Did you GRAPH the CALLed variables in a backtest to see if the indicator is computing correctly? First step for debugging!

  

  Nicolas

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  05/07/2020 at 2:23 PM #130452
  supertiti

  Good morning all,
  

  scale from 0 to 100

  
  I would like to do a screener where:

  C1 = CTI short [1] < 30
  C2 = CTI short crosses over CTI long

  Short term strategy: when you have the result sell above 95
  thank you

  CTI BARD

  // CTI BARD //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Updated to double Ehler's R2 03/05/2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings //LPeriod =40 //Add in Variables perso = 30 //SPeriod =10 //Add in Variables perso = 5 // --- end of settings /////////////////////////////////////////////////////////////////////////////////////////////////// Defparam calculateonlastbars = 100 //Short SumSx = 0 // the price curve SumSy = 0 SumSxx = 0 SumSxy = 0 SumSyy = 0 // the trend line data=customclose for count = 0 to SPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumSx = SumSx + X SumSy = SumSy + Y SumSxx = SumSxx + X*X SumSxy = SumSxy + X*Y SumSyy = SumSyy + Y*Y next if(SPeriod*SumSxx-SumSx*SumSx > 0 and SPeriod*SumSyy-SumSy*SumSy > 0) then CTIShort = (SPeriod*SumSxy-SumSx*SumSy)/Sqrt((SPeriod*SumSxx-SumSx*SumSx)*(SPeriod*SumSyy-SumSy*SumSy)) endif /////////////////////////////////////////////////////////////////////////////////////////////////// //Long SumLx = 0 SumLy = 0 SumLxx = 0 SumLxy = 0 SumLyy = 0 for count = 0 to LPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumLx = SumLx + X SumLy = SumLy + Y SumLxx = SumLxx + X*X SumLxy = SumLxy + X*Y SumLyy = SumLyy + Y*Y next if(LPeriod*SumLxx-SumLx*SumLx > 0 and LPeriod*SumLyy-SumLy*SumLy > 0) then CTILong = (LPeriod*SumLxy-SumLx*SumLy)/Sqrt((LPeriod*SumLxx-SumLx*SumLx)*(LPeriod*SumLyy-SumLy*SumLy)) endif //return CTIShort style (line,2) as "CTI Short R² Trend" , CTIShort style (point,3) as "CTI Short R² Trend" , CTILong style (line,2) as "CTI Long R² Trend", CTILong style (point,3) as "CTI Long R² Trend" , 0 style (dottedline,2)as "0", -1 as "-1", 1 as "1" // ((ctiShort+1)/2)*100 return (( CTIShort +1)/2)*100 style (line,2) as "CTI Short R² Trend" , (( CTIShort +1)/2)*100 style (point,3) as "CTI Short R² Trend" ,(( CTILong +1)/2)*100 style (line,2) as "CTI Long R² Trend", (( CTILong +1)/2)*100 style (point,3) as "CTI Long R² Trend" , 50 style (dottedline,2)as " 50 ", 0 as " 0 ", 100 as " 100 ", 95 as " 95 "

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  // CTI BARD //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Updated to double Ehler's R2 03/05/2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings //LPeriod     =40 //Add in Variables  perso = 30 //SPeriod     =10 //Add in Variables  perso = 5 // --- end of settings   /////////////////////////////////////////////////////////////////////////////////////////////////// Defparam calculateonlastbars = 100 //Short SumSx = 0 // the price curve SumSy = 0 SumSxx = 0 SumSxy = 0 SumSyy = 0 // the trend line   data=customclose   for count = 0 to SPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumSx = SumSx + X SumSy = SumSy + Y SumSxx = SumSxx + X*X SumSxy = SumSxy + X*Y SumSyy = SumSyy + Y*Y next   if(SPeriod*SumSxx-SumSx*SumSx > 0 and SPeriod*SumSyy-SumSy*SumSy > 0) then CTIShort = (SPeriod*SumSxy-SumSx*SumSy)/Sqrt((SPeriod*SumSxx-SumSx*SumSx)*(SPeriod*SumSyy-SumSy*SumSy)) endif   ///////////////////////////////////////////////////////////////////////////////////////////////////   //Long SumLx = 0 SumLy = 0 SumLxx = 0 SumLxy = 0 SumLyy = 0   for count = 0 to LPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumLx = SumLx + X SumLy = SumLy + Y SumLxx = SumLxx + X*X SumLxy = SumLxy + X*Y SumLyy = SumLyy + Y*Y next   if(LPeriod*SumLxx-SumLx*SumLx > 0 and LPeriod*SumLyy-SumLy*SumLy > 0) then CTILong = (LPeriod*SumLxy-SumLx*SumLy)/Sqrt((LPeriod*SumLxx-SumLx*SumLx)*(LPeriod*SumLyy-SumLy*SumLy)) endif //return CTIShort  style (line,2) as "CTI Short R² Trend" , CTIShort style (point,3) as "CTI Short R² Trend"  , CTILong  style (line,2) as "CTI Long R² Trend", CTILong  style (point,3) as "CTI Long R² Trend" , 0 style (dottedline,2)as "0", -1 as "-1", 1 as "1" // ((ctiShort+1)/2)*100   return (( CTIShort +1)/2)*100  style (line,2) as "CTI Short R² Trend" , (( CTIShort +1)/2)*100 style (point,3) as "CTI Short R² Trend"  ,(( CTILong +1)/2)*100  style (line,2) as "CTI Long R² Trend", (( CTILong +1)/2)*100 style (point,3) as "CTI Long R² Trend" , 50 style (dottedline,2)as " 50 ", 0 as " 0 ", 100 as " 100 ", 95 as " 95 "

   

   

  

  supertiti

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  05/07/2020 at 3:25 PM #130463
  Bard

  Yes, I think so!? Screenshot 2!?
  I also tried, as is the normal way to use ML code in a system, with my ValueX and ValueY in the Call line “indicator name” [5, 10] as in: “indicator name” [ValueX and ValueY].
  Neither that way or using “indicator name”[SPeriod, L Period] works?

  

  Bard

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  05/07/2020 at 6:35 PM #130498
  supertiti

  Good evening,

  I think this screener code is the right one after several tries.

  Each will modify the parameters to their liking.

  CTI BARD UP screener

  // CTI BARD UP screener //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Updated to double Ehler's R2 03/05/2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings //LPeriod =40 //Add in Variables perso = 30 //SPeriod =10 //Add in Variables perso = 5 // --- end of settings /////////////////////////////////////////////////////////////////////////////////////////////////// LPeriod = 30 //Add in Variables perso = 30 SPeriod = 5 //Add in Variables perso = 5 //Short SumSx = 0 // the price curve SumSy = 0 SumSxx = 0 SumSxy = 0 SumSyy = 0 // the trend line data=customclose for count = 0 to SPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumSx = SumSx + X SumSy = SumSy + Y SumSxx = SumSxx + X*X SumSxy = SumSxy + X*Y SumSyy = SumSyy + Y*Y next if(SPeriod*SumSxx-SumSx*SumSx > 0 and SPeriod*SumSyy-SumSy*SumSy > 0) then CTIShort = (SPeriod*SumSxy-SumSx*SumSy)/Sqrt((SPeriod*SumSxx-SumSx*SumSx)*(SPeriod*SumSyy-SumSy*SumSy)) endif /////////////////////////////////////////////////////////////////////////////////////////////////// //Long SumLx = 0 SumLy = 0 SumLxx = 0 SumLxy = 0 SumLyy = 0 for count = 0 to LPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumLx = SumLx + X SumLy = SumLy + Y SumLxx = SumLxx + X*X SumLxy = SumLxy + X*Y SumLyy = SumLyy + Y*Y next if(LPeriod*SumLxx-SumLx*SumLx > 0 and LPeriod*SumLyy-SumLy*SumLy > 0) then CTILong = (LPeriod*SumLxy-SumLx*SumLy)/Sqrt((LPeriod*SumLxx-SumLx*SumLx)*(LPeriod*SumLyy-SumLy*SumLy)) endif // return (( CTIShort +1)/2)*100 style (line,2) as "CTI Short R² Trend" , (( CTIShort +1)/2)*100 style (point,3) as "CTI Short R² Trend" ,(( CTILong +1)/2)*100 style (line,2) as "CTI Long R² Trend", (( CTILong +1)/2)*100 style (point,3) as "CTI Long R² Trend" , 50 style (dottedline,2)as " 50 ", 0 as " 0 ", 100 as " 100 " , 95 as " 95 " c1 = ((ctishort[1]+1)/2)*100[1] < 15 c2 = ctishort crosses over ctilong c3 = ((ctiLong+1)/2)*100 < 20 SCREENER [c1 and c2 and c3 ]

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  // CTI BARD UP screener //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Updated to double Ehler's R2 03/05/2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings //LPeriod     =40 //Add in Variables  perso = 30 //SPeriod     =10 //Add in Variables  perso = 5 // --- end of settings /////////////////////////////////////////////////////////////////////////////////////////////////// LPeriod     = 30 //Add in Variables  perso = 30 SPeriod     = 5  //Add in Variables  perso = 5 //Short SumSx = 0 // the price curve SumSy = 0 SumSxx = 0 SumSxy = 0 SumSyy = 0 // the trend line   data=customclose   for count = 0 to SPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumSx = SumSx + X SumSy = SumSy + Y SumSxx = SumSxx + X*X SumSxy = SumSxy + X*Y SumSyy = SumSyy + Y*Y next   if(SPeriod*SumSxx-SumSx*SumSx > 0 and SPeriod*SumSyy-SumSy*SumSy > 0) then CTIShort = (SPeriod*SumSxy-SumSx*SumSy)/Sqrt((SPeriod*SumSxx-SumSx*SumSx)*(SPeriod*SumSyy-SumSy*SumSy)) endif /////////////////////////////////////////////////////////////////////////////////////////////////// //Long SumLx = 0 SumLy = 0 SumLxx = 0 SumLxy = 0 SumLyy = 0   for count = 0 to LPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumLx = SumLx + X SumLy = SumLy + Y SumLxx = SumLxx + X*X SumLxy = SumLxy + X*Y SumLyy = SumLyy + Y*Y next   if(LPeriod*SumLxx-SumLx*SumLx > 0 and LPeriod*SumLyy-SumLy*SumLy > 0) then CTILong = (LPeriod*SumLxy-SumLx*SumLy)/Sqrt((LPeriod*SumLxx-SumLx*SumLx)*(LPeriod*SumLyy-SumLy*SumLy)) endif   // return (( CTIShort +1)/2)*100  style (line,2) as "CTI Short R² Trend" , (( CTIShort +1)/2)*100 style (point,3) as "CTI Short R² Trend"  ,(( CTILong +1)/2)*100  style (line,2) as "CTI Long R² Trend", (( CTILong +1)/2)*100 style (point,3) as "CTI Long R² Trend" , 50 style (dottedline,2)as " 50 ", 0 as " 0 ", 100 as " 100 " , 95 as " 95 "   c1 = ((ctishort[1]+1)/2)*100[1] < 15 c2 = ctishort crosses over ctilong c3 = ((ctiLong+1)/2)*100 < 20   SCREENER [c1 and c2 and c3 ]

   

   

   

  

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