Very Latest John Ehler's Correlation Trend Indicator

Bard · Tue, 28 Apr 2020 14:19:05 +0000

I thought this might be worth converting and make a good addition to the indicator library if someone would like to covert the code? It’s John Ehler’s Correlation Trend Indicator from the Stocks & Commodities 05/2020 edition. “The basic idea of the Correlation Trend Indicator (CTI) is quite simple. The ideal trend curve is a straight upwards line. So the CTI just measures the correlation of the price curve with this ideal trend line. Ehlers provided TradeStation code. This is the indicator: var CTI (vars Data, int Length) { int count; var Sx = 0, Sy = 0, Sxx = 0, Sxy = 0, Syy = 0; for(count = 0; count < Length; count++) { var X = Data[count]; // the price curve var Y = -count; // the trend line Sx = Sx + X; Sy = Sy + Y; Sxx = Sxx + X*X; Sxy = Sxy + X*Y; Syy = Syy + Y*Y; } if(Length*Sxx-Sx*Sx > 0 && Length*Syy-Sy*Sy > 0) return (Length*Sxy-Sx*Sy)/sqrt((Length*Sxx-Sx*Sx)*(Length*Syy-Sy*Sy)); else return 0; } X represents the price curve, Y the trend line, and correlation is measured with the Spearman algorithm. The trend line is supposed to linearly rise with count, but I’m using the negative count here because the Data series is stored backwards, with the most recent values at the beginning. This is how the Correlation Trend Indicator (CTI) looks when applied to SPY (red = 10 days period, blue = 40 days): Pls see image. We can see that the lines reproduce rather well the price curve trend. And we can also see that the blue line, the 40-days trend, is not just a smoothed version of the red 10-days trend – it looks entirely different. This is an interesting feature of a trend indicator – it separates long-term and short-term trend perfectly.” The article goes on to say that it might be difficult profitably trading on CTI zero crossovers but I would regard, judging form the indicator screenshot, that the -0.8 and +0.8 crossings are more useful for determining future price direction. https://financial-hacker.com/petra-on-programming-a-unique-trend-indicator/#more-3424

This topic has 31 replies, 4 voices, and was last updated 3 years ago by supertiti.

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05/10/2020 at 11:47 AM #130869

supertiti

// CTI Short <= -0.95

Speriod = 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

c1 = CTIshort  <= - 0.95

SCREENER [ c1 ]

// CTI Short <= -0.95

Speriod = 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

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

c1 = CTIshort <= - 0.95

SCREENER [ c1 ]

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Bard

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05/10/2020 at 11:49 AM #130871

supertiti

// CTI LONG UP
// 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     = 30 //Add in Variables  perso = 30
SPeriod     = 5 //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

c1 = CTIlong < - 0.8
c2 = CTIlong [1] < CTIlong [2]
c3 = CTIlong > CTIlong [1]

SCREENER [c1 and c2 and c3 ]

// CTI LONG UP

// 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 = 30 //Add in Variables perso = 30

SPeriod = 5 //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

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

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

c1 = CTIlong < - 0.8

c2 = CTIlong [1] < CTIlong [2]

c3 = CTIlong > CTIlong [1]

SCREENER [c1 and c2 and c3 ]

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Bard

supertiti

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Replies: 717

Been thanked: 72 times

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