Ehler's Correlation Trend Indicator

Ehler's Correlation Trend Indicator (CTI) measures the Spearman correlation of the price with the ideal trend line: a straight line with increasing slope.

Usage

CTI(price, n = 20, slope = 1)

Arguments

price

Price series that is coercible to xts or matrix.

n

Number of periods to use.

slope

Slope of desired trend.

Value

A object of the same class as price or a matrix (if try.xts fails) with the column:

cti

The Correlation Trend Indicator.

Details

The CTI measures the Spearman correlation between the price and the ideal trend line with slope of slope, over the past n days.

See URL in references section for further details.

Note

Positive/negative CTI values signal positive/negative correlation with the desired trend line slope. A simple strategy could be long when the CTI is positive and, short when it is negative.

References

John Ehlers, Correlation Trend Indicator, Stocks & Commodities May-2020 The following site(s) were used to code/document this indicator:
https://financial-hacker.com/petra-on-programming-a-unique-trend-indicator/

See also

See aroon, CCI, ADX, VHF, GMMA, TDI for other indicators that measure trend direction/strength.

Author

Ethan Smith, Joshua Ulrich

Examples

data(ttrc)
cti <- CTI(ttrc[,"Close"], n = 20)