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CTI - Ehler's Correlation Trend - calc and chart
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,76 @@ | ||
| using System.Runtime.CompilerServices; | ||
| namespace QuanTAlib; | ||
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| /// <summary> | ||
| /// CTI: Ehler's Correlation Trend Indicator | ||
| /// A momentum oscillator that measures the correlation between the price and a lagged version of the price. | ||
| /// </summary> | ||
| /// <remarks> | ||
| /// The CTI calculation process: | ||
| /// 1. Calculate the correlation between the price and a lagged version of the price over a specified period. | ||
| /// 2. Normalize the correlation values to oscillate between -1 and 1. | ||
| /// 3. Use the normalized correlation values to calculate the CTI. | ||
| /// | ||
| /// Key characteristics: | ||
| /// - Oscillates between -1 and 1 | ||
| /// - Positive values indicate bullish momentum | ||
| /// - Negative values indicate bearish momentum | ||
| /// | ||
| /// Formula: | ||
| /// CTI = 2 * (Correlation - 0.5) | ||
| /// | ||
| /// Sources: | ||
| /// John Ehlers - "Cybernetic Analysis for Stocks and Futures" (2004) | ||
| /// https://www.investopedia.com/terms/c/correlation-trend-indicator.asp | ||
| /// </remarks> | ||
| [SkipLocalsInit] | ||
| public sealed class Cti : AbstractBase | ||
| { | ||
| private readonly int _period; | ||
| private readonly CircularBuffer _priceBuffer; | ||
| private readonly Corr _correlation; | ||
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| /// <param name="source">The data source object that publishes updates.</param> | ||
| /// <param name="period">The calculation period (default: 20)</param> | ||
| [MethodImpl(MethodImplOptions.AggressiveInlining)] | ||
| public Cti(object source, int period = 20) : this(period) | ||
| { | ||
| var pubEvent = source.GetType().GetEvent("Pub"); | ||
| pubEvent?.AddEventHandler(source, new ValueSignal(Sub)); | ||
| } | ||
|
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| [MethodImpl(MethodImplOptions.AggressiveInlining)] | ||
| public Cti(int period = 20) | ||
| { | ||
| _period = period; | ||
| _priceBuffer = new CircularBuffer(period); | ||
| _correlation = new Corr(period); | ||
| WarmupPeriod = period; | ||
| Name = "CTI"; | ||
| } | ||
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| [MethodImpl(MethodImplOptions.AggressiveInlining)] | ||
| protected override void ManageState(bool isNew) | ||
| { | ||
| if (isNew) | ||
| { | ||
| _index++; | ||
| } | ||
| } | ||
|
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| [MethodImpl(MethodImplOptions.AggressiveInlining)] | ||
| protected override double Calculation() | ||
| { | ||
| ManageState(Input.IsNew); | ||
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| _priceBuffer.Add(Input.Value, Input.IsNew); | ||
| var laggedPrice = _index >= _period ? _priceBuffer[_index - _period] : double.NaN; | ||
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| _correlation.Calc(new TValue(Input.Time, Input.Value, Input.IsNew), new TValue(Input.Time, laggedPrice, Input.IsNew)); | ||
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| if (_index < _period - 1) return double.NaN; | ||
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| var correlation = _correlation.Value; | ||
| return 2 * (correlation - 0.5); | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,66 @@ | ||
| using TradingPlatform.BusinessLayer; | ||
| using System.Drawing; | ||
|
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||
| namespace QuanTAlib | ||
| { | ||
| public class CtiIndicator : Indicator | ||
| { | ||
| [InputParameter("Period", 0, 1, 100, 1, 0)] | ||
| public int Period = 20; | ||
|
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| [InputParameter("Source Type", 1, variants: new object[] | ||
| { | ||
| "Open", SourceType.Open, | ||
| "High", SourceType.High, | ||
| "Low", SourceType.Low, | ||
| "Close", SourceType.Close, | ||
| "HL2", SourceType.HL2, | ||
| "OC2", SourceType.OC2, | ||
| "OHL3", SourceType.OHL3, | ||
| "HLC3", SourceType.HLC3, | ||
| "OHLC4", SourceType.OHLC4, | ||
| "HLCC4", SourceType.HLCC4 | ||
| })] | ||
| public SourceType SourceType = SourceType.Close; | ||
|
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| [InputParameter("Show Cold Values", 2)] | ||
| public bool ShowColdValues = false; | ||
|
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| private Cti cti; | ||
| protected LineSeries? CtiSeries; | ||
| public int MinHistoryDepths => Period + 1; | ||
| int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths; | ||
|
Check failure on line 32 in quantower/Oscillators/CtiIndicator.cs
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| public CtiIndicator() | ||
| { | ||
| this.Name = "CTI - Ehler's Correlation Trend Indicator"; | ||
| this.Description = "A momentum oscillator that measures the correlation between the price and a lagged version of the price."; | ||
| CtiSeries = new($"CTI {Period}", Color: IndicatorExtensions.Oscillators, 2, LineStyle.Solid); | ||
| AddLineSeries(CtiSeries); | ||
| } | ||
|
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| protected override void OnInit() | ||
| { | ||
| cti = new Cti(this.Period); | ||
| base.OnInit(); | ||
| } | ||
|
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| protected override void OnUpdate(UpdateArgs args) | ||
| { | ||
| TValue input = this.GetInputValue(args, Source); | ||
| cti.Calc(value); | ||
|
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| CtiSeries!.SetValue(cti.Value); | ||
| CtiSeries!.SetMarker(0, Color.Transparent); | ||
| } | ||
|
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| public override string ShortName => $"CTI ({Period}:{SourceName})"; | ||
|
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| #pragma warning disable CA1416 // Validate platform compatibility | ||
| public override void OnPaintChart(PaintChartEventArgs args) | ||
| { | ||
| base.OnPaintChart(args); | ||
| this.PaintSmoothCurve(args, CtiSeries!, cti!.WarmupPeriod, showColdValues: ShowColdValues, tension: 0.2); | ||
| } | ||
| } | ||
| } | ||
