CTI | R Documentation |
Ehler's Correlation Trend Indicator (CTI) measures the Spearman correlation of the price with the ideal trend line: a straight line with increasing slope.
CTI(price, n = 20, slope = 1)
price |
Price series that is coercible to xts or matrix. |
n |
Number of periods to use. |
slope |
Slope of desired trend. |
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.
A object of the same class as price
or a matrix (if
try.xts
fails) with the column:
The Correlation Trend Indicator.
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.
Ethan Smith, Joshua Ulrich
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 aroon
, CCI
, ADX
,
VHF
, GMMA
, TDI
for other
indicators that measure trend direction/strength.
data(ttrc)
cti <- CTI(ttrc[,"Close"], n = 20)
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