CTI

Tests/test_eventing.cs

@@ -122,10 +122,10 @@ public class EventingTests
         return new TBar(
             DateTime.Now,
             baseValue,
-            baseValue + Math.abs(GetRandomDouble(rng) * 10),
+            baseValue + Math.Abs(GetRandomDouble(rng) * 10),
-            baseValue - Math.abs(GetRandomDouble(rng) * 10),
+            baseValue - Math.Abs(GetRandomDouble(rng) * 10),
             baseValue + (GetRandomDouble(rng) * 5),
-            Math.abs(GetRandomDouble(rng) * 1000),
+            Math.Abs(GetRandomDouble(rng) * 1000),
             true
         );
     }
@@ -151,7 +151,7 @@ public class EventingTests
         }
 
         bool areEqual = (double.IsNaN(directIndicator.Value) && double.IsNaN(eventIndicator.Value)) ||
-                        Math.abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
+                        Math.Abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
 
         Assert.True(areEqual, $"Value indicator {indicatorName} failed: Expected {directIndicator.Value}, Actual {eventIndicator.Value}");
     }
@@ -177,7 +177,7 @@ public class EventingTests
         }
 
         bool areEqual = (double.IsNaN(directIndicator.Value) && double.IsNaN(eventIndicator.Value)) ||
-                        Math.abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
+                        Math.Abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
 
         Assert.True(areEqual, $"Bar indicator {indicatorName} failed: Expected {directIndicator.Value}, Actual {eventIndicator.Value}");
     }

Tests/test_quantower.cs

@@ -162,7 +162,7 @@ namespace QuanTAlib
         [Fact] public void Vortex() => TestIndicatorMultipleFields<momentum::QuanTAlib.VortexIndicator>(new[] { "PlusLine", "MinusLine" });
 
         // Oscillators Indicators
-        [Fact] public void Cti() => TestIndicator<oscillator::QuanTAlib.CtiIndicator>("Series");
+        [Fact] public void Cti() => TestIndicator<oscillators::QuanTAlib.CtiIndicator>("Series");
 
     }
 }

lib/oscillators/Cti.cs

@@ -3,32 +3,37 @@ namespace QuanTAlib;
 
 /// <summary>
 /// CTI: Ehler's Correlation Trend Indicator
-/// A momentum oscillator that measures the correlation between the price and a lagged version of the price.
+/// Measures the correlation between price and an ideal trend line.
 /// </summary>
 /// <remarks>
 /// The CTI calculation process:
-/// 1. Calculate the correlation between the price and a lagged version of the price over a specified period.
+/// 1. Correlates price curve with an ideal trend line (negative count due to backwards data storage)
-/// 2. Normalize the correlation values to oscillate between -1 and 1.
+/// 2. Uses Spearman's correlation algorithm
-/// 3. Use the normalized correlation values to calculate the CTI.
+/// 3. Returns values between -1 and 1
 ///
 /// Key characteristics:
 /// - Oscillates between -1 and 1
-/// - Positive values indicate bullish momentum
+/// - Positive values indicate price follows uptrend
-/// - Negative values indicate bearish momentum
+/// - Negative values indicate price follows downtrend
 ///
 /// Formula:
-/// CTI = 2 * (Correlation - 0.5)
+/// CTI = (n∑xy - ∑x∑y) / sqrt((n∑x² - (∑x)²)(n∑y² - (∑y)²))
+/// where:
+/// x = price curve
+/// y = -count (ideal trend line)
+/// n = period length
 ///
 /// Sources:
 ///     John Ehlers - "Cybernetic Analysis for Stocks and Futures" (2004)
-///     https://www.investopedia.com/terms/c/correlation-trend-indicator.asp
+///     John Ehlers, Correlation Trend Indicator, Stocks & Commodities May-2020
 /// </remarks>
 [SkipLocalsInit]
 public sealed class Cti : AbstractBase
 {
     private readonly int _period;
     private readonly CircularBuffer _priceBuffer;
-    private readonly Corr _correlation;
+    private readonly double[] _trendLine;
+    private const int MinimumPoints = 2;  // Minimum points needed for correlation
 
     /// <param name="source">The data source object that publishes updates.</param>
     /// <param name="period">The calculation period (default: 20)</param>
@@ -44,7 +49,14 @@ public sealed class Cti : AbstractBase
     {
         _period = period;
         _priceBuffer = new CircularBuffer(period);
-        _correlation = new Corr(period);
+
+        // Pre-calculate trend line values since they're static
+        _trendLine = new double[period];
+        for (int i = 0; i < period; i++)
+        {
+            _trendLine[i] = -i; // negative count for backwards data
+        }
+
         WarmupPeriod = period;
         Name = "CTI";
     }
@@ -62,15 +74,36 @@ public sealed class Cti : AbstractBase
     protected override double Calculation()
     {
         ManageState(Input.IsNew);
-
         _priceBuffer.Add(Input.Value, Input.IsNew);
-        var laggedPrice = _index >= _period ? _priceBuffer[_index - _period] : double.NaN;
 
-        _correlation.Calc(new TValue(Input.Time, Input.Value, Input.IsNew), new TValue(Input.Time, laggedPrice, Input.IsNew));
+        // Use available points for early calculations
+        int points = Math.Min(_index + 1, _period);
+        if (points < MinimumPoints) return 0;  // Need at least 2 points for correlation
 
-        if (_index < _period - 1) return double.NaN;
+        double sx = 0, sy = 0, sxx = 0, sxy = 0, syy = 0;
 
-        var correlation = _correlation.Value;
+        // Calculate correlation components using available points
-        return 2 * (correlation - 0.5);
+        for (int i = 0; i < points; i++)
+        {
+            double x = _priceBuffer[i];        // price curve
+            double y = _trendLine[i];          // pre-calculated trend line
+
+            sx += x;
+            sy += y;
+            sxx += x * x;
+            sxy += x * y;
+            syy += y * y;
+        }
+
+        // Check for numerical stability
+        double denomX = points * sxx - sx * sx;
+        double denomY = points * syy - sy * sy;
+
+        if (denomX > 0 && denomY > 0)
+        {
+            return (points * sxy - sx * sy) / Math.Sqrt(denomX * denomY);
+        }
+
+        return 0;
     }
 }

quantower/Averages/WmaIndicator.cs

@@ -59,6 +59,7 @@ public class WmaIndicator : Indicator, IWatchlistIndicator
         Series!.SetValue(result.Value);
         Series!.SetMarker(0, Color.Transparent); //OnPaintChart draws the line, hidden here
     }
+#pragma warning disable CA1416 // Validate platform compatibility
 
     public override void OnPaintChart(PaintChartEventArgs args)
     {

quantower/Oscillators/CtiIndicator.cs

@@ -3,10 +3,10 @@ using System.Drawing;
 
 namespace QuanTAlib
 {
-    public class CtiIndicator : Indicator
+    public class CtiIndicator : Indicator, IWatchlistIndicator
     {
         [InputParameter("Period", 0, 1, 100, 1, 0)]
-        public int Period = 20;
+        public int Period { get; set; } = 20;
 
         [InputParameter("Source Type", 1, variants: new object[]
         {
@@ -21,46 +21,51 @@ namespace QuanTAlib
             "OHLC4", SourceType.OHLC4,
             "HLCC4", SourceType.HLCC4
         })]
-        public SourceType SourceType = SourceType.Close;
+        public SourceType Source { get; set; } = SourceType.Close;
 
         [InputParameter("Show Cold Values", 2)]
-        public bool ShowColdValues = false;
+        public bool ShowColdValues { get; set; } = true;
 
-        private Cti cti;
+        private Cti? cti;
-        protected LineSeries? CtiSeries;
+        protected LineSeries? Series;
+        protected string? SourceName;
         public int MinHistoryDepths => Period + 1;
         int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
 
         public CtiIndicator()
         {
+            OnBackGround = false;
+            SeparateWindow = true;
             this.Name = "CTI - Ehler's Correlation Trend Indicator";
+            SourceName = Source.ToString();
             this.Description = "A momentum oscillator that measures the correlation between the price and a lagged version of the price.";
-            CtiSeries = new($"CTI {Period}", Color: IndicatorExtensions.Oscillators, 2, LineStyle.Solid);
+            Series = new($"CTI {Period}", color: IndicatorExtensions.Oscillators, width: 2, LineStyle.Solid);
-            AddLineSeries(CtiSeries);
+            AddLineSeries(Series);
         }
 
         protected override void OnInit()
         {
             cti = new Cti(this.Period);
+            SourceName = Source.ToString();
             base.OnInit();
         }
 
         protected override void OnUpdate(UpdateArgs args)
         {
             TValue input = this.GetInputValue(args, Source);
-            cti.Calc(value);
+            TValue result = cti!.Calc(input);
 
-            CtiSeries!.SetValue(cti.Value);
+            Series!.SetValue(result);
-            CtiSeries!.SetMarker(0, Color.Transparent);
+            Series!.SetMarker(0, Color.Transparent);
         }
 
-    public override string ShortName => $"CTI ({Period}:{SourceName})";
+        public override string ShortName => $"CTI ({Period}:{SourceName})";
 
 #pragma warning disable CA1416 // Validate platform compatibility
-    public override void OnPaintChart(PaintChartEventArgs args)
+        public override void OnPaintChart(PaintChartEventArgs args)
-    {
+        {
-        base.OnPaintChart(args);
+            base.OnPaintChart(args);
-        this.PaintSmoothCurve(args, CtiSeries!, cti!.WarmupPeriod, showColdValues: ShowColdValues, tension: 0.2);
+            this.PaintSmoothCurve(args, Series!, cti!.WarmupPeriod, showColdValues: ShowColdValues, tension: 0.0);
-    }
+        }
     }
 }