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CTI - Ehler's Correlation Trend - calc and chart

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This commit is contained in:
Miha Kralj
2024-11-08 08:24:51 -08:00
parent 351214ed31
commit 11fc798517
7 changed files with 164 additions and 10 deletions
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Tests/test_eventing.cs
+7 -6
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@@ -87,7 +87,8 @@ public class EventingTests
("Rse", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Smape", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Rsquared", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Huber", new object[] { DefaultPeriod, 1.0 }, new object[] { new TSeries(), DefaultPeriod, 1.0 })
("Huber", new object[] { DefaultPeriod, 1.0 }, new object[] { new TSeries(), DefaultPeriod, 1.0 }),
("Cti", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod })
};
private static readonly (string Name, object[] DirectParams, object[] EventParams)[] BarIndicators = new[]
@@ -121,10 +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
);
}
@@ -150,7 +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}");
}
@@ -176,7 +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
+4
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@@ -160,5 +160,9 @@ namespace QuanTAlib
[Fact] public void Trix() => TestIndicator<momentum::QuanTAlib.TrixIndicator>("Series");
[Fact] public void Vel() => TestIndicator<momentum::QuanTAlib.VelIndicator>("Series");
[Fact] public void Vortex() => TestIndicatorMultipleFields<momentum::QuanTAlib.VortexIndicator>(new[] { "PlusLine", "MinusLine" });
// Oscillators Indicators
[Fact] public void Cti() => TestIndicator<oscillator::QuanTAlib.CtiIndicator>("Series");
}
}
Tests/test_updates_oscillators.cs
+7
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@@ -172,4 +172,11 @@ public class OscillatorsUpdateTests : UpdateTestBase
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cti_Update()
{
var indicator = new Cti(period: 20);
TestTValueUpdate(indicator, indicator.Calc);
}
}
docs/indicators/indicators.md
+2 -2
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@@ -5,13 +5,13 @@
| Basic Transforms | 6 of 6 | 100% |
| Averages & Trends | 33 of 33 | 100% |
| Momentum | 16 of 16 | 100% |
| Oscillators | 22 of 29 | 76% |
| Oscillators | 24 of 29 | 83% |
| Volatility | 29 of 35 | 83% |
| Volume | 19 of 19 | 100% |
| Numerical Analysis | 15 of 19 | 79% |
| Errors | 16 of 16 | 100% |
| Patterns | 0 of 8 | 0% |
| **Total** | **156 of 181** | **86%** |
| **Total** | **158 of 181** | **87%** |
|Technical Indicator Name| Class Name|
|-----------|:----------:|
lib/oscillators/Cti.cs
+76
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@@ -0,0 +1,76 @@
using System.Runtime.CompilerServices;
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.
/// </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;
/// <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));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Cti(int period = 20)
{
_period = period;
_priceBuffer = new CircularBuffer(period);
_correlation = new Corr(period);
WarmupPeriod = period;
Name = "CTI";
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
{
_index++;
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
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));
if (_index < _period - 1) return double.NaN;
var correlation = _correlation.Value;
return 2 * (correlation - 0.5);
}
}
lib/oscillators/_list.md
+2 -2
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@@ -1,5 +1,5 @@
# Oscillators indicators
Done: 22, Todo: 7
Done: 24, Todo: 5
✔️ AC - Acceleration Oscillator
✔️ AO - Awesome Oscillator
@@ -12,7 +12,7 @@ Done: 22, Todo: 7
✔️ COG - Ehler's Center of Gravity
✔️ COPPOCK - Coppock Curve
✔️ CRSI - Connor RSI
CTI - Ehler's Correlation Trend Indicator
✔️ CTI - Ehler's Correlation Trend Indicator
✔️ DOSC - Derivative Oscillator
✔️ FISHER - Fisher Transform
✔️ EFI - Elder Ray's Force Index
quantower/Oscillators/CtiIndicator.cs
+66
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@@ -0,0 +1,66 @@
using TradingPlatform.BusinessLayer;
using System.Drawing;
namespace QuanTAlib
{
public class CtiIndicator : Indicator
{
[InputParameter("Period", 0, 1, 100, 1, 0)]
public int Period = 20;
[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;
[InputParameter("Show Cold Values", 2)]
public bool ShowColdValues = false;
private Cti cti;
protected LineSeries? CtiSeries;
public int MinHistoryDepths => Period + 1;
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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);
}
protected override void OnInit()
{
cti = new Cti(this.Period);
base.OnInit();
}
protected override void OnUpdate(UpdateArgs args)
{
TValue input = this.GetInputValue(args, Source);
cti.Calc(value);
CtiSeries!.SetValue(cti.Value);
CtiSeries!.SetMarker(0, Color.Transparent);
}
public override string ShortName => $"CTI ({Period}:{SourceName})";
#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);
}
}
}