CTI - Ehler's Correlation Trend - calc and chart

lib/oscillators/Cti.cs

@@ -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

@@ -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