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Miha Kralj
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lib/cycles/ccor/Ccor.md
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| **PineScript** | [ccor.pine](ccor.pine) |
- CCOR extracts cycle phase by computing Pearson correlation of a price window against cosine (Real) and negative-sine (Imaginary) reference waves of...
- Parameterized by `period` (default 20), `threshold` (default 9.0).
- Output range: Varies (see docs).
- Requires `period` bars of warmup before first valid output (IsHot = true).
- **Similar:** [Ccyc](../ccyc/Ccyc.md), [CG](../cg/cg.md) | **Complementary:** Hilbert Transform for phase analysis | **Trading note:** Cycle correlation; detects dominant cycle period in price data.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
CCOR extracts cycle phase by computing Pearson correlation of a price window against cosine (Real) and negative-sine (Imaginary) reference waves of a presumed fixed period, converting the resulting phasor to an angle with a monotonic constraint, and classifying the market state as trending or cycling based on the angle rate of change. Unlike Hilbert Transform approaches that rely on analytic signal construction, CCOR uses the statistical machinery of correlation to measure how well price "fits" each quadrature component, yielding bounded $[-1, +1]$ outputs that double as confidence measures. The method was introduced to address the instability of Hilbert-based phasors during trend-dominated regimes.
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- **Ehlers, J.F.** "Correlation As A Cycle Indicator." *Technical Analysis of Stocks & Commodities*, June 2020.
- **Ehlers, J.F.** *Rocket Science for Traders*. Wiley, 2001. (Hilbert Transform phasor predecessor)
- **Ehlers, J.F.** *Cybernetic Analysis for Stocks and Futures*. Wiley, 2004. (Broader cycle analysis framework)
- **Pearson, K.** "Notes on Regression and Inheritance in the Case of Two Parents." *Proceedings of the Royal Society of London*, 58, 1895. (Original Pearson correlation)
- **Pearson, K.** "Notes on Regression and Inheritance in the Case of Two Parents." *Proceedings of the Royal Society of London*, 58, 1895. (Original Pearson correlation)