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<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"><html xmlns="http://www.w3.org/1999/xhtml"><head><title>R: Ehler's Correlation Trend Indicator</title> <meta http-equiv="Content-Type" content="text/html; charset=utf-8" /> <link rel="stylesheet" type="text/css" href="R.css" /> </head><body> <table width="100%" summary="page for CTI {TTR}"><tr><td>CTI {TTR}</td><td style="text-align: right;">R Documentation</td></tr></table> <h2>Ehler's Correlation Trend Indicator</h2> <h3>Description</h3> <p>Ehler's Correlation Trend Indicator (CTI) measures the Spearman correlation of the price with the ideal trend line: a straight line with increasing slope. </p> <h3>Usage</h3> <pre> CTI(price, n = 20, slope = 1) </pre> <h3>Arguments</h3> <table summary="R argblock"> <tr valign="top"><td><code>price</code></td> <td> <p>Price series that is coercible to xts or matrix.</p> </td></tr> <tr valign="top"><td><code>n</code></td> <td> <p>Number of periods to use.</p> </td></tr> <tr valign="top"><td><code>slope</code></td> <td> <p>Slope of desired trend.</p> </td></tr> </table> <h3>Details</h3> <p>The CTI measures the Spearman correlation between the price and the ideal trend line with slope of <code>slope</code>, over the past <code>n</code> days. </p> <p>See URL in references section for further details. </p> <h3>Value</h3> <p>A object of the same class as <code>price</code> or a matrix (if <code>try.xts</code> fails) with the column: </p> <dl> <dt>cti</dt><dd><p> The Correlation Trend Indicator. </p> </dd> </dl> <h3>Note</h3> <p>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. </p> <h3>Author(s)</h3> <p>Ethan Smith, Joshua Ulrich </p> <h3>References</h3> <p>John Ehlers, Correlation Trend Indicator, Stocks & Commodities May-2020 The following site(s) were used to code/document this indicator:<br /> <a href="https://financial-hacker.com/petra-on-programming-a-unique-trend-indicator/">https://financial-hacker.com/petra-on-programming-a-unique-trend-indicator/</a><br /> </p> <h3>See Also</h3> <p>See <code><a href="aroon.html">aroon</a></code>, <code><a href="CCI.html">CCI</a></code>, <code><a href="ADX.html">ADX</a></code>, <code><a href="VHF.html">VHF</a></code>, <code><a href="GMMA.html">GMMA</a></code>, <code><a href="TDI.html">TDI</a></code> for other indicators that measure trend direction/strength. </p> <h3>Examples</h3> <pre> data(ttrc) cti <- CTI(ttrc[,"Close"], n = 20) </pre> <hr /><div style="text-align: center;">[Package <em>TTR</em> version 0.24.3 <a href="00Index.html">Index</a>]</div> </body></html>