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Very Latest John Ehler's Correlation Trend Indicator
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// CTI NICO d'après BARD adapté par VONASI 03.05.2020 //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Nicolas @ www.prorealcode.com / Bard //Sharing ProRealTime knowledge // --- settings //SPeriod length = 10 perso = 5//Add in Variables //LPeriod lengthL = 40 perso = 30 //Add in Variables // --- end of settings defparam calculateonlastbars = 100 // SHORT Sx = 0 Sy = 0 Sxx = 0 Sxy = 0 Syy = 0 data=customclose for count = 0 to Length -1 do X = Data[count] // the price curve Y = -count // the trend line Sx = Sx + X Sy = Sy + Y Sxx = Sxx + X*X Sxy = Sxy + X*Y Syy = Syy + Y*Y next if(Length*Sxx-Sx*Sx > 0 and Length*Syy-Sy*Sy > 0) then ctiS= (Length*Sxy-Sx*Sy)/sqrt((Length*Sxx-Sx*Sx)*(Length*Syy-Sy*Sy)) endif ////////////////////////////////////////////////////////////// // LONG Sx = 0 Sy = 0 Sxx = 0 Sxy = 0 Syy = 0 data=customclose for count = 0 to LengthL -1 do X = Data[count] // the price curve Y = -count // the trend line Sx = Sx + X Sy = Sy + Y Sxx = Sxx + X*X Sxy = Sxy + X*Y Syy = Syy + Y*Y next if(LengthL*Sxx-Sx*Sx > 0 and LengthL*Syy-Sy*Sy > 0) then ctiL= (LengthL*Sxy-Sx*Sy)/sqrt((LengthL*Sxx-Sx*Sx)*(LengthL*Syy-Sy*Sy)) endif ////////////////////////////////////////////////////////////// //ctiS =((ctiS+1)/2)*100 //ctiL =((ctiS+1)/2)*100 Return ((ctiS+1)/2)*100 style(line,3) as " ctiS ", ((ctiS+1)/2)*100 style (point,3) as " ctiS " ,((ctiL+1)/2)*100 style(line,3) as " ctiL ",((ctiL+1)/2)*100 style(point,3) as " ctiL " , 0 as " zero " , 50 as " 50 " , 100 as " 100 "Hi @Nicolas, well, after a few hours I can’t get the machine learning (ML) code to work out the best value for the Ehler’s CTI Speriod and Lperiod of this new indicator. Typically when a ML system won’t work and the code is good (comparing an already working ML system with the non working one using a text-compare website) it’s the settings that the ML code works through — from Starting value to Max value etc — that aren’t working, but I already know a cross over of the 5 period and 10 period CTI are good for long positions and vice versa for shorts. I just want to find out if a 3 and 7 for example are better – I will see this from graphing Value X and Y. I can get the ML to work on a Ehler’s CTI system that looks for the best ML chosen thresholds of the CTI (graphing of X and Y thresholds in increments of 0.1 plots okay on the variables chart with static CTI periods of 5 and 10, — which work well). Can you see from the screenshots below what is missing? The ML settings simply ask the ML algo to choose between CTI periods of 1 to 10 days for both the SPeriod short red CTI line and the LPeriod blue CTI line. Btw, I did re-read the lengthy post: https://www.prorealcode.com/topic/how-do-you-optimise-atr-stops-around-price again just to be sure I have done everything right in terms of labelling even though this is not a PRT optimisation but a ML algo coded “optimisation.” I hope this isn’t going to bring you out in a cold sweat!? 😅 Cheers!Good evening, I think this screener code is the right one after several tries. Each will modify the parameters to their liking.// CTI BARD UP screener //Ehler's Correlation Trend Indicator (CTI) //PRC_R-Squared coefficient | indicator //19.09.2018 //Updated to double Ehler's R2 03/05/2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings //LPeriod =40 //Add in Variables perso = 30 //SPeriod =10 //Add in Variables perso = 5 // --- end of settings /////////////////////////////////////////////////////////////////////////////////////////////////// LPeriod = 30 //Add in Variables perso = 30 SPeriod = 5 //Add in Variables perso = 5 //Short SumSx = 0 // the price curve SumSy = 0 SumSxx = 0 SumSxy = 0 SumSyy = 0 // the trend line data=customclose for count = 0 to SPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumSx = SumSx + X SumSy = SumSy + Y SumSxx = SumSxx + X*X SumSxy = SumSxy + X*Y SumSyy = SumSyy + Y*Y next if(SPeriod*SumSxx-SumSx*SumSx > 0 and SPeriod*SumSyy-SumSy*SumSy > 0) then CTIShort = (SPeriod*SumSxy-SumSx*SumSy)/Sqrt((SPeriod*SumSxx-SumSx*SumSx)*(SPeriod*SumSyy-SumSy*SumSy)) endif /////////////////////////////////////////////////////////////////////////////////////////////////// //Long SumLx = 0 SumLy = 0 SumLxx = 0 SumLxy = 0 SumLyy = 0 for count = 0 to LPeriod-1 do X = Data[count] // the price curve Y = -count // the trend line SumLx = SumLx + X SumLy = SumLy + Y SumLxx = SumLxx + X*X SumLxy = SumLxy + X*Y SumLyy = SumLyy + Y*Y next if(LPeriod*SumLxx-SumLx*SumLx > 0 and LPeriod*SumLyy-SumLy*SumLy > 0) then CTILong = (LPeriod*SumLxy-SumLx*SumLy)/Sqrt((LPeriod*SumLxx-SumLx*SumLx)*(LPeriod*SumLyy-SumLy*SumLy)) endif // return (( CTIShort +1)/2)*100 style (line,2) as "CTI Short R² Trend" , (( CTIShort +1)/2)*100 style (point,3) as "CTI Short R² Trend" ,(( CTILong +1)/2)*100 style (line,2) as "CTI Long R² Trend", (( CTILong +1)/2)*100 style (point,3) as "CTI Long R² Trend" , 50 style (dottedline,2)as " 50 ", 0 as " 0 ", 100 as " 100 " , 95 as " 95 " c1 = ((ctishort[1]+1)/2)*100[1] < 15 c2 = ctishort crosses over ctilong c3 = ((ctiLong+1)/2)*100 < 20 SCREENER [c1 and c2 and c3 ]
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Topic Details
| Forum: | ProBuilder: Indicators & Custom Tools |
| Language: | English |
| Started: | 04/28/2020 |
| Status: | Active |
| Attachments: | 21 files |
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