CorrelationTrendIndicator

Ehlers' CTI — the Pearson correlation of price against a straight time ramp; +1 is a clean uptrend, −1 a clean downtrend, 0 no linear trend.

Quick reference

Field	Value
Family	Ehlers / Cycle (DSP)
Input type	f64
Output type	f64
Output range	[−1, +1]
Default parameters	(period = 20) (Python)
Warmup period	period
Interpretation	+1 linear uptrend, −1 linear downtrend, ~0 range.

Formula

CTI = corr( price over the window , [0, 1, …, period−1] )

The Correlation Trend Indicator measures how closely recent price tracks a straight line by correlating the windowed prices with the time index. Because correlation is scale- and offset-invariant, the slope does not matter — only how linear the move is — giving a clean trend/range classifier bounded in [−1, +1]. It differs from Autocorrelation, which correlates price with a lagged copy of itself. Source: crates/wickra-core/src/indicators/correlation_trend_indicator.rs.

Parameters

Name	Type	Default	Valid range	Source	Description
period	usize	20 (Python)	>= 2	correlation_trend_indicator.rs:55	Lookback window. < 2 errors with Error::InvalidPeriod.

The period getter returns the window; value returns the current output if ready.

Inputs / Outputs

From crates/wickra-core/src/indicators/correlation_trend_indicator.rs:

use wickra::{Indicator, CorrelationTrendIndicator};
// CorrelationTrendIndicator: Input = f64, Output = f64
const _: fn(&mut CorrelationTrendIndicator, f64) -> Option<f64> =
    <CorrelationTrendIndicator as Indicator>::update;

An f64 in, an Option<f64> out. The Python binding takes a scalar for update and a 1-D numpy array for batch (NaN warmup); Node takes update(value) and batch(values[]).

Warmup

warmup_period() == period. The first value lands once the window is full (first_emission_at_warmup_period pins this).

Edge cases

• Clean uptrend → +1. A linear rise correlates perfectly with time (clean_uptrend_is_one pins this).
• Clean downtrend → −1. A linear fall gives −1 (clean_downtrend_is_minus_one pins this).
• Flat window → 0. Zero price variance returns 0 (flat_window_is_zero pins this).
• Bounded. The reading stays within [−1, +1] (output_in_range pins this).
• Non-finite input. A NaN/∞ input is ignored and the last value returned (ignores_non_finite pins this).
• Reset. cti.reset() clears the window and the last value (reset_clears_state).

Examples

Rust

use wickra::{BatchExt, Indicator, CorrelationTrendIndicator};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut cti = CorrelationTrendIndicator::new(10)?;
    let out = cti.batch(&(0..40).map(f64::from).collect::<Vec<_>>());
    println!("{:?}", out.last().unwrap()); // Some(1.0)
    Ok(())
}

Output:

Some(1.0)

Python

import numpy as np
import wickra as ta

cti = ta.CorrelationTrendIndicator(20)
x = np.arange(40, dtype=float)
print(cti.batch(x)[-1])   # 1.0

Node

const ta = require('wickra');

const cti = new ta.CorrelationTrendIndicator(20);
console.log('warmupPeriod:', cti.warmupPeriod()); // 20

Streaming

use wickra::{Indicator, CorrelationTrendIndicator};

let mut cti = CorrelationTrendIndicator::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    last = cti.update(100.0 + f64::from(i));
}
println!("{last:?}"); // Some(1.0)

Streaming update and batch are equivalent tick-for-tick (batch_equals_streaming pins this).

Interpretation

1. Trend/range switch. |CTI| near 1 = trade with the trend; near 0 = favour mean reversion.
2. Early turns. CTI flipping sign often leads price-based trend filters because it reacts to loss of linearity, not just to a moving-average cross.
3. Confluence. Combine high |CTI| with momentum to confirm a directional regime.

Common pitfalls

• Linearity, not slope. A shallow but perfectly straight drift reads ±1; a steep but choppy move reads lower. CTI rates cleanliness, not speed.
• Window choice. Short windows are jumpy; long windows lag regime changes.
• Not autocorrelation. It correlates with time, not with lagged price.

References

Ehlers, J. F. (2020), Correlation as a Trend Indicator / Cycle Analytics for Traders, Wiley.

See also

• Indicator-Autocorrelation — price vs. lagged price.
• Indicator-RSquared — goodness of linear fit.
• Indicator-TrendStrengthIndex — signed r² trend strength.
• Indicators-Overview — the full taxonomy.