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Registered User
Joined: 3/25/2005
Posts: 22
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Can anyone help me to write a PCF for the Chande Trend Index (CTI)?
CTI = ln(c/c{L})/(stdev(ln(c/c{1}),L)*sqrt{L})
where CTI is the trend index, ln is the natural logarithm, stdev is the standard deviation, c{1} is yesterday's close, c{L} is the close L days ago, and sqrt is the square root function.
FYI and according to Chande's books, this is one of the most effective trend measurement for options trading. A suggestion is to use L as the number of trading days remaining before expiration, buy call options when underlying stock's CTI is crossing above 1, sell when crossing below 1 or when overextended above 1.50 (reverse for puts).
I'd really like to visually check that approach with TC !
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following:
CTI10:
LOG(C / C10) / SQR(((LOG(C / C1) - LOG(C / C10) / 10) ^ 2 + (LOG(C1 / C2) - LOG(C / C10) / 10) ^ 2 + (LOG(C2 / C3) - LOG(C / C10) / 10) ^ 2 + (LOG(C3 / C4) - LOG(C / C10) / 10) ^ 2 + (LOG(C4 / C5) - LOG(C / C10) / 10) ^ 2 + (LOG(C5 / C6) - LOG(C / C10) / 10) ^ 2 + (LOG(C6 / C7) - LOG(C / C10) / 10) ^ 2 + (LOG(C7 / C8) - LOG(C / C10) / 10) ^ 2 + (LOG(C8 / C9) - LOG(C / C10) / 10) ^ 2 + (LOG(C9 / C10) - LOG(C / C10) / 10) ^ 2) / 10) / SQR(10)
If it is what you want, we can write it for a range of periods.
-Bruce
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Registered User
Joined: 3/25/2005
Posts: 22
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Thank you Bruce. I have no idea if this is giving exact CTI results. The trigger line here seems to be zero rather than 1.
But after checking on many charts and timeframes, I really like what I see with your formula: Some of the best divergences I've ever seen, predictive trendline breaks and apparently very predictive jumps just before breakouts/breakdowns from bases.
Would you be kind enough to make the PCF's for a Fibonacci series : 3,5,8,13,21,34 and 55 closes? That would be wonderful!
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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stanaction... have you checked this out yet?
Fibonacci Retracement Levels
- Craig
Here to Help!
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Registered User
Joined: 1/1/2005
Posts: 2,645
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Please notice that LOG(C0/CL)/L = (LOG(C0)-LOG(CL))/L is the slope of the straight line drawn from CL to C0 on the Logarithmic Scale. This leads me to believe that the SQR( L ) in the denominator of the CTI perhaps should have been just L.
Maybe there is another reason for the presence of SQR( L )?
Also, please notice the similarity to the Kesner K-Ratio:
LR vs K-RATIO
where the SQR( P ) is an acknowledged mistake.
Thanks,
Jim Murphy
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Registered User
Joined: 3/25/2005
Posts: 22
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To Craig : Thank you for that bright video link. This will definitevely improve my tools of the trade!
To Bustermu and all: If you go to amazon.com search for Beyond Technical Analysis: How to Develop and Implement a Winning Trading System, 2nd Edition
by Tushar S. Chande; click on "search inside this book", search for "CTI" and go to page 31, you'll find Chande's definition with the Brownian theory analogies implied.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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CTI3:
LOG(C / C3) / SQR(((LOG(C / C1) - LOG(C / C3) / 3) ^ 2 + (LOG(C1 / C2) - LOG(C / C3) / 3) ^ 2 + (LOG(C2 / C3) - LOG(C / C3) / 3) ^ 2) / 3) / SQR(3)
CTI5:
LOG(C / C5) / SQR(((LOG(C / C1) - LOG(C / C5) / 5) ^ 2 + (LOG(C1 / C2) - LOG(C / C5) / 5) ^ 2 + (LOG(C2 / C3) - LOG(C / C5) / 5) ^ 2 + (LOG(C3 / C4) - LOG(C / C5) / 5) ^ 2 + (LOG(C4 / C5) - LOG(C / C5) / 5) ^ 2) / 5) / SQR(5)
CTI8:
LOG(C / C8) / SQR(((LOG(C / C1) - LOG(C / C8) / 8) ^ 2 + (LOG(C1 / C2) - LOG(C / C8) / 8) ^ 2 + (LOG(C2 / C3) - LOG(C / C8) / 8) ^ 2 + (LOG(C3 / C4) - LOG(C / C8) / 8) ^ 2 + (LOG(C4 / C5) - LOG(C / C8) / 8) ^ 2 + (LOG(C5 / C6) - LOG(C / C8) / 8) ^ 2 + (LOG(C6 / C7) - LOG(C / C8) / 8) ^ 2 + (LOG(C7 / C8) - LOG(C / C8) / 8) ^ 2) / 8) / SQR(8)
CTI13:
LOG(C / C13) / SQR(((LOG(C / C1) - LOG(C / C13) / 13) ^ 2 + (LOG(C1 / C2) - LOG(C / C13) / 13) ^ 2 + (LOG(C2 / C3) - LOG(C / C13) / 13) ^ 2 + (LOG(C3 / C4) - LOG(C / C13) / 13) ^ 2 + (LOG(C4 / C5) - LOG(C / C13) / 13) ^ 2 + (LOG(C5 / C6) - LOG(C / C13) / 13) ^ 2 + (LOG(C6 / C7) - LOG(C / C13) / 13) ^ 2 + (LOG(C7 / C8) - LOG(C / C13) / 13) ^ 2 + (LOG(C8 / C9) - LOG(C / C13) / 13) ^ 2 + (LOG(C9 / C10) - LOG(C / C13) / 13) ^ 2 + (LOG(C10 / C11) - LOG(C / C13) / 13) ^ 2 + (LOG(C11 / C12) - LOG(C / C13) / 13) ^ 2 + (LOG(C12 / C13) - LOG(C / C13) / 13) ^ 2) / 13) / SQR(13)
CTI21:
LOG(C / C21) / SQR(((LOG(C / C1) - LOG(C / C21) / 21) ^ 2 + (LOG(C1 / C2) - LOG(C / C21) / 21) ^ 2 + (LOG(C2 / C3) - LOG(C / C21) / 21) ^ 2 + (LOG(C3 / C4) - LOG(C / C21) / 21) ^ 2 + (LOG(C4 / C5) - LOG(C / C21) / 21) ^ 2 + (LOG(C5 / C6) - LOG(C / C21) / 21) ^ 2 + (LOG(C6 / C7) - LOG(C / C21) / 21) ^ 2 + (LOG(C7 / C8) - LOG(C / C21) / 21) ^ 2 + (LOG(C8 / C9) - LOG(C / C21) / 21) ^ 2 + (LOG(C9 / C10) - LOG(C / C21) / 21) ^ 2 + (LOG(C10 / C11) - LOG(C / C21) / 21) ^ 2 + (LOG(C11 / C12) - LOG(C / C21) / 21) ^ 2 + (LOG(C12 / C13) - LOG(C / C21) / 21) ^ 2 + (LOG(C13 / C14) - LOG(C / C21) / 21) ^ 2 + (LOG(C14 / C15) - LOG(C / C21) / 21) ^ 2 + (LOG(C15 / C16) - LOG(C / C21) / 21) ^ 2 + (LOG(C16 / C17) - LOG(C / C21) / 21) ^ 2 + (LOG(C17 / C18) - LOG(C / C21) / 21) ^ 2 + (LOG(C18 / C19) - LOG(C / C21) / 21) ^ 2 + (LOG(C19 / C20) - LOG(C / C21) / 21) ^ 2 + (LOG(C20 / C21) - LOG(C / C21) / 21) ^ 2) / 21) / SQR(21)
CTI34:
LOG(C / C34) / SQR(((LOG(C / C1) - LOG(C / C34) / 34) ^ 2 + (LOG(C1 / C2) - LOG(C / C34) / 34) ^ 2 + (LOG(C2 / C3) - LOG(C / C34) / 34) ^ 2 + (LOG(C3 / C4) - LOG(C / C34) / 34) ^ 2 + (LOG(C4 / C5) - LOG(C / C34) / 34) ^ 2 + (LOG(C5 / C6) - LOG(C / C34) / 34) ^ 2 + (LOG(C6 / C7) - LOG(C / C34) / 34) ^ 2 + (LOG(C7 / C8) - LOG(C / C34) / 34) ^ 2 + (LOG(C8 / C9) - LOG(C / C34) / 34) ^ 2 + (LOG(C9 / C10) - LOG(C / C34) / 34) ^ 2 + (LOG(C10 / C11) - LOG(C / C34) / 34) ^ 2 + (LOG(C11 / C12) - LOG(C / C34) / 34) ^ 2 + (LOG(C12 / C13) - LOG(C / C34) / 34) ^ 2 + (LOG(C13 / C14) - LOG(C / C34) / 34) ^ 2 + (LOG(C14 / C15) - LOG(C / C34) / 34) ^ 2 + (LOG(C15 / C16) - LOG(C / C34) / 34) ^ 2 + (LOG(C16 / C17) - LOG(C / C34) / 34) ^ 2 + (LOG(C17 / C18) - LOG(C / C34) / 34) ^ 2 + (LOG(C18 / C19) - LOG(C / C34) / 34) ^ 2 + (LOG(C19 / C20) - LOG(C / C34) / 34) ^ 2 + (LOG(C20 / C21) - LOG(C / C34) / 34) ^ 2 + (LOG(C21 / C22) - LOG(C / C34) / 34) ^ 2 + (LOG(C22 / C23) - LOG(C / C34) / 34) ^ 2 + (LOG(C23 / C24) - LOG(C / C34) / 34) ^ 2 + (LOG(C24 / C25) - LOG(C / C34) / 34) ^ 2 + (LOG(C25 / C26) - LOG(C / C34) / 34) ^ 2 + (LOG(C26 / C27) - LOG(C / C34) / 34) ^ 2 + (LOG(C27 / C28) - LOG(C / C34) / 34) ^ 2 + (LOG(C28 / C29) - LOG(C / C34) / 34) ^ 2 + (LOG(C29 / C30) - LOG(C / C34) / 34) ^ 2 + (LOG(C30 / C31) - LOG(C / C34) / 34) ^ 2 + (LOG(C31 / C32) - LOG(C / C34) / 34) ^ 2 + (LOG(C32 / C33) - LOG(C / C34) / 34) ^ 2 + (LOG(C33 / C34) - LOG(C / C34) / 34) ^ 2) / 34) / SQR(34)
CTI55:
LOG(C / C55) / SQR(((LOG(C / C1) - LOG(C / C55) / 55) ^ 2 + (LOG(C1 / C2) - LOG(C / C55) / 55) ^ 2 + (LOG(C2 / C3) - LOG(C / C55) / 55) ^ 2 + (LOG(C3 / C4) - LOG(C / C55) / 55) ^ 2 + (LOG(C4 / C5) - LOG(C / C55) / 55) ^ 2 + (LOG(C5 / C6) - LOG(C / C55) / 55) ^ 2 + (LOG(C6 / C7) - LOG(C / C55) / 55) ^ 2 + (LOG(C7 / C8) - LOG(C / C55) / 55) ^ 2 + (LOG(C8 / C9) - LOG(C / C55) / 55) ^ 2 + (LOG(C9 / C10) - LOG(C / C55) / 55) ^ 2 + (LOG(C10 / C11) - LOG(C / C55) / 55) ^ 2 + (LOG(C11 / C12) - LOG(C / C55) / 55) ^ 2 + (LOG(C12 / C13) - LOG(C / C55) / 55) ^ 2 + (LOG(C13 / C14) - LOG(C / C55) / 55) ^ 2 + (LOG(C14 / C15) - LOG(C / C55) / 55) ^ 2 + (LOG(C15 / C16) - LOG(C / C55) / 55) ^ 2 + (LOG(C16 / C17) - LOG(C / C55) / 55) ^ 2 + (LOG(C17 / C18) - LOG(C / C55) / 55) ^ 2 + (LOG(C18 / C19) - LOG(C / C55) / 55) ^ 2 + (LOG(C19 / C20) - LOG(C / C55) / 55) ^ 2 + (LOG(C20 / C21) - LOG(C / C55) / 55) ^ 2 + (LOG(C21 / C22) - LOG(C / C55) / 55) ^ 2 + (LOG(C22 / C23) - LOG(C / C55) / 55) ^ 2 + (LOG(C23 / C24) - LOG(C / C55) / 55) ^ 2 + (LOG(C24 / C25) - LOG(C / C55) / 55) ^ 2 + (LOG(C25 / C26) - LOG(C / C55) / 55) ^ 2 + (LOG(C26 / C27) - LOG(C / C55) / 55) ^ 2 + (LOG(C27 / C28) - LOG(C / C55) / 55) ^ 2 + (LOG(C28 / C29) - LOG(C / C55) / 55) ^ 2 + (LOG(C29 / C30) - LOG(C / C55) / 55) ^ 2 + (LOG(C30 / C31) - LOG(C / C55) / 55) ^ 2 + (LOG(C31 / C32) - LOG(C / C55) / 55) ^ 2 + (LOG(C32 / C33) - LOG(C / C55) / 55) ^ 2 + (LOG(C33 / C34) - LOG(C / C55) / 55) ^ 2 + (LOG(C34 / C35) - LOG(C / C55) / 55) ^ 2 + (LOG(C35 / C36) - LOG(C / C55) / 55) ^ 2 + (LOG(C36 / C37) - LOG(C / C55) / 55) ^ 2 + (LOG(C37 / C38) - LOG(C / C55) / 55) ^ 2 + (LOG(C38 / C39) - LOG(C / C55) / 55) ^ 2 + (LOG(C39 / C40) - LOG(C / C55) / 55) ^ 2 + (LOG(C40 / C41) - LOG(C / C55) / 55) ^ 2 + (LOG(C41 / C42) - LOG(C / C55) / 55) ^ 2 + (LOG(C42 / C43) - LOG(C / C55) / 55) ^ 2 + (LOG(C43 / C44) - LOG(C / C55) / 55) ^ 2 + (LOG(C44 / C45) - LOG(C / C55) / 55) ^ 2 + (LOG(C45 / C46) - LOG(C / C55) / 55) ^ 2 + (LOG(C46 / C47) - LOG(C / C55) / 55) ^ 2 + (LOG(C47 / C48) - LOG(C / C55) / 55) ^ 2 + (LOG(C48 / C49) - LOG(C / C55) / 55) ^ 2 + (LOG(C49 / C50) - LOG(C / C55) / 55) ^ 2 + (LOG(C50 / C51) - LOG(C / C55) / 55) ^ 2 + (LOG(C51 / C52) - LOG(C / C55) / 55) ^ 2 + (LOG(C52 / C53) - LOG(C / C55) / 55) ^ 2 + (LOG(C53 / C54) - LOG(C / C55) / 55) ^ 2 + (LOG(C54 / C55) - LOG(C / C55) / 55) ^ 2) / 55) / SQR(55)
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 3/25/2005
Posts: 22
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Bruce, I can't thank you enough. You saved me a lot of time and mistakes in writing the PCF's! All of you trainers are doing a GREAT job!
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 Gold Customer
Joined: 8/13/2009
Posts: 73
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Bruce or Anyone,
I have a question, do you know whether the Chande Trend Meter is the same indicator as the Chande Trend Index being discussed here?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Based on the descriptions I have found of the Chande Trend Meter, it is not the same indicator, but I have not been able to locate the exact calculations.
-Bruce
Personal Criteria Formulas
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Registered User
Joined: 1/28/2005
Posts: 6,049
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Can these be reduced with the new V17 PCF language?
Thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Yes, the formulas can be shortened.
CTI3:
LOG(C / C3) / SQR(ABS(SUM(LOG(C / C1) ^ 2, 3) - 3 * AVG(LOG(C / C1), 3) ^ 2) / 3) / SQR(3)
CTI5:
LOG(C / C5) / SQR(ABS(SUM(LOG(C / C1) ^ 2, 5) - 5 * AVG(LOG(C / C1), 5) ^ 2) / 5) / SQR(5)
CTI10:
LOG(C / C10) / SQR(ABS(SUM(LOG(C / C1) ^ 2, 10) - 10 * AVG(LOG(C / C1), 10) ^ 2) / 10) / SQR(10)
CTI13:
LOG(C / C13) / SQR(ABS(SUM(LOG(C / C1) ^ 2, 13) - 13 * AVG(LOG(C / C1), 13) ^ 2) / 13) / SQR(13)
CTI21:
LOG(C / C21) / SQR(ABS(SUM(LOG(C / C1) ^ 2, 21) - 21 * AVG(LOG(C / C1), 21) ^ 2) / 21) / SQR(21)
CTI34:
LOG(C / C34) / SQR(ABS(SUM(LOG(C / C1) ^ 2, 34) - 34 * AVG(LOG(C / C1), 34) ^ 2) / 34) / SQR(34)
CTI55:
LOG(C / C55) / SQR(ABS(SUM(LOG(C / C1) ^ 2, 55) - 55 * AVG(LOG(C / C1), 55) ^ 2) / 55) / SQR(55)
-Bruce
Personal Criteria Formulas
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