In stochastic processes, chaos theory and time series analysis, detrended fluctuation analysis (DFA) is a method for determining the statistical self-affinity of a signal. It is useful for analyzing time series that appear to be long-memory processes and noise. █ OVERVIEW We have introduced the concept of Hurst Exponent in our previous open indicator Hurst...

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Autocorrelation, also known as serial correlation, is the correlation of a signal with a delayed copy of itself as a function of delay. This indicator displays autocorrelation based on lag number. The autocorrelation is not displayed based on time on the x-axis. It's based on the lag number which is from 1 to 50. The calculations can be done with "Log...

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Level: 2 Background John F. Ehlers introduced Autocorrelation Reversals in his "Cycle Analytics for Traders" chapter 8 on 2013. Function One of the distinctive characteristics of autocorrelation is that the autocorrelation shifts from yelow to red or from red to yellow at all values of lag at the cyclic reversals of the price. Therefore, all we need do to...

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In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation at lag 1 (AR(1) process) in the residuals (prediction errors) from a regression analysis. With the new array function tradingview implemented, we are able to do our calculations on the residuals. The residual is given by subtracting the actual value (in...

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Levinson-Durbin Autocorrelation Extrapolation of Price is an indicator that uses the Levinson recursion or Levinson–Durbin recursion algorithm to predict price moves. This method is commonly used in speech modeling and prediction engines. What is Levinson recursion or Levinson–Durbin recursion? Is a linear algebra prediction analysis that is performed once...

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APA-Adaptive, Ehlers Early Onset Trend is Ehlers Early Onset Trend but with Autocorrelation Periodogram Algorithm dominant cycle period input. What is Ehlers Early Onset Trend? The Onset Trend Detector study is a trend analyzing technical indicator developed by John F. Ehlers , based on a non-linear quotient transform. Two of Mr. Ehlers' previous studies, the...

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Adaptive Trend Cipher Highly experimental! Features: -Implements 5 different Dominant Adaptive Cycle Measures to determine optimal inputs for correlation functions. These cycle calculations include the following: ** * Ehler's Autocorrelation Dominant Cycle * Ehler's Instantaneous Dominant Cycle * Ehler's Band-pass Dominant Cycle * Ehler's Hilbert Period...

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In Finance, people usually assume the price follows a random walk or more precisely geometric Brownian motion. In 1988, Lo and MacKinlay came up with the variance ratio test to refute the random walk hypothesis and efficient market hypothesis. The variance ratio test is a simple test for market efficiency, autocorrelation, and whether price follows a random walk....

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Ehlers Correlation Trend Indicator CTI by Cryptorhythms 📜Intro In his article “Correlation As A Trend Indicator” in issue May 2020 of TASC, author John Ehlers introduces a new trend indicator that is based on the correlation between a security’s price history and the ideal trend: a straight line. He describes methods for using the indicator to not only...

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Warning! Frequently hits the execution time limit for scripts. Especially on initially adding to your chart. Often requires toggling show/hide indicator to get it to complete script execution within the time limit. YMMV! From TASC Sept 2016 this is Ehler's Autocorrelation periodogram. A means of determining the dominant cycle ("ideal" indicator length /...

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Ehlers Autocorrelation Periodogram contains two versions of Ehlers Autocorrelation Periodogram Algorithm. This indicator is meant to supplement adaptive cycle indicators that myself and others have published on Trading View, will continue to publish on Trading View. These are fast-loading, low-overhead, streamlined, exact replicas of Ehlers' work without any...

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Ehlers Adaptive Relative Strength Index (RSI) is an implementation of RSI using Ehlers Autocorrelation Periodogram Algorithm to derive the length input for RSI. Other implementations of Ehers Adaptive RSI rely on the inferior Hilbert Transformer derive the dominant cycle. In his book "Cycle Analytics for Traders Advanced Technical Trading Concepts", John F....

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Level: 2 Background @pips_v1 has proposed an interesting idea that is it possible to code an "Adaptive Jon Andersen R-Squared Indicator" where the length is determined by DCPeriod as calculated in Ehlers Sine Wave Indicator? I agree with him and starting to construct this indicator. After a study, I found "(blackcat) L2 Ehlers Autocorrelation Periodogram"...

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Fast estimation of an autocorrelogram, more commonly called autocorrelation function (ACF). The script sets the maximum lag as 10*log10(N)-1 and sets the autocorrelation at lag 0 to 1. Length controls the number of past observations of Src to use as input, while Differentiate Src perform first order differencing to Src before calculating the...

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Adaptive Moving Averages are nothing new, however most of them use EMA as their MA of choice once the preferred smoothing length is determined. I have decided to make an experiment and separate length generation from smoothing, offering multiple alternatives to be combined. Some of the combinations are widely known, some are not. This indicator is based on my...

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This indicator shows the Pearson correlation coefficient between different periods of one financial instrument. Two dates are set, which are the starting points of two series, between which the correlation coefficient is calculated. The correlation period is taken from the difference of the current date from the second reference point. The indicator is designed to...

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A complimentary indicator to my Adaptive MA constructor. It calculates the difference between the two MA lines (inspired by the Moving Average Difference (MAD) indicator by John F. Ehlers). You can then further smooth the resulting curve. The parameters and options are explained here: The difference is normalized by dividing the difference by twice its Root mean...

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A tool to plot auto correlation of time series, this is useful in identifying periodicity in a time series or signal. Due to the limits of Pine Script you'll need to add it multiple times if you want autocorrelation beyond 55 periods. I have added it 4 times here for 220 periods. For more information on Autocorrelation see: en.wikipedia.org Note: There are 1...

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