Ehlers Correlation Cycle, Phasor Angle, and Market State Indicator

Summary

This indicator combines three related views of a price series: the real and imaginary components of its correlation with a rotating sine and cosine reference, a derived correlation angle, and a categorical market-state reading. The correlation calculation uses a configurable lookback period and normalizes each component. The angle function converts the components into degrees and applies a rule to limit certain downward jumps, while the market-state function labels the angle as positive or negative when its change from the prior bar stays within a configurable degree threshold; otherwise it returns a neutral state.

The script lets the user display any one of these views and choose the source, period, and state threshold. Its description attributes the approach to John Ehlers and presents the code as an implementation of the concepts, but gives no market tests, trading rules, or evidence of predictive value. These outputs are analytical signals rather than a standalone strategy, and their interpretation depends on parameter choices and the behavior of the input series.

Key ideas

• The indicator presents normalized real and imaginary correlations against a periodic reference over a selected lookback.
• It derives a degree-based angle from those components and applies a rule to constrain some angle changes.
• Market state is classified by the angle’s sign when its change remains below a chosen threshold.
• Users can select the displayed view, source series, period, and state threshold.
• The document explains the calculations but provides no evidence of predictive performance or a complete trading strategy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.