İndikatör Efficiency Ratio by Perry Kaufman

algoritma · 29 Eki 2020

From page 613 of Trading Systems and Methods, 3rd Edition, by Perry J.Kaufman,
the Efficiency Ratio is defined as:

Net PriceChange
ER = -------------------------------------------------------------
Sum of price changes as positive values

Efficiency Ratio
TimePeriods := Input("Time periods",1,10000,10);

(Abs(CLOSE - Ref(CLOSE,-TimePeriods))) /
(Sum(Abs(CLOSE-Ref(CLOSE,-1)),TimePeriods))

Market Efficiency Ratio:

pds:= Input("Periods",3,200,8);
Speed:= C - Ref(C, -pds);
Volatility:= Sum(Abs(C - Ref(C, -1)),pds);
Efficiency:= Speed / Volatility;
MER:= Mov(Mov(Efficiency, 5,E),3,E);
MER;

�

Source / From:
http://www.DeBry.com

algoritma · 5 Eyl 2022

Perry Kaufman’s efficiency ratio

Kod:

tp:= 10; {time periods}
Abs( ROC( C, tp, $) ) / Sum( Abs( ROC( C, 1, $) ), tp)

Kod:

Buy:
er := Mov( Abs( ROC( C, 24, $) ) / Sum( Abs( ROC( C, 1, $) ), 24), 3, S);
( (Cross( er, .36) AND er < .42 AND er > Ref(er, -3)) OR
(Cross(er, .26) AND er > 2.5*LLV(er, 3) ) )
AND C > Mov(C, 50, S)
Sell:
Cross( Mov(C, 50, S), C )
Sell short:
er := Mov( Abs( ROC( C, 24, $) ) / Sum( Abs( ROC( C, 1, $) ), 24), 3, S);
( (Cross( er, .36) AND er < .42 AND er > Ref(er, -3)) OR
(Cross(er, .26) AND er > 2.5*LLV(er, 3) ) )
AND C < Mov(C, 50, S)
Buy to cover:
Cross( C, Mov(C, 50, S) )

Benzer Konular	Forum	Tarih
Amibroker Bollinger Band Fibonacci Ratio and Heikin Ashi (AFL)	B	19 Şub 2022
Amibroker Volatility Ratio for Amibroker (AFL)	V	5 Şub 2022
Tarama 52 Week Hi-Lo Exploration	#	6 Kas 2020
Tarama Zero Lag EMA Exploration	Z	6 Kas 2020
Tarama Wolfe Waves Exploration	W	5 Kas 2020
Tarama Volatility Breakout Exploration	V	5 Kas 2020
Tarama Volume Based Exploration	V	5 Kas 2020
Tarama Triple MA I Exploration	T	4 Kas 2020
Tarama SAR Exploration	S	4 Kas 2020
Tarama Short-term Bottom Reversals Exploration	S	4 Kas 2020
Tarama Sideways Channels Exploration	S	4 Kas 2020
Tarama Smooth Stocks Exploration	S	4 Kas 2020
Tarama Specialised Moving Average Exploration by Rakesh Sahgal	S	4 Kas 2020
Tarama StochRSI Exploration	S	4 Kas 2020
Tarama Regression Oscillator & Slope/Close Indicator Exploration	R	2 Kas 2020
Tarama RS vs. S&P 500 Exploration by Jim and Kerry Thorley	R	2 Kas 2020
Tarama RSI Bullish & Bearish Divergence Exploration	R	2 Kas 2020
Tarama RSI and Price Exploration	R	2 Kas 2020
Oscillator Polarized Fractal Efficiency by Hans Hannula	P	2 Kas 2020
Oscillator Fractal Efficiency %	F	29 Eki 2020

Teknik Analiz Dünyasına Hoşgeldiniz.

Paylaşmak ◄ ► Güzeldir

İndikatör Efficiency Ratio by Perry Kaufman

algoritma

algoritma

Forumdan daha fazla yararlanmak için giriş yapın yada üye olun!