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) )

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İndikatör Efficiency Ratio by Perry Kaufman

algoritma

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