Reply To: Kaufman Efficiency Ratio

Optuma Forums Optuma Scripting Kaufman Efficiency Ratio Reply To: Kaufman Efficiency Ratio

#60613
AvatarTonia
  • Topics: 8
  • Replies: 11
  • Posts: 19

Hi Optuma
I have attempted to create a script (below) to identify stocks where the efficiency ratio is above 20, but for some reason it generates 0 results, can you tell me where I might be going wrong please?

Efficiency ratio calc as per your script, saved as a script named ‘EfficiencyRatio20’
vol1 = CHANGE(INT_COUNT=1);
vol2= ABS(vol1 );
vol3 = ACC(vol2, RANGE=Look Back Period, BARS=20);
dir1 = CHANGE(INT_COUNT=20);
dir2 = ABS(dir1);
r1 = (dir2 / vol3) – 0.5;
r1 / 0.5 * 100

Script using saved script ‘EfficiencyRatio20’ to identify stocks where Efficiency ratio is above 20
V1 = Script(EfficiencyRatio20);
V2 = V1() > 20;
V1 == 1 and V1[1] == 1 and V2 == 1

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