Kaufman Efficiency Ratio

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    Mathew
    Mathew
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    Perry Kaufman developed this indicator to measure the efficiency of a move in the market.

    ER = Direction / Volatility

    If the move was in one direction and there was little volatility, then the value would be 1. If there was a lot of volatility, then the denominator would be bigger and the ER would be closer to 0. Changes in trend are unlikely to happen when the ER is high.

    vol1 = CHANGE(INT_COUNT=1);
    vol2= ABS(vol1 );
    vol3 = ACC(vol2, RANGE=Look Back Period, BARS=10);

    dir1 = CHANGE(INT_COUNT=10);
    dir2 = ABS(dir1);

    dir2 / vol3

     

    er

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