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Efficiency Ratio by Perry Kaufman

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))

 

e-w-Efficiency_Ratio.gif
Source / From: TOP
http://www.DeBry.com

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