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Kaufman Efficiency Study


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  #11 (permalink)
 traderjcf 
Amherst, New York
 
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Fat Tails View Post
I have revisited the indicator and slightly modified, by using a different formula for the signal line. The indicator and the chart are attached below.

Short explanation of the indicator.

A market is trending or efficient, if it does not move forth and back all the time. To find out whether it is smoothly moving in one direction, Perry Kaufman used the absolute amount of the n-bar momentum and compared this to the sum of the absolute amounts of the last n 1-bar momentum. A random walk is unlikely to produce 10 steps in the same direction, a trending market will. Here are the formulae:

signal : absolute amount of the last n-bar price move (n-bar momentum)
noise: sum of the absolute amounts of the last n 1-bar price moves (1-bar momentum)
efficiency ratio: signal/noise * 100

I have slightly modified the formula by substituting the momentum with the balanced momentum (see download section). I have then added a signal line, which is an EMA of the efficiency ratio based on a smoothing period.


Could "Up Trend" "Down Trend" "Chop" labels be added to appear in left corner of chart??

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  #12 (permalink)
 
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 Fat Tails 
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traderjcf View Post
Could "Up Trend" "Down Trend" "Chop" labels be added to appear in left corner of chart??

This is possible, but would require a (simple) custom plot. I will not have the time to do that during the next days. Maybe you could try this thread


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  #13 (permalink)
 traderjcf 
Amherst, New York
 
Experience: Advanced
Platform: NinjaTrader
Trading: ES, 6E
Posts: 76 since Jun 2010
Thanks Given: 14
Thanks Received: 18



Fat Tails View Post
This is possible, but would require a (simple) custom plot. I will not have the time to do that during the next days. Maybe you could try this thread


I'll check it out...

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Last Updated on August 3, 2013


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