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Kaufman volatility and efficiency ratio indicators

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Kaufman volatility and efficiency ratio indicators

Postby Alexander.Gettinger » Mon Mar 21, 2011 2:09 am

Indicators is written according to Perry Kaufman books "Smarter Trading" and "Trading Systems & Methods".

Formulas for volatility indicator:
Volatility[i]=(DiffPrice[i]+DiffPrice[i-1]+...+DiffPrice[i-Period])/Period, where
DiffPrice[i]=Abs(close[i]-close[i-1]).

Formulas for efficiency ratio indicators:
Ratio[i]=Abs(close[i]-close[i-Period])/Volatility(i).

Kaufman.png


Download Kaufman volatility indicator:
Kaufman_Volatility.lua
(1.2 KiB) Downloaded 430 times


Download Kaufman efficiency ratio indicator:
Kaufman_Efficiency_Ratio.lua
(1.34 KiB) Downloaded 446 times
Alexander.Gettinger
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Re: Kaufman volatility and efficiency ratio indicators

Postby nazaar » Tue Mar 06, 2012 12:53 am

hello,

any suggestion how to interpret and trade these indicators?

thank you.
nazaar
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Re: Kaufman volatility and efficiency ratio indicators

Postby Coondawg71 » Thu Jul 04, 2013 10:23 am

Can we please request this version of Kaufman Efficiency Ratio Indicator converted to lua.

thanks,

sjc
http://www.thinkscripter.com/indicator/ ... ncy-ratio/
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Re: Kaufman volatility and efficiency ratio indicators

Postby Apprentice » Fri Jul 05, 2013 6:01 am

ker.png


incrementalTotalChang = math.abs(median - median[-1]);
NetChange =median -median[length];
TotalChange =sum(incrementalTotalChange, length);
ERatio = (NetChange/TotalChange) * 100;
Average = Avg of ERatio

KER.lua
(4.83 KiB) Downloaded 233 times
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Re: Kaufman volatility and efficiency ratio indicators

Postby Apprentice » Sun Mar 08, 2015 7:44 am

Bump Up.
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Re: Kaufman volatility and efficiency ratio indicators

Postby Apprentice » Sun Aug 13, 2017 6:05 am

The indicator was revised and updated.
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