The Efficiency Ratio (ER) was first presented by Perry Kaufman in his 1995 book ‘Smarter Trading‘. It is calculated by dividing the price change over a period by the absolute sum of the price movements that occurred to achieve that change. The resulting ratio ranges between 0 and 1 with higher values representing a more efficient or trending market.

The Kaufman Eifficiency Ratio is also know as Fractal Efficiency. It can be used as a filter to differentiate between trending conditions and sideways markets.

// parameter
// n = 10

Change = ABS(close - close[n])

calc = ABS(close-close[1])

volat = summation[n](calc)

ER = Change / volat

RETURN ER as "Kaufman's Efficiency Ratio"

Download

Filename: Kaufman’s-Efficiency-Ratio-ER.itf

Downloads: 194

Nicolas Master

I created ProRealCode because I believe in the power of shared knowledge. I spend my time coding new tools and helping members solve complex problems. If you are stuck on a code or need a fresh perspective on a strategy, I am always willing to help. Welcome to the community!

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