StockFetcher Forums · Filter Exchange · Kaufman's efficiency ratio<< >>Post Follow-up
push5280
98 posts
msg #122546
Ignore push5280
1/17/2015 9:34:23 PM

Anyone care to try their hand coding this? I think it's beyond my expertise http://etfhq.com/blog/2011/02/07/kaufmans-efficiency-ratio/

four
4,012 posts
msg #122547
Ignore four
modified
1/18/2015 1:16:13 AM

"...take the absolute CMO and divide by 100 you you get the Efficiency Ratio."

Fetcher[
set{abs_cmo,abs(cmo(20,9))}
set{eff_ratio, abs_cmo / 100}
draw eff_ratio

close > 1
]




push5280
98 posts
msg #122548
Ignore push5280
1/18/2015 12:31:49 PM

Thanks Four, I appreciate your help


Kevin_in_GA
4,553 posts
msg #122549
Ignore Kevin_in_GA
modified
1/18/2015 12:39:49 PM

I would not use the absolute value here - you want to know which are highly negative (go long) versus those that are highly positive (go short).

Fetcher[
market is S&P 500
set{KEF, cmo(20)/100}
add column kef
sort on column 5 ascending
]



four
4,012 posts
msg #122550
Ignore four
modified
1/18/2015 1:36:36 PM

push,

Try this explanation:
http://www.asiapacfinance.com/blog/2012/12/20/how-to-take-profit-kaufmans-efficiency-ratio/

push5280
98 posts
msg #122551
Ignore push5280
1/18/2015 2:47:17 PM

Thanks again Kevin and Four, I appreciate your help

Kevin_in_GA
4,553 posts
msg #122630
Ignore Kevin_in_GA
1/27/2015 1:38:44 PM

@four: Interesting read, but it seems that the author is advocating using the efficiency ratio for exits rather than entries. This basic idea is also part of most of Larry Connors filters using a different metric (number of consecutive down days). I played with this a while back looking on Stratasearch and you can make a reasonably decent system with it. Not crushing the market, but OK.

StockFetcher Forums · Filter Exchange · Kaufman's efficiency ratio<< >>Post Follow-up

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