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Kaufman's Efficiency Ratio

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Syntax

public ER(DataSeries ds, int period, string description)
public static ER Series(DataSeries ds, int period)

Parameter Description

ds Data series
period Indicator lookback period

Description

The Efficiency Ratio was invented by Perry J. Kaufman and presented in his book "New Trading Systems and Methods".

It's calculated by dividing the net change in price movement over N periods by the sum of all component moves, taken as absolute numbers, over the same N periods.

Interpretation

ER can be considered as a ratio of the price direction to its volatility. The more efficient the market is, the faster is its trend.

Reference


Example

No example currently available.

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