Efficiency Ratio (Kaufman)

Category: volatility, momentum

Measures the ratio between net price displacement and the sum of absolute price movements over a period to quantify market efficiency (trending vs sideways/noise).

Formula

ER = |Close[i] - Close[i-n]| / Σ_{j=0}^{n-1} |Close[i-j] - Close[i-j-1]|

Inputs

• InpEfficiencyPeriods (default: 20)
• InpNoiseThresholdLevel (default: 0.25)

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