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Kaufman Efficiency Ratio

Exported using NT Version 7.0.1000.5

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.

The efficiency ratio compares the absolute amount of the n-period momentum to the sum of the absolute amounts of the last n close-to-close changes. If all close-to-close changes pointed in the same direction - meaning either n consecutive upcloses or n consecutive downcloses - the fractal efficiency will take the value 100. This is an indication for a strong trend. If the n-period momentum takes the value 0, the fractal efficiency becomes 0 as well, indicating chop.

The fractal efficiency is used by the Kaufman Adaptive Moving Average to identify chop periods.

This version of the Kaufman Efficiency Ratio has a few additional options:

Chopline: I have added a chopline, which depends on the period of the Kaufman Efficiency Ratio. The formula for the chopline is 100/Sqrt(period).

Signalline: I have added a signalline by using a Hull Moving Average(HMA). The market starts trending, when the Kaufman Efficiency Ratio has crossed both the signalline and the chopline from below.

Classic/Balanded: The indicator allows for two different ways of calculating the Kaufman Efficiency Ratio. The 'Classic' option uses the original formula of Perry Kaufman. The 'Balanced' option replaces the absolute amount of the n-period momentum with the absolute amount of the n-period balanced momentum, which is based on a triangular moving average.

Update June 22, 2013: Minor modification to make indicator compatible with indicators/strategies running in COBC = false.

Category NinjaTrader 7 Indicators

Details: Kaufman Efficiency Ratio
Category: NinjaTrader 7 Indicators

June 22nd, 2013
Size: 11.07 KB
Downloaded: 2023 times

Keywords: chop efficiencyratio fractalefficiency kama kaufman momentum trend

Comments/ratings

Jura January 21st, 2012 07:00 AM

Thanks FatTails!

theidman February 27th, 2012 04:32 PM

Thank You

Fibbee March 18th, 2012 12:27 AM

Thanks!

Joseph689 June 22nd, 2013 06:41 PM

GREAT work....thanks so very much!!!

longway20 June 23rd, 2013 04:39 AM

Thank you

Taggart June 23rd, 2013 11:34 PM

No Comment

tcwairoa June 24th, 2013 04:07 AM

Nice work FT

iceman4248 June 24th, 2013 09:24 AM

Thanks

marvac July 11th, 2013 12:33 PM

Thanks

Ganymed July 21st, 2013 06:39 AM

Danke f�r die gute Arbeit

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