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Kaufman Efficiency Study
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Kaufman Efficiency Study

  #1 (permalink)
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Kaufman Efficiency Study

I have to upgrade to latest NT7 and need to download an indicator I have on earlier version of 7. It is the Kauffman Efficiency Study but I cannot seem to locate it on the regular or elite download pages. Anyone?

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wireford View Post
I have to upgrade to latest NT7 and need to download an indicator I have on earlier version of 7. It is the Kauffman Efficiency Study but I cannot seem to locate it on the regular or elite download pages. Anyone?


I had modified the Kaufman Efficiency Ratio, the result can be found here:

https://futures.io/elite-circle/770-detecting-chop-10.html#post91414

Will come back with some details later.

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Kaufman Efficiency Revisited - New Version

I have revisited the indicator and slightly modified, by using a different formula for the signal line. The indicator and the chart are attached below.

Short explanation of the indicator.

A market is trending or efficient, if it does not move forth and back all the time. To find out whether it is smoothly moving in one direction, Perry Kaufman used the absolute amount of the n-bar momentum and compared this to the sum of the absolute amounts of the last n 1-bar momentum. A random walk is unlikely to produce 10 steps in the same direction, a trending market will. Here are the formulae:

signal : absolute amount of the last n-bar price move (n-bar momentum)
noise: sum of the absolute amounts of the last n 1-bar price moves (1-bar momentum)
efficiency ratio: signal/noise * 100

I have slightly modified the formula by substituting the momentum with the balanced momentum (see download section). I have then added a signal line, which is an EMA of the efficiency ratio based on a smoothing period.

Attached Thumbnails
Kaufman Efficiency Study-kaufman.jpg  
Attached Files
Register to download File Type: zip KaufmanEfficiency.zip (8.9 KB, 147 views)

Last edited by Fat Tails; May 20th, 2011 at 07:57 PM.
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Kauffman Efficiency

Thanks a ton FT for this and all you do for futures.io (formerly BMT).

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Fat Tails View Post
I have revisited the indicator and slightly modified, by using a different formula for the signal line. The indicator and the chart are attached below.

Short explanation of the indicator.

A market is trending or efficient, if it does not move forth and back all the time. To find out whether it is smoothly moving in one direction, Perry Kaufman used the absolute amount of the n-bar momentum and compared this to the sum of the absolute amounts of the last n 1-bar momentum. A random walk is unlikely to produce 10 steps in the same direction, a trending market will. Here are the formulae:

signal : absolute amount of the last n-bar price move (n-bar momentum)
noise: sum of the absolute amounts of the last n 1-bar price moves (1-bar momentum)
efficiency ratio: signal/noise * 100

Thanks for coding this indicator @Fat Tails and enhancing it. I've converted it to MultiCharts' EasyLanguage for personal use - would you be okay with it if I uploaded that version to the download section? (Of course with credit to you & mr. Kaufman ).

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Jura View Post
Thanks for coding this indicator @Fat Tails and enhancing it. I've converted it to MultiCharts' EasyLanguage for personal use - would you be okay with it if I uploaded that version to the download section? (Of course with credit to you & mr. Kaufman ).

@Jura: Of course! You should not give any credits to me, I did not invent the beast, just modified it .

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Fat Tails View Post
@Jura: Of course! You should not give any credits to me, I did not invent the beast, just modified it .

Thanks FatTails!

MultiCharts users can find the indicator here: Kaufman Efficiency Ratio for MultiCharts.

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Kaufman Efficiency Ratio Update

The Kaufman Efficiency Ratio could not be called from strategies that run in CalculateOnBarClose = false, because I had it initialized with CalculateOnBarClose = true. So I have modified the Initialize() section of the indicator and also slighlty improved the code efficiency.

https://futures.io/download/ninjatrader-7/indicators/935-download.html?view

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Fat Tails View Post
The Kaufman Efficiency Ratio could not be called from strategies that run in CalculateOnBarClose = false, because I had it initialized with CalculateOnBarClose = true. So I have modified the Initialize() section of the indicator and also slighlty improved the code efficiency.

https://futures.io/download/ninjatrader-7/indicators/935-download.html?view

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