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Technical Studies Reference

Kaufman Efficiency Ratio

This study calculates and displays a Kaufman Efficiency Ratio of the data specified by the Input Data Input.

Let \(X\) be a random variable denoting the Input Data, and let \(X_t\) be the value of the Input Data at Index \(t\). Let the Input Length be denoted as \(n\).

We compute the Direction as follows.

\(|X_t - X_{t - n}|\)

We compute the Volatility as follows.

\(\displaystyle{\sum_{i = t - n + 1}^t |X_i - X_{i - 1}|}\)

The Kaufman Efficiency Ratio at Index \(t\) is denoted as \(KER_t(X,n)\). We compute it as follows (provided that the Volatility is not zero).

\(\displaystyle{KER_t(X,n) = \frac{|X_t - X_{t - n}|}{\sum_{i = t - n + 1}^t |X_i - X_{i - 1}|}}\)



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*Last modified Monday, 26th September, 2022.