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I'd like to employ a variation of Kaufman's Efficiency Ratio to help
screen for stocks in tight rising channels. Specifically, I'd like to
compare a stock's ROC weighted by it's Efficiency Ratio to that of a
market index to screen out stocks that are outperforming the index on
a volatiliy adjusted basis. (I realize there are other ways to
approach this, but I'd like to try this approach).
The standard version of the Efficiency Ratio is defined as the
absolute value of direction over volatility where ...
Direction = C - Ref(C, -periods);
Volatility = Sum(Abs(ROC(C,1), periods);
I'd like, instead, to define Direction as the last (y) value of a
static (non-moving) linear regression line minus the first (y) value
of the static linear regression line.
I'd like to define Volatility as the "scatter" at each point along
the static linear regression line ... something like ...
Sum(Abs(C - LinearReg(C, periods)), periods);
... except that this uses the moving linear regression calculation.
I'd like to keep the start point of the regression line constant so
that I can measure the efficiency ratio from a static reference point
(a technical low).
I've stumbled through some code for a static linear regression line
(link below), but cannot figure our how to determine the beginning
and ending points.
http://www.amibroker.com/library/detail.php?id=193&hilite=LASTVALUE
Any suggestions?
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