[amibroker] Re: Exploration for tight rising channels

["johsun" <joh.sun@xxxxxxxx>]

Could this be what you are looking for:



Periods = 40;

end = LinearReg( C, periods );
start = LinRegIntercept( C, periods );
slope = LinRegSlope( C, periods );

for( n = x = 0; n < periods; n++ ) 
x = x + abs( Ref( C, - n ) - ( end - n * slope ) );

Direction = end - start;
Volatility = x;

ER = Direction / Volatility;

Plot( er, "er" , colorRed );

Filter = 1;
AddColumn( er, "er" );




Regards
Johan




--- In amibroker@xxxxxxxxxxxxxxx, "timgadd" <timgadd@xxx> wrote:
>
> 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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