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Yes, Johan, that is it! Thanks.
I'll post the final version for my tight rising
channel screen as soon as I get it done (after
spending the weekend trying to figure out how i can
reduce my 2005 tax liability by about $850).
Thanks again!
--- johsun <joh.sun@xxxxxxxx> wrote:
> 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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