Kaufman's Efficiency Ratio Indi Needed | Forex Factory

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Kaufman's Efficiency Ratio Indi Needed

  • #1
  • First Post: Aug 28, 2010 3:53pm Aug 28, 2010 3:53pm
Hi All,

I am trying to do some testing with Kaufman's Efficiency Ratio but I am horrible at programing. I was wondering if there was someone out there who knows of the ratio and could help me program an indicator for MT4. I would love to talk about my ideas with anyone that is willing to help. Thanks to all of you here at forex factory for contributing and helping us all to learn from eachother.

Warm Regards
  • #2
  • Aug 28, 2010 6:34pm Aug 28, 2010 6:34pm
If you search under the codebreaker thread, I believe mbkennel gave an example towards the end.
  • #3
  • Aug 30, 2010 6:35am Aug 30, 2010 6:35am
Thanks I appreciate the advice and will give it a look!
  • #4
  • Aug 30, 2010 7:03am Aug 30, 2010 7:03am
Quoting redsox326
Hi All,

I am trying to do some testing with Kaufman's Efficiency Ratio but I am horrible at programing. I was wondering if there was someone out there who knows of the ratio and could help me program an indicator for MT4.
I believe the attached indi should be helpful.

Quoting redsox326
I would love to talk about my ideas
I'm all ears...
Attached File(s)
File Type: mq4 KEfficiencyRatio.mq4   < 1 KB | 1,165 downloads
  • #5
  • Aug 31, 2010 4:24am Aug 31, 2010 4:24am
Hey Ipso,

Thanks so much for the indicator it was just what I was looking for. My idea is nothing to complicated. I am trading a trend following system using an MA methodology. The idea with the Kaufman Ratio is that I could use it to identify the end of a trend by seeing when the market was less efficient and that would help me exit the trend at the right time. I am not sure if this will work or not I need to do the backtesting first. I just thought it might be an interesting idea to test. What do you think?

Thanks again
  • #6
  • Aug 31, 2010 6:18am Aug 31, 2010 6:18am
Quoting redsox326
I just thought it might be an interesting idea to test. What do you think?
hello mate, yes I think that's a good idea. I use the efficiency ratio myself for a similar purpose. As I don't like giving too much profit back to the market I get ready to close a position when 8-period eff ratio on H1 goes above/below 0.6/-0.6. You can try that too if H1 is the TF of your choice. I'd be interested to see your results.
  • #7
  • Sep 1, 2010 6:11am Sep 1, 2010 6:11am
Right on Ipso I will def let you know how things go. I am actually identifying short term trends on the one hour then stalking them on the 5 min TF with and MA methodology I got on this forum with an exit and position sizing strategy that I created myself.
  • #8
  • Mar 18, 2011 4:19am Mar 18, 2011 4:19am
I hope this could help you.
Attached File(s)
File Type: mq4 b_Kaufman_Efficiency_Ratio.mq4   3 KB | 779 downloads
  • #9
  • Mar 18, 2011 10:59am Mar 18, 2011 10:59am
Interesting. Same indicator different readings. I wonder!! Which one is right?

Perhaps, just a visual thing.
  • #10
  • Mar 18, 2011 11:38am Mar 18, 2011 11:38am
the code posted in post 4 is correct and very clearly coded. The second one I didnot bother to look at as its not coded as clearly.

I played with the ER some time back as a variable for fixed input indicators. Success was mixed.

Keit




Quoting h4xforum
Interesting. Same indicator different readings. I wonder!! Which one is right?

Perhaps, just a visual thing.
Trader Keit ... Methods Of A Dirt Road Mad Man....
  • #11
  • Mar 21, 2011 5:01pm Mar 21, 2011 5:01pm
I think the code posted in post 4 is wrong.

Line 36 should be...
Inserted Code
double pc = [b]MathAbs([/b]Close[x] - Close[x+period][b])[/b];
instead of...
Inserted Code
double pc = Close[x] - Close[x+period];
and line 38 should be...
Inserted Code
for(y=x ; y<x+period ; y++);
instead of...
Inserted Code
for(y=x ; y<=x+period ; y++);
See Perry J. Kaufman, "Trading Systems and Methods. Third Edition" (John Wiley & Sons, 1998, pp. 437) and Perry J. Kaufman, "Smarter Trading" (McGraw-Hill, 1995, pp. 134-141)
  • #12
  • Mar 21, 2011 8:12pm Mar 21, 2011 8:12pm
barmenteros

you are very correct in your assessment there are two errors in the code as you pointed out.

Keit

by the way that book is worth reading.




Quoting barmenteros
I think the code posted in post 4 is wrong.

Line 36 should be...
Inserted Code
double pc = [b]MathAbs([/b]Close[x] - Close[x+period][b])[/b];
instead of...
Inserted Code
double pc = Close[x] - Close[x+period];
and line 38 should be...
Inserted Code
for(y=x ; y<x+period ; y++);
instead of...
Inserted Code
for(y=x ; y<=x+period ; y++);
See Perry J. Kaufman, "Trading Systems and Methods. Third Edition" (John Wiley & Sons, 1998, pp. 437) and Perry J. Kaufman, "Smarter Trading" (McGraw-Hill, 1995, pp. 134-141)
Trader Keit ... Methods Of A Dirt Road Mad Man....
  • #13
  • Mar 22, 2011 9:46am Mar 22, 2011 9:46am
Yes, both of them are indispensable books at my forex library.
  • #14
  • Mar 22, 2011 2:21pm Mar 22, 2011 2:21pm
barmenteros

yes, I have all his work.

He has another book out a few years now, called 'A quick course in technocial anaylsis' It was not his best work. but, it would be good for beginners as a reference on TA. He made mention of how to project a moving average forward one day that I though was interesting but have not followed up on it. I am not were I can get a hold of that book to tell anything about it right now. I think that was the only thing in that book I found interesting though.

Keit
Trader Keit ... Methods Of A Dirt Road Mad Man....
  • #15
  • Mar 23, 2011 6:15pm Mar 23, 2011 6:15pm
keit, thanks for sharing the information. greetings
  • #16
  • Mar 28, 2011 2:50pm Mar 28, 2011 2:50pm
Quoting barmenteros
keit, thanks for sharing the information. greetings


barmenteros

I had time sunday when the market was closed and wrote an indicator that predicts (trys too) the next bar mid price useing the idea from Parry's last book that I mentioned above.

I altered his idea in that I instead of trying to predict the next bars close I made one to predict the next bars mid point. Now, that prediction is done at the bars Open time, not at the close of the bar. That is I wanted to find the bars mid point at the start of the bar. I could not test it yesterday so I ran it today in an seperate window.

I made it to run only 30 bars back as I figured that being predictive it was not of any use to do all the calculations back any ferther. These are screen shots of the indicator the yellow hash markets are the actual predictions. In the second screen shot I removed the lines so just the yellow marks showed.

I had to double check my calculations to see if I may of made a mistake and may of in error be looking forward to get these results BUT then it came to me I am making those marks at the open of the bar so how could I be looking forward this does not repaint.

How would someone make a trailing stop with this?


Keit


Edit[ I am talking about the top indicator called 'the cherry picker' not the lower frame]
Attached Image(s) (click to enlarge)
Click to Enlarge Name: The Cherry Picker with line.jpg Size: 25 KB
Click to Enlarge Name: The Cherry Picker with out line.jpg Size: 26 KB
Trader Keit ... Methods Of A Dirt Road Mad Man....
  • #17
  • Apr 9, 2011 6:42am Apr 9, 2011 6:42am
Hi Keit, I've been very busy these days. What you mention looks interesting but it would be better if you share your index. Greetings
  • #18
  • Apr 9, 2011 10:52am Apr 9, 2011 10:52am
I am testing this currently and have not determined if I what to release this code. It is a very good take profit/exit/stop indicator and I may be planing to use this on my own trading.

People think Iam a Mass hole for not giving out my work, what they dont relize is the amount of time I put into what I do. I also trade for a living and my work is my livilyhood.

If you were an accountant would you spend your week ends doing accounting work for free for people you dont even know. and have your work offered on the internet for others to profit from? I think not, so why are there people here with the welfare additute of your a mass hole for not giveing your work away. Iam not offering any thing for sale either so no PMs please. What you generally see for free on the net has very little value. People that trade dont give there work away. If knowledge is what you want then as for that,

this is not said to you personally but in general


Keit


Quoting barmenteros
Hi Keit, I've been very busy these days. What you mention looks interesting but it would be better if you share your index. Greetings
Trader Keit ... Methods Of A Dirt Road Mad Man....
  • #19
  • Last Post: Apr 10, 2011 11:24am Apr 10, 2011 11:24am
That's your choice and you're within your rights. Greetings,
barmenteros
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