Re: kaumann efficiency ratio

[Andrew <andrew@xxxxxxxxx>]

Canyon678@xxxxxxx wrote:

> Gary Fritz, Larry, Robert Cummings , other coding enthusiasts, have you coded
> the "kaumann efficiency ratio" . Can anyone post the *.ela.
>
> I checked it in excel, seems to work "ok".
> Mike

{=================================================================
 Function:     Efficiency
 Last Edit:    30 August 1999
 Author:       ASP
=================================================================}
INPUTS:     Price(NumericSeries),
            Length(NumericSimple);

VARS:       Theoretical(0),  Return(0);

Theoretical = Summation( AbsValue( Price[0] - Price[1] ), Length );
Return =
IFF (     Theoretical <> 0,
          ( AbsValue( Price[0] - Price[Length] ) /  Theoretical ),
          0
    );

Efficiency = Return;