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 <[EMAIL PROTECTED]> 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 [email protected], "timgadd" > <[EMAIL PROTECTED]> 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? > > > > > > > __________________________________________________ Do You Yahoo!? Tired of spam? Yahoo! Mail has the best spam protection around http://mail.yahoo.com __________________________________________________ Do You Yahoo!? Tired of spam? Yahoo! Mail has the best spam protection around http://mail.yahoo.com Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
