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Registered User
Joined: 11/29/2006
Posts: 181
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Hi,
Can you please help me with the following PCF's:
1. Efficiency Ratio (20 bars) breaking through 0.30 to the upside today
2. Efficiency Ratio (20 bars) breaking through -0.30 to the downside today
I define efficiency ratio as:
ER= (Todays Close minus Close 20 Days Ago) / Summation of the Absolute Value of the Each Days Close minus the Prior Days Close over the last 20 Days
Above formula should return values between -1 and +1.
Thank you
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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QUOTE (dulakovic) Efficiency Ratio (20 bars) breaking through 0.30 to the upside today
(C - C20) / (ABS(C - C1) + ABS(C1 - C2) + ABS(C2 - C3) + ABS(C3 - C4) + ABS(C4 - C5) + ABS(C5 - C6) + ABS(C6 - C7) + ABS(C7 - C8) + ABS(C8 - C9) + ABS(C9 - C10) + ABS(C10 - C11) + ABS(C11 - C12) + ABS(C12 - C13) + ABS(C13 - C14) + ABS(C14 - C15) + ABS(C15 - C16) + ABS(C16 - C17) + ABS(C17 - C18) + ABS(C18 - C19) + ABS(C19 - C20)) > .3 AND (C1 - C21) / (ABS(C1 - C2) + ABS(C2 - C3) + ABS(C3 - C4) + ABS(C4 - C5) + ABS(C5 - C6) + ABS(C6 - C7) + ABS(C7 - C8) + ABS(C8 - C9) + ABS(C9 - C10) + ABS(C10 - C11) + ABS(C11 - C12) + ABS(C12 - C13) + ABS(C13 - C14) + ABS(C14 - C15) + ABS(C15 - C16) + ABS(C16 - C17) + ABS(C17 - C18) + ABS(C18 - C19) + ABS(C19 - C20) + ABS(C20 - C21)) <= .3
QUOTE (dulakovic) Efficiency Ratio (20 bars) breaking through -0.30 to the downside today
(C - C20) / (ABS(C - C1) + ABS(C1 - C2) + ABS(C2 - C3) + ABS(C3 - C4) + ABS(C4 - C5) + ABS(C5 - C6) + ABS(C6 - C7) + ABS(C7 - C8) + ABS(C8 - C9) + ABS(C9 - C10) + ABS(C10 - C11) + ABS(C11 - C12) + ABS(C12 - C13) + ABS(C13 - C14) + ABS(C14 - C15) + ABS(C15 - C16) + ABS(C16 - C17) + ABS(C17 - C18) + ABS(C18 - C19) + ABS(C19 - C20)) < (-.3) AND (C1 - C21) / (ABS(C1 - C2) + ABS(C2 - C3) + ABS(C3 - C4) + ABS(C4 - C5) + ABS(C5 - C6) + ABS(C6 - C7) + ABS(C7 - C8) + ABS(C8 - C9) + ABS(C9 - C10) + ABS(C10 - C11) + ABS(C11 - C12) + ABS(C12 - C13) + ABS(C13 - C14) + ABS(C14 - C15) + ABS(C15 - C16) + ABS(C16 - C17) + ABS(C17 - C18) + ABS(C18 - C19) + ABS(C19 - C20) + ABS(C20 - C21)) >= (-.3)
You may wish to review the following:
How to create a Personal Criteria Forumula (PCF)
PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 1/1/2005
Posts: 2,645
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The Kaufman Efficiency Ratio (KER) is Wilder's Relative Strength Index (RSI) to a different scale. Please see:
Wilder RSI and Related Indicators
With this observation, the PCFs provided by Bruce can be shortened to:
QUOTE (Bruce_L) QUOTE (dulakovic) Efficiency Ratio (20 bars) breaking through 0.30 to the upside today
RSI20.1.0/50 - 1 > 0.3 AND RSI20.1.1/50 - 1 <= 0.3
QUOTE (dulakovic) Efficiency Ratio (20 bars) breaking through -0.30 to the downside today
RSI20.1.0/50 - 1 < (-0.3) AND RSI20.1.1/50 - 1 >= (-0.3)
Thanks,
Jim Murphy
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Registered User
Joined: 11/29/2006
Posts: 181
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Thank you Bruce and Jim.
Is it possible to use above formula to create a custom indicator in Blocks?
Efficiency Ratio indicator exists in Blocks, but when I compared it with indicator I created in Telechart using above Bruce's formula, it does look different. I am not sure what the difference is , but it is significant.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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dulakovic,
The Efficiency Ratio in Stockfinder is generally going to be the Absolute Value of the version you have presented. It measure the efficiency only without giving directionality.
If you right-click on the Efficiency Ratio Indicator in StockFinder and select Block Diagram, you can run the Difference Block directly into Input1 of the Ratio Block and delete the Line Absolute Block that was between the two Blocks (leaving the other Line Absolute Block in the Block Diagram untouched).
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 11/29/2006
Posts: 181
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Thank you Bruce.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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dulakovic,
You're welcome. Our pleasure.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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 Gold Customer
Joined: 3/20/2006
Posts: 161
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I have taken the above long PFC and placed them in Indicator and it says"must not be boolean formula" What am I doing wrong.? Trying to get dfficiency ratio indicator to show above +30 and below -30.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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jpag1,
You would need to place them in a Custom Percent True Indicator, not a standard Custom Indicator.
Visually Backtesting Specific Symbols
Plotting Custom Indicators with Examples
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Gold Customer
Joined: 3/20/2006
Posts: 161
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I have placed them in % true, but only get a chart with spikes.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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QUOTE (dulakovic) 1. Efficiency Ratio (20 bars) breaking through 0.30 to the upside today
2. Efficiency Ratio (20 bars) breaking through -0.30 to the downside today
QUOTE (jpag1) Trying to get dfficiency ratio indicator to show above +30 and below -30.
Yes, the spikes represent when the efficiency ratio is going up through .3 or down through -.3. If you want to actually Plot the 20-Period Efficiency Ratio, please try Plotting the following formula as a Custom Indicator:
RSI20 / 50 - 1
Or, based on your references to +30 and -30 instead of .3 and -.3:
2 * RSI20 - 100
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Gold Customer
Joined: 3/20/2006
Posts: 161
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Thanks all I need to do now is find out how to set top line at +30 and bottom line at -30.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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jpag1,
I do not know of a practical automated method of drawing lines at those levels for a Custom Indicator in TeleChart.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Gold Customer
Joined: 3/20/2006
Posts: 161
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thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You're welcome.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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