[GH-152] Extract Kaufman's Adaptive Moving Average #153
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The Efficiency Ratio (ER) is calculated by dividing the price change over a period by the absolute sum of the price movements that occurred to achieve that change. The resulting ratio ranges between 0 and 1 with higher values representing a more efficient or trending market. The default column is close. The default window is 10. Formular: * window_change = ABS(close - close[n]) * last_change = ABS(close-close[1]) * volatility = moving sum of last_change in n * KER = window_change / volatility Examples: * `df['ker']` retrieves the 10 periods KER of the close price * `df['high_5_ker']` retrieves 5 periods KER of the high price
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## master #153 +/- ##
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+ Coverage 98.26% 98.71% +0.44%
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+ Misses 16 12 -4
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The Efficiency Ratio (ER) is calculated by
dividing the price change over a period by the
absolute sum of the price movements that occurred
to achieve that change.
The resulting ratio ranges between 0 and 1 with
higher values representing a more efficient or
trending market.
The default column is close.
The default window is 10.
Formular:
Examples:
df['ker']retrieves the 10 periods KER of the close pricedf['high_5_ker']retrieves 5 periods KER of the high price