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[GH-152] Extract Kaufman's Adaptive Moving Average #153

Merged
merged 1 commit into from
Jun 23, 2023
Merged

[GH-152] Extract Kaufman's Adaptive Moving Average #153

merged 1 commit into from
Jun 23, 2023

Commits on Jun 23, 2023

  1. [GH-152] Extract Kaufman's Adaptive Moving Average 

    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
    @jealous
    jealous committed Jun 23, 2023
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