Kaufman's Efficiency Ratio (er)

Kaufman’s Efficiency Ratio (ER) compares the net displacement of a series with the full distance it traveled over the length period. When that period contains an uninterrupted run of defined values, the result lies between 0 and 1 and describes how direct the path was, independently of its direction.

A value near 1 means that successive changes formed an almost straight move. A value near 0 means that those changes largely canceled one another out, or that the series did not move. A steady rise and a steady decline can therefore produce the same high reading: ER measures the efficiency of the move, not its direction.

Block declaration#

A strategy can contain multiple [[er]] blocks. Each block produces a numeric series identified by its id field.

The calculation uses close by default. Set source to use another price series or the output of another indicator.

Examples#

Minimal setup#

This block uses the default close source and the default length of 10.

[[er]]
id = "efficiency"

Custom fixed setup#

This block measures the efficiency of the hl2 source over 20 candles.

[[er]]
id     = "efficiency"
source = "hl2"
length = 20

Finding the optimal length#

This block explores the lengths 5, 10, 15, 20, 25, and 30. Whale-E runs one grid combination for each value so you can compare their effect on the strategy’s results.

[[er]]
id           = "efficiency"
length.start = 5
length.stop  = 30
length.step  = 5

Efficiency filter with a threshold#

This example uses ER to let the strategy continue only when the recent move is efficient enough. The [[constant]] block varies er_threshold from 0.3 to 0.7 during the grid search.

The condition becomes true when efficiency > er_threshold. A low threshold accepts choppier paths, while a high threshold keeps only the cleanest moves. Because ER does not indicate direction, this filter can trigger during either a rise or a decline.

[[er]]
id = "efficiency"

[[constant]]
id    = "er_threshold"
start = 0.3
stop  = 0.7
step  = 0.1

[[condition]]
id            = "directional_market"
condition     = "efficiency > er_threshold"
next_block_id = "..."

Dedicated symbol and timeframe#

This block uses the four-hour closing prices from BINANCE:ETHUSDT, independently of the primary symbol and timeframe defined in [backtest]. See Exchanges, Symbols and Timeframes for accepted formats and alignment rules.

[[er]]
id        = "efficiency_4h"
symbol    = "BINANCE:ETHUSDT"
timeframe = "240"

Parameters#

Available variables#

Use the identifiers below directly in your expressions. The ER block exposes its numeric series and length, together with its input source, symbol, and timeframe.

Assume the block is configured as follows:

[[er]]
id = "efficiency"

Then:

Notes

• If the source contains NaN values, the engine retains the most recent valid changes for the denominator. Once the current and lagged values are defined again, the output may exceed 1. The 0 to 1 range is guaranteed only for a continuous window with no missing values.
• Numeric variables support arithmetic, comparisons, and logical operators.
• Text variables are strings intended for equality and inequality checks only.