Efficiency

Calculation:

Efficiency Ratio = direction / volatility

where

direction = Absolute Value(Momentum(Time Series, Periods))

volatility = ∑ Absolute Value(Momentum(Lag(Time Series, n), 1), where n = 0 to Periods – 1

∑ represents the sum of values across a range of values (in this case n)

Absolute Value represents Absolute Value

Momentum represents Momentum

Lag represents Lag

Discussion:
Provides a ratio of direction to volatility, which shows how efficiently an issue moves from one price to another over a period of time.