Noise measuring functions

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I've don't have a background in data science and I've been reading Perry Kaufman's Trading Systems and Methods and I'm trying to filter out some of the trades that are happening during more noisy times in the market, e.g. when prices is chopping around a lot as my strategies work best during trends. He mentions a few functions, efficiency ratio, fractal dimension and price density and X. But I'm struggling to find this function in any python libraries. Could someone point me in the right direction?

Thanks 

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Hi Eddy,

The only python library I was able to find that supported one of these methods is the FractalDimension library. However, all of the methods have the formulas defined in Kaufman's book. I recommend just creating a custom indicator for each of the formulas. This thread demonstrates how to create a custom python indicator.

Best,
Derek Melchin

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks for the tips Derek I'll check that library out and will look into creating the formulas in an indicator. Can you recommend any resources I can look at to learn how to read the formulas? 

Thanks

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Hi Eddy,

To read the formulas in Kaufman's book, we need to understand: sigma notation, absolute value, derivatives, and logs. Google has countless resources on these topics. Don't hesitate to ask the community either!

Best,
Derek Melchin

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks Derek, that's really helpful, I will get cracking researching those topics!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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