My Multi-Stops study in the picture is configured with a Chandelier Stop with a 20 period look-back and a volatility coefficient of 2.5. The strategy being backtested used moving average as a filter on the Multi-Stop signals taking only long entries in this example and using the Multi-Stop short signal as an exit. For the five day period there were 6 trades, 4 winners, 2 losers, max drawdown $200, total profit on one ES contract $4012. Full results.

Kaufman Efficiency Ratio

# KAUFMANEFFICIENCYRATIO
# (c) 2009 http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 16 MAR 2009

declare lower;

input length = 20;
input lowerERThreshold = -30;
input upperERThreshold = 30;
input movingAvePeriod = 10;

def NetChange = hl2 - hl2[length];

def incrementalTotalChange = AbsValue(hl2 - hl2[1]);
def TotalChange = sum(incrementalTotalChange,length);

def ERatio = (NetChange/TotalChange) * 100;

plot ER = ERatio;
ER.AssignValueColor(if ER >= upperERThreshold
then Color.CYAN else if ER <= lowerERThreshold
then Color.RED else Color.GREEN);
ER.SetLineWeight(2);

plot LowerThreshold = lowerERThreshold;
LowerThreshold.SetDefaultColor(Color.RED);

plot ZeroLine = 0;
ZeroLine.SetDefaultColor(Color.GRAY);

plot UpperThreshold = upperERThreshold;
UpperThreshold.SetDefaultColor(Color.CYAN);

plot ave = average(ERatio,movingAvePeriod);
ave.setDefaultColor(color.blue);
ave.setLineWeight(2);