The large effective ratio

[acepsut]

Hi Pascal,

I am now involved in coding the Effective Ratio and, following your book (pages 128 and 129) I take the large effective volume, compute the rate of change (I assume your roc period is 2000 or 1000 depending on 5.3 or 3.3 days) then divide the Roc of LEV serie by the total shares volume in the same interval as the Roc period (2000 or 1000).

What I get is very similar to the Large effective volume serie, as from my picture below.

Is this correct or am I wrong somewhere?

P.S. LEV Roc series are plotted in orange unsmoothed, upper lev roc (1000) lower lev roc (2000), middle pane is Large effective volume