Hurst Exponent

NexusFi · 2018-09-20T14:43:27-04:00

here is a code snippet that implements the Hurst Exponent in Mathematica with 2 different implementations rets = Differences[Log[FinancialData["^GSPC",All,"Value"]]]; RescaledRange[List_,n_] := Mean[Map[Sqrt[n] (Max[Accumulate[#]]-Min[Accumulate[#]]) / Sqrt[Total[#^2]]&, Map[#-Mean[#] &, Table[List[i,,i+n]], {i,1,Length[List]-n}]]]]; Hurst[data_,lag_] := h/.FindFit[Table[RescaledRange[data,n],{n,2,lag}], {c*x^h}, {c,h}, x]; Hurst[rets, 16] Hursttq[data_,lag_] := Fit[Log@Table[RescaldRange[data,n], …

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Updated September 20, 2018

Hurst Exponent

September 20th, 2018, 02:43 PM	#21 (permalink)
Bucstin Bradenton, Florida, USA Elite Member Experience: Advanced Platform: NinjaTrader Trading: futures Posts: 3 since Feb 2014 Thanks Given: 0 Thanks Received: 2	Are any of you Hurst fans trading with displaced Moving averages? I have been for some time and have created some techniques and rules to guide me. I know that all time frames are fractal but after a great deal of confusion and indecision I have focused on one renko based chart. Although it would seem counter intuitive given "cycle" analysis I have come to believe that for a day trading nothing is more important than price; where is it now and where is it likely to go before an expected correction.