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http://www.speedderivs.com/hurst.html
See the Hurst Constant code in the attached file. This code is not perfect
in how it interprets the Hurst algorithm but close.
Please note that this indicator requires lots of data. A minimum of 600
bars is required to produce a single point. This code is very much a
statistical study and requires at least this much data for a stock. 1200
bars ( 5 years) or more is much better. 10 years is best.
So if you do not get a line it is probably because of the data
needed. Some of my stocks do not show any lines for this indicator due to
test requirement.
Steve/*HURST formula*/
Bars = 600;
FR1 = Log(Sum(Abs( C - ref(C,-1)),Bars));
FR2 = Log(Sum(IIF( (cum(1)/2 - Int(Cum(1)/2) ) == 0,Abs(C - ref(C,-2) ),0),Bars));
FR3 = Log(Sum(IIF( (cum(1)/3 - Int(Cum(1)/3) ) == 0,Abs(C-ref(c,-3) ),0),Bars));
FR4 = Log(Sum(IIF( (cum(1)/4 - Int(Cum(1)/4) ) == 0,Abs(C-ref(c,-4) ),0),Bars));
FR5 = Log(Sum(IIF( (cum(1)/5 - Int(Cum(1)/5) ) == 0,Abs( C - Ref(C,-5) ),0),Bars));
FR6 = Log(Sum(IIF( (cum(1)/6 - Int(Cum(1)/6) ) == 0,Abs( C - ref(C,-6) ),0),Bars));
FR10 = Log(Sum(IIF( (cum(1)/10 - Int(Cum(1)/10) ) == 0,Abs(C - ref(C,-10) ),0),Bars));
FR20 = Log(Sum(IIF( (cum(1)/20 - Int(Cum(1)/20) ) == 0,Abs(C - ref(C,-20) ),0),Bars));
FR30 = Log(Sum(IIF( (cum(1)/30 - Int(Cum(1)/30) ) == 0,Abs(C - ref(C,-30) ),0),Bars));
FR40 = Log(Sum(IIF( (cum(1)/40 - Int(Cum(1)/40) ) == 0,Abs(C - ref(C,-40) ),0),Bars));
FR50 = Log(Sum(IIF( (cum(1)/50 - Int(Cum(1)/50) ) == 0,Abs( C - ref(C,-50) ),0),Bars));
FR60 = Log(Sum(IIF( (cum(1)/60 - Int(Cum(1)/60) ) == 0,Abs(C - ref(C,-60) ),0),Bars));
SOMXY = FR2*Log(2)+FR3*Log(3)+FR4*Log(4)+FR5*Log(5)+FR6*Log(6)+FR10*Log(10)+FR20*Log(20)+FR30*Log(30)+FR40*Log(40)+FR50*Log(50)+FR60*Log(60);
SOMX = Log(2)+Log(3)+Log(4)+Log(5)+Log(6)+Log(10)+Log(20)+Log(30)+Log(40)+ Log(50)+Log(60);
SOMY = FR1+FR2+FR3+FR4+FR5+FR6+FR10+FR20+FR30+FR40+FR50+FR60;
SOMX2 = (Log(2)^2)+(Log(3)^2)+(Log(4)^2)+(Log(5)^2)+(Log(6)^2) +(Log(10)^2)+(Log(20)^2)+(Log(30)^2)+(Log(40)^2)+(Log(50)^2)+ (Log(60)^2);
HURST= 1+((12*SOMXY-SOMX*SOMY)/(12*SOMX2 - (SOMX^2)));
LIM= LastValue(Cum(HURST)/(Cum(1)-Bars-60));
Graph1 = HURST;
Grpah0 = LIM;
Graph2=0.5;
Graph2Style=5;
Graph2Color=5;
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