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Parade ? ... What parade ? ... All Joe did was point someone at the library where some related stuff could be found one of which I think I posted a long time ago.
--- In amibroker@xxxxxxxxxxxxxxx, Ted Byers <r.ted.byers@xxx> wrote:
>
> I don't mean to rain on your parade, but the notion of using something I
> don't know much about is something I find 'scary'.
>
> I would suggest you find out, and delve into the math behind it, before
> making much use of it.
>
> Examine it thoroughly, experiment with it enough to satisfy yourself you can
> make good use of it. The Hurst exponent is based on fascinating scientific
> work, and is an intriguing idea. But I am not yet convinced there are
> adequate algorithms available to compute it reliably, or that the math is
> adequately developed, to allow it to be used well.
>
> For the Hurst coefficient, there are, in fact, several different algorithms
> for computing it, and these different algorithms rarely agree. I have
> written code (Java, C++) to compute it, but I do not trust the numbers any
> of these algorithms produce for any applied purpose. Therefore, I simply do
> not apply them in code I write that others may use to manage their
> trading/investing. I wil not put other people's money at risk by letting
> them use math/algorithms I am not happy with. And I will not until I have
> sufficiently analyzed both the math and the algorithms behind the Hurst
> coefficient to the point I know why the available algorithms give different
> results.
>
> FTR, I am the sort of individual that writes tens of thousands of lines of
> code to do statistical analysis before trusting a readily available stats
> package, and then still write code to provide diagnostics that such packages
> typically don't provide. And my QA code typically applies my number
> crunching code to tens of millions of randomly generated test cases,
> requiring the result to have the expected mathematical properties: every
> analysis has a well defined suite of assumptions and mathematical
> properties, and my QA code tests every one of them. I do not regard my code
> ready to be released unless it passes every one of these tests, and that
> includes giving error messages when the data it is applied to violates one
> or more of the assumptions inherent in the algorithm. I know some in the
> software development industry who would regard my standards as too cautious
> or conservative, but given that my code has been used in risk management in
> the environmental consulting industry, including the management of risk
> related to the nuclear industry, I tend to be paranoid about the quality of
> my code. Really bad things can happen if it fails! So take my opinion for
> what its worth abd be aware some, perhaps many, will disagree with me.
>
> HTH
>
> Ted
>
> On Tue, Feb 16, 2010 at 10:45 AM, Joe Landry <jelandry@xxx> wrote:
>
> >
> >
> > 
> > Sorry I don't know enough to know the difference.
> >
> > Joe L.
> >
> >
> >
> > ----- Original Message -----
> > *From:* PrzemysÅ?aw Nowaczewski <cichy1235@xxx>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> > *Sent:* Tuesday, February 16, 2010 8:41 AM
> > *Subject:* Re: [amibroker] Translation code of H.E. Hurst Coefficient by
> > Ehlers from TS to AM
> >
> >
> >
> > There are 3 indicators in AFL Library
> > - Cycle Highlighter,
> > - Hurst "Like" DE,
> > - Hurst Constant,
> > but none of them is the indicator based on H.E. Hurst coefficient (not J.M.
> > Hurst) like Ehlers does with his method.
> >
> >
> >
> >
> > --- *16.2.10 (Wt), Joe Landry <jelandry@xxx>* napisaÅ?(a):
> >
> >
> > Od: Joe Landry <jelandry@xxx>
> > Temat: Re: [amibroker] Translation code of H.E. Hurst Coefficient by Ehlers
> > from TS to AM
> > Do: amibroker@xxxxxxxxxxxxxxx
> > Data: 16 Luty 2010 (Wtorek), 11:54
> >
> >
> >
> > Not many months ago there was a lot of work about Hurst methodology
> > published on the Amibroker board. Have you searched the library? Or the
> > forum archives?
> >
> > JOE L.
> >
> > ----- Original Message -----
> > *From:* cichy1235 <http://mc/compose?to=cichy1235@...>
> > *To:* amibroker@xxxxxxxxx ps.com<http://mc/compose?to=amibroker@xxxxxxxxxxxxxxx>
> > *Sent:* Tuesday, February 16, 2010 4:31 AM
> > *Subject:* [amibroker] Translation code of H.E. Hurst Coefficient by
> > Ehlers from TS to AM
> >
> >
> >
> > I need help with translation code of H.E. Hurst Coefficient by John Ehlers
> > from Tradestation to Amibroker...
> >
> > Original TS code is as follow:
> >
> > Inputs:
> > Price((H+L)/ 2),
> > Lookback(60) ;
> >
> > Vars:
> > I(0),
> > N(0),
> > count(0),
> > N1(0),
> > N2(0),
> > N3(0),
> > HH(0),
> > LL(0),
> > Dimen(0),
> > Color1(0),
> > Color2(0),
> > Color3(0),
> > PlotLen(0);
> >
> > Arrays:
> > H[190](0), H1[100](0), H2[100](0), H3[100](0), H4[100](0), HAvg[100](0) ;
> >
> > For I = 1 to 50 Begin
> > N = 2*I;
> > N3 = (Highest(High, N) - Lowest(Low, N)) / N;
> > HH = High;
> > LL = Low;
> > For count = 0 to N/2 - 1 begin
> > If High[count] > HH then HH = High[count];
> > If Low[count] < LL then LL = Low[count];
> > End;
> > N1 = (HH - LL)/(N / 2);
> > HH = High[N/2];
> > LL = Low[N/2];
> > For count = N/2 to N - 1 begin
> > If High[count] > HH then HH = High[count];
> > If Low[count] < LL then LL = Low[count];
> > End;
> > N2 = (HH - LL)/(N / 2);
> >
> > If N1 > 0 and N2 > 0 and N3 > 0 then Dimen = (Log(N1 + N2) - Log(N3)) /
> > Log(2);
> > H[N] = 2*(1 / Dimen - .5);
> > H[N] = 1.25*(H[N] - .5) + .6;
> > HAvg[N] = (H[N] + H1[N] + H2[N] + H3[N] + H4[N]) / 5;
> > If HAvg[N] > 1 then HAvg[N] = 1;
> > If HAvg[N] < 0 then HAvg[N] = 0;
> > H4[N] = H3[N];
> > H3[N] = H2[N];
> > H2[N] = H1[N];
> > H1[N] = H[N];
> > End;
> > For I = 2 to 50 Begin
> > N = 2*I - 1;
> > HAvg[N] = (HAvg[N - 1] + HAvg[N + 1]) / 2;
> > End;
> >
> > //Plot the Rescale-range Statistic as a Heatmap
> > PlotLen = Lookback;
> > If Plotlen > 99 Then PlotLen = 99;
> > For I = 8 to PlotLen Begin
> > //Convert RS to RGB Color for Display
> > If HAvg[I] >= .5 Then Begin
> > Color1 = 255*(2 - 2*HAvg[I]);
> > Color2 = 255*(2*HAvg[ I] - 1);
> > Color3 = 0;
> > End
> > Else If HAvg[I] < .5 Then Begin
> > Color1 = 255*(2*HAvg[ I]);
> > Color2 = 0;
> > Color3 = 255*(1 - 2*HAvg[I]);
> > End;
> > If I = 4 Then Plot4(4, "S4", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 5 Then Plot5(5, "S5", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 6 Then Plot6(6, "S6", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 7 Then Plot7(7, "S7", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 8 Then Plot8(8, "S8", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 9 Then Plot9(9, "S9", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 10 Then Plot10(10, "S10", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 11 Then Plot11(11, "S11", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 12 Then Plot12(12, "S12", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 13 Then Plot13(13, "S13", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 14 Then Plot14(14, "S14", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 15 Then Plot15(15, "S15", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 16 Then Plot16(16, "S16", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 17 Then Plot17(17, "S17", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 18 Then Plot18(18, "S18", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 19 Then Plot19(19, "S19", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 20 Then Plot20(20, "S20", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 21 Then Plot21(21, "S21", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 22 Then Plot22(22, "S22", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 23 Then Plot23(23, "S23", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 24 Then Plot24(24, "S24", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 25 Then Plot25(25, "S25", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 26 Then Plot26(26, "S26", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 27 Then Plot27(27, "S27", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 28 Then Plot28(28, "S28", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 29 Then Plot29(29, "S29", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 30 Then Plot30(30, "S30", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 31 Then Plot31(31, "S31", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 32 Then Plot32(32, "S32", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 33 Then Plot33(33, "S33", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 34 Then Plot34(34, "S34", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 35 Then Plot35(35, "S35", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 36 Then Plot36(36, "S36", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 37 Then Plot37(37, "S37", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 38 Then Plot38(38, "S38", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 39 Then Plot39(39, "S39", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 40 Then Plot40(40, "S40", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 41 Then Plot41(41, "S41", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 42 Then Plot42(42, "S42", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 43 Then Plot43(43, "S43", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 44 Then Plot44(44, "S44", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 45 Then Plot45(45, "S45", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 46 Then Plot46(46, "S46", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 47 Then Plot47(47, "S47", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 48 Then Plot48(48, "S48", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 49 Then Plot49(49, "S49", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 50 Then Plot50(50, "S50", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 51 Then Plot51(51, "S41", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 52 Then Plot52(52, "S42", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 53 Then Plot53(53, "S43", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 54 Then Plot54(54, "S44", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 55 Then Plot55(55, "S45", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 56 Then Plot56(56, "S46", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 57 Then Plot57(57, "S47", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 58 Then Plot58(58, "S48", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 59 Then Plot59(59, "S49", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 60 Then Plot60(60, "S50", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 61 Then Plot61(61, "S41", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 62 Then Plot62(62, "S42", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 63 Then Plot63(63, "S43", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 64 Then Plot64(64, "S44", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 65 Then Plot65(65, "S45", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 66 Then Plot66(66, "S46", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 67 Then Plot67(67, "S47", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 68 Then Plot68(68, "S48", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 69 Then Plot69(69, "S49", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 70 Then Plot70(70, "S50", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 71 Then Plot71(71, "S41", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 72 Then Plot72(72, "S42", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 73 Then Plot73(73, "S43", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 74 Then Plot74(74, "S44", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 75 Then Plot75(75, "S45", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 76 Then Plot76(76, "S46", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 77 Then Plot77(77, "S47", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 78 Then Plot78(78, "S48", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 79 Then Plot79(79, "S49", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 80 Then Plot80(80, "S50", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 81 Then Plot81(81, "S41", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 82 Then Plot82(82, "S42", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 83 Then Plot83(83, "S43", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 84 Then Plot84(84, "S44", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 85 Then Plot85(85, "S45", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 86 Then Plot86(86, "S46", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 87 Then Plot87(87, "S47", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 88 Then Plot88(88, "S48", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 89 Then Plot89(89, "S49", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 90 Then Plot90(90, "S50", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 91 Then Plot91(91, "S41", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 92 Then Plot92(92, "S42", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 93 Then Plot93(93, "S43", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 94 Then Plot94(94, "S44", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 95 Then Plot95(95, "S45", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 96 Then Plot96(96, "S46", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 97 Then Plot97(97, "S47", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 98 Then Plot98(98, "S48", RGB(Color1, Color2, Color3),0,4) ;
> > If I = 99 Then Plot99(99, "S49", RGB(Color1, Color2, Color3),0,4) ;
> >
> > End;
> >
> >
> > __________________________________________________
> > Czy juz jestes w Yahoo!?
> > Masz dosyc spamu? Poczta Yahoo! dysponuje najlepsza ochrona przed spamem
> > http://pl.mail.yahoo.com
> >
> >
> >
>
------------------------------------
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