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This indicator is an interesting study in chaos theory.
Just look up the title in any web search engine and start
reading. This indicator is fails to calculate for some stocks. It
requires at least 600 hundred quotes to work.
Can someone fix the coding so it will work for MS.
Thanks.
Kev
======================
Hurst Constant
======================
Bars:= 600;
FR1:= Log(Sum(Abs( C - ref(C,-1)),Bars));
FR2:= Log(Sum(IF((cum(1)/2 - Int(Cum(1)/2)), 0,Abs(C - ref(C,-
2)),0,Bars));
FR3:= Log(Sum(IF((cum(1)/3 - Int(Cum(1)/3)), 0,Abs(C-ref(c,-
3)),0),Bars));
FR4:= Log(Sum(IF((cum(1)/4 - Int(Cum(1)/4)), 0,Abs(C-ref(c,-
4) ),0),Bars));
FR5:= Log(Sum(IF((cum(1)/5 - Int(Cum(1)/5)) ,0,Abs( C - Ref(C,-
5) ),0),Bars));
FR6:= Log(Sum(IF( (cum(1)/6 - Int(Cum(1)/6)) ,0,Abs( C - ref(C,-
6)),0),Bars));
FR10:= Log(Sum(IF((cum(1)/10 - Int(Cum(1)/10)) ,0,Abs(C - ref(C,-
10) ),0),Bars));
FR20:= Log(Sum(IF((cum(1)/20 - Int(Cum(1)/20)) ,0,Abs(C - ref(C,-
20) ),0),Bars));
FR30:= Log(Sum(IF((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(IF( (cum(1)/50 - Int(Cum(1)/50) ),0,Abs( C - ref(C,-
50) ),0),Bars));
FR60:= Log(Sum(IF( (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:= (Power(Log(2),2))+(Power(Log(3),2))+(Power(Log(4),2))+(Power
(Log(5),2))+(Power(Log(6),2)) +(Power(Log(10),2))+(Power(Log(20),2))+
(Power(Log(30),2))+(Power(Log(40),2))+(Power(Log(50),2))+ (Power(Log
(60),2));
HURST:= 1+((12*SOMXY-SOMX*SOMY)/(12*SOMX2 - Power(SOMX ,2 )));
LIM:= LastValue(Cum(HURST)/(Cum(1)-Bars-60));
HURST;
LIM;
========================
END
========================
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