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What is one suppose to do with the Hurst Constant? I pasted it into the
function builder and applied it to a symbol and nothing? What am I missing?
Thanks,
John
-------Original Message-------
From: equismetastock@xxxxxxxxxxxxxxx
Date: 07/14/05 01:24:27
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Hurst Constant
Hurst used the coefficient as an index for the persistence of the time
series considered. For , it is positively persistent and characterized by
`long memory' effects, as described in the next section. A rather informal
interpretation of used by practitioners is this: may be interpreted as the
chance of movements with the same sign, Peters (1994). For , it is more
likely that an upward movement is followed by a movement of the same
(positive) sign, and a downward movement is more likely to be followed by
another downward movement. For , a downward movement is more likely to be
reversed by an upward movement thus implying the reverting behavior.
Regards,
PJ Chai
On 7/14/05, Carlos Destefani <cad1610au@xxxxxxxxx> wrote:
I had been looking at the code and here it is one that works. Now, how do I
use this indicator? If someone has a brief explantion, will be fine. Rather
than search the web. Thanks.
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(If((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)+FR
0*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(
0)+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;
pumrysh < no_reply@xxxxxxxxxxxxxxx> wrote:
{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(If((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 )));
HURST;
LIM:=LastValue(Cum(HURST)/(Cum(1)-Bars-60));
{ LIM is supposed to be the mean value of HURST
over the whole data set - Metastock cannot calculate mean values -
you will get errors for this value}
LIM;
{end}
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