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Great explanation for the possible use of the indicator.
KS
--- In equismetastock@xxxxxxxxxxxxxxx, PJ Chai <promedac@xxxx> wrote:
> Hurst used the coefficient [image: $ H$] as an index for the
persistence of
> the time series considered. For [image: $ 0.5<H<1$], it is
positively
> persistent and characterized by `long memory' effects, as
described in the
> next section. A rather informal interpretation of [image: $ H$]
used by
> practitioners is this: [image: $ H$] may be interpreted as the
chance of
> movements with the same sign, Peters
> (1994)
<http://www.quantlet.com/mdstat/scripts/xfg/html/xfghtmlnode103.html#
pet:94>.
> For [image: $ H>0.5$], 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 [image: $
H<0.5$], 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@xxxx> 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)+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;
> >
> > *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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