|
PureBytes Links
Trading Reference Links
|
Try this updated formula.
KS
{Hurst Constant}
prd1:=Input("Periods",60,9999,60);
Bars:=LastValue(Min(prd1,LastValue(Cum(1))));
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;
.5;
{End}
--- In equismetastock@xxxxxxxxxxxxxxx, "John Corrion" <corrion@xxxx>
wrote:
> 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@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)+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}
>
>
>
>
>
> SPONSORED LINKS Business finance course Business to business
finance Small
> business finance
> Business finance consultant Business finance magazine Business
finance
> schools
>
>
>
> Start your day with Yahoo! - make it your home page
>
>
> YAHOO! GROUPS LINKS
>
> Visit your group "equismetastock" on the web.
>
> To unsubscribe from this group, send an email to:
> equismetastock-unsubscribe@xxxxxxxxxxxxxxx
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
>
>
>
>
>
>
>
>
>
> YAHOO! GROUPS LINKS
>
> Visit your group "equismetastock" on the web.
>
> To unsubscribe from this group, send an email to:
> equismetastock-unsubscribe@xxxxxxxxxxxxxxx
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/DldnlA/9M2KAA/U1CZAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|