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Thanks for putting a lot of time into fixing the formula. It's nice work!
It has a few log overflow errors in it and some divide by zero
problems, but it's pretty good.
I know you didn't supply the original formula. So for people looking
for the Hurst exponent, if this does provide one, it's an
approximation at best. You can test it with the simple formula,
D=2-hurst.
D should range between 1 and 2 for any period. It doesn't. At least I
can't get it to.
I didn't think the Hurst exponent was programmable using MS function
language.
--- In equismetastock@xxxxxxxxxxxxxxx, "formulaprimer"
<formulaprimer@xxxx> wrote:
> 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}
> >
> >
> >
> >
> >
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