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It is great how everybody put there input into this formula. When I
first put the rough formula in I was just expecting a fix of the
code to make it work with MS but instead I got interpretive input
and conceptual refinement, this was most welcome. Thanks again. I
have been worked on this Hurst problem for awhile but I think that
it is possible by looking at the code in another way to make it
possible to work with metastock. Mathimatical sustitution for hurst
formulas might lead the way to finding a way to program hurst like
formulas in the future.
K. Shin
--- In equismetastock@xxxxxxxxxxxxxxx, superfragalist
<no_reply@xxxx> wrote:
> 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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