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I did not write that, I just posted the link to Bob Fulks' code in the
purebytes archive:
http://www.purebytes.com/archives/omega/2001/msg02938.html
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: "ROBERT L ROPER" <broper99@xxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Thursday, January 17, 2002 3:01 PM
Subject: Re: EL code for H ?
> Robert L Roper wrote:
> >> Is anybody willing to share his Easy Language (EL) code for calculation
> >> of Hurst Exponent (H) ?
>
> The relation between the Hurst exponent and the fractal dimension is
> simply D=2-H, where D is the fractal dimension and H is the Hurst
> exponent.
>
> I have a method for calculating D, so you can easily get H=2-D from
> that. This is a VBA macro function, but it should be trivial to
> port it to EasyLanguage. I abandoned it a while ago so I never
> bothered, but I might do it if I have the time.
>
> I got the algorithm from a technical paper at
> http://www.csu.edu.au/ci/vol05/sevcik/sevcik.html if you're
> interested in reading up on it. -Alex
>
>
> ' ************ Program to Calculate Fractal Dimension of Waveforms
> '
> 'See the following article:
> 'http://www.csu.edu.au/ci/vol05/sevcik/sevcik.html
> '"A procedure to Estimate the Fractal Dimension of Waveforms"
> ' by Carlos Sevcik
> ' Laboratory on Cellular Neuropharmacology
> ' Centro de Biofsica y Bioqumica
> ' Instituto Venezolano de Investigaciones Cientficas (IVIC)
> ' Apartado 21827, Caracas 1020A
> ' Venezuela.
> ' Email: csevcik@ ivic.ivic.ve
> '
> 'Arguments:
> ' xx = Excel range of x values dimension (1 to n, 1 to 1)
> ' (the X values would be bar numbers or dates)
> ' yy = Excel range of y values dimension (1 to n, 1 to 1) (e.g. prices)
> 'Returns: fractal dimension of the time series
>
> Function fractaldim(xx As Variant, yy As Variant) As Double
>
> Dim n As Integer, i As Integer, lngth As Double, x As Variant, y As
Variant
> Dim ymax As Double, ymin As Double, xmax As Double, xmin As Double
> Dim xscl As Double, yscl As Double
> Dim yt As Double, xt As Double, yl As Double, xl As Double
> Dim xd As Double, yd As Double
>
> x = xx.Value 'convert Excel range to array
> y = yy.Value
> n = UBound(x, 1)
> xmin = Application.WorksheetFunction.Min(x)
> xmax = Application.WorksheetFunction.Max(x)
> xscl = xmax - xmin
> ymin = Application.WorksheetFunction.Min(y)
> ymax = Application.WorksheetFunction.Max(y)
> yscl = ymax - ymin
> If n < 2 Or ymax = ymin Or xmax = xmin Then
> fractaldim = 1
> Exit Function
> End If
>
> ' *** calculate length of curve ***
> lngth = 0#
> yl = (y(1, 1) - ymin) / yscl
> xl = (x(1, 1) - xmin) / xscl
> For i = 2 To n
> yt = (y(i, 1) - ymin) / yscl
> xt = (x(i, 1) - xmin) / xscl
> If i > 1 Then
> xd = xt - xl: yd = yt - yl
> lngth = lngth + Sqr(xd * xt + yd * yd)
> End If
> xl = xt: yl = yt
> Next
>
> fractaldim = 1 + Log(lngth) / Log(2# * (n - 1)) 'Log()=natural log
> End Function
>
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