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In fact len should be /could be set around 100 or so to see if over that many days a market has a tendency to follow through after a given day's move .. auto-correlation .. not 1 as I stated before ..
----- Original Message -----
From: "DH" <catapult@xxxxxxxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Wednesday, March 20, 2002 5:49 PM
Subject: Re: Hurst Exponent
> > follow through after a one day rally so
> > it seems to me that len is supposed to be = 1 .. No??
>
> Today + tomorrow = 2, at least in most TS calcs. Like average, if you
> want to compare yesterday to today, you use len=2. That said, I haven't
> taken the time to parse the code and see what it's really doing. Yer on
> your own. :-)
>
> --
> Dennis
>
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