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Hurst Exponent
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Created: by vegasfoster Attachments:2

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Hurst Exponent

  #11 (permalink)
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fluxsmith View Post
I reviewed the video and have to admit that I still don't know what a Hurst MA or a Hurst MACD is, but I think I've correctly come up with a Hurst Exponent indicator. I found it easier to first come up with a Fractal Dimension indicator and the infer the Hurst Exponent from that.

Revised: Solved a divide by 0 error when min(Close, n) == max(Close, n)

Thanks man, will take a look.

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  #12 (permalink)
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Yeah, thanks for all your help, but this is turning out to be more complicated than I anticipated, not getting it to work correctly. I need a mathematician to tell me what he is doing. I will try to find one.

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  #13 (permalink)
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vegasfoster View Post
Yeah, thanks for all your help, but this is turning out to be more complicated than I anticipated, not getting it to work correctly. I need a mathematician to tell me what he is doing. I will try to find one.

Have you tried asking @Richard ?

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  #14 (permalink)
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Big Mike View Post
Have you tried asking @Richard ?

Mike

Ummm, no, think that would work? Ok, I'll give it a shot.

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  #15 (permalink)
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vegasfoster View Post
Ummm, no, think that would work? Ok, I'll give it a shot.

Well he hasn't been on the site in a long time, July 6th was last visit. But if I understood you correctly, you were trying to make sense of some of his work, so it seems like a good place to ask for help

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  #16 (permalink)
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Here's another brief writeup on the hurst indicator and an embedded link to a mt4 version:

Hurst Exponent Indicator For MT4 | Great Trading Systems

It may be interesting to derive results of this indicator based on how accurate it is. i.e. if it's in a range of 0.5 to 1 (which indicates that whatever is happening now is likely to continue), what percentage of the time does the event following actually continue along that path. However, I'm not sure how to define "what is happening now".

Seems more of a novelty to me than something I would use.

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  #17 (permalink)
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fluxsmith View Post
...I think I've correctly come up with a Hurst Exponent indicator. I found it easier to first come up with a Fractal Dimension indicator and the infer the Hurst Exponent from that...

There was an error in my FractalDimension implementation, which also caused the Hurst Exponent values to be incorrect. A revised version is in the downloads area:
https://futures.io/free_downloads/ninjatrader-7/indicators/654-download.html?view

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  #18 (permalink)
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The Hurst exponent plots exact mirror reflection of your fractal dimensions. is it meant to be like that?

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fluxsmith View Post
I reviewed the video and have to admit that I still don't know what a Hurst MA or a Hurst MACD is, but I think I've correctly come up with a Hurst Exponent indicator. I found it easier to first come up with a Fractal Dimension indicator and the infer the Hurst Exponent from that.

Revised: Solved a divide by 0 error when min(Close, n) == max(Close, n)

Could someone give me a brief explination of what that code do?
The zip file comes with 5 indicators, but I don't understand how the calculation of the Hurst Exponent it's being done.

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  #20 (permalink)
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Hurst Exponent math


here is a code snippet that implements the Hurst Exponent in Mathematica with 2 different implementations

rets = Differences[Log[FinancialData["^GSPC",All,"Value"]]];

RescaledRange[List_,n_] :=
Mean[Map[Sqrt[n] (Max[Accumulate[#]]-Min[Accumulate[#]]) / Sqrt[Total[#^2]]&,
Map[#-Mean[#] &, Table[List[i,,i+n]], {i,1,Length[List]-n}]]]];

Hurst[data_,lag_] := h/.FindFit[Table[RescaledRange[data,n],{n,2,lag}], {c*x^h}, {c,h}, x];
Hurst[rets, 16]


Hursttq[data_,lag_] := Fit[Log@Table[RescaldRange[data,n], {n,2,lag}], {1,Log[x]}, x] [[2]] [[1]];
Hursttq[rets, 32]

anybody want to implement this code into C++ for SierraChart?

The idea is to calc Hust at every closing price for a range of lags (i think 16-->128 would be ideal), which yields 112 results of Hurst Exponents for each closing price. Then take the avg of those Hust exponents to give you an AvgHustStrength study.

Another option is to output all 112 results, each as a colored pixel on a vertical line.
0 = Blue
0.5 =white
1 = Red
and in-between results are progressively lighter shades of blue or red.

So, a price series with high concentrations of Red = trend is becoming unstable and should be ending (signal to fade)...while a series with a high concentration of blue should be preparing to break out of the recent range (signal to go with a breakout).

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