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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.
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
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.
Regards,
-C
“Strategy without tactics is the slowest route to victory. Tactics without strategy is the noise before defeat.” - Sun Tzu
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:
I recently discovered that the formula used for my solution in this thread:
https://nexusfi.com/ninjatrader-programming/5069-hurst-exponent.html
has an error. (I guess that means we'll call this version 2.) Here is a corrected HurstExponent …
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.
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).
