Is there a reference for the calculation of the Hurst exponent indicator? There are several methods to calculate the hurst exponent, which one is being used in this indicator?
Rename
- ago
#1
If I remember well, I implemnted the Hurst Exponent indicator for WL6 (or WL5) and this code is still used in WL8.
The calculation follows the Rescaled Range mathod (see https://en.wikipedia.org/wiki/Rescaled_range) without Lo's adjustments.
Remark: The Hurst Exponent is one method to estimate Variance Ratio. It is not the best method to do so. Look at the VR_LM (Variance ratio as advocated by Lo and MacInlay) and VR_MP (Variance ratio as advocated by Malliaropulos and Priestley) indicators (both available with the finantic.Indicators extension) for alternatives.
The calculation follows the Rescaled Range mathod (see https://en.wikipedia.org/wiki/Rescaled_range) without Lo's adjustments.
Remark: The Hurst Exponent is one method to estimate Variance Ratio. It is not the best method to do so. Look at the VR_LM (Variance ratio as advocated by Lo and MacInlay) and VR_MP (Variance ratio as advocated by Malliaropulos and Priestley) indicators (both available with the finantic.Indicators extension) for alternatives.
- ago
#2
It would be nice to include that link within the indicator definition.
Thank you DrKoch. I just saw your response, very helpful!
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