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Variations of the Hurst Exponent over time
Source: https://fxcodebase.com/code/viewtopic.php?f=17&t=1258
Forum: 17 · Topic 1258 · 7 post(s)
Variations of the Hurst Exponent over time
Alexander.Gettinger · Thu Jun 03, 2010 10:20 pm
This indicator is based on the assumption that the price variations follow a multi-fractal model. From there, the Hurst exponent can be easily computed from the fractal dimension (as obtained in viewtopic.php?f=17&t=1250). The variations of this Hurst exponent can actually be seen as predicting the variations of the volatility, and they therefore provide a time for entering into a trade (whenever this variation is positive), in order to profit from the high volatility period.
It must be noticed however, that this indicator doesn’t give any information as to the direction of the trade, for that a directional indicator must be used.
Code: Select all `function Init() indicator:name(“Hurst Difference”); indicator:description(“Hurst Difference”); indicator:requiredSource(core.Bar); indicator:type(core.Oscillator); indicator.parameters:addInteger(“Period”, “Period”, “Period”, 30); indicator.parameters:addString(“app_price”, “app_price”, “”, “close”); indicator.parameters:addStringAlternative(“app_price”, “close”, “”, “close”); indicator.parameters:addStringAlternative(“app_price”, “open”, “”, “open”); indicator.parameters:addStringAlternative(“app_price”, “high”, “”, “high”); indicator.parameters:addStringAlternative(“app_price”, “low”, “”, “low”); indicator.parameters:addStringAlternative(“app_price”, “median”, “”, “median”); indicator.parameters:addStringAlternative(“app_price”, “typical”, “”, “typical”); indicator.parameters:addStringAlternative(“app_price”, “weighted”, “”, “weighted”);
indicator.parameters:addColor(“clr_Line”, “Color of Line”, “Color of Line”, core.rgb(255, 255, 0)); end
local first; local source = nil; local Period; local app_price; local Price; local fdi; local HurstBuff=nil;
function Prepare() source = instance.source; Period=instance.parameters.Period; app_price=instance.parameters.app_price; first = source:first()+2; local name = profile:id() .. “(“ .. source:name() .. “, “ .. instance.parameters.Period .. “, “ .. instance.parameters.app_price .. “)”; instance:name(name); Price = instance:addInternalStream(0, 0); fdi = instance:addInternalStream(0, 0); HurstBuff = instance:addStream(“HurstBuff”, core.Line, name .. “.HurstBuff”, “HurstBuff”, instance.parameters.clr_Line, first); HurstBuff:addLevel(0); end
function Update(period, mode) if app_price==”close” then Price[period]=source.close[period]; elseif app_price==”open” then Price[period]=source.open[period]; elseif app_price==”high” then Price[period]=source.high[period]; elseif app_price==”low” then Price[period]=source.low[period]; elseif app_price==”median” then Price[period]=(source.high[period]+source.low[period])/2.; elseif app_price==”typical” then Price[period]=(source.high[period]+source.low[period]+source.close[period])/3.; else Price[period]=(source.high[period]+source.low[period]+2.*source.close[period])/4.; end if (period>first+Period) then
local priceMax=core.max(Price,core.rangeTo(period,Period)); local priceMin=core.min(Price,core.rangeTo(period,Period)); local length=0.; local priorDiff=0.; local sum=0.; for i=period-Period+1,period,1 do if priceMax-priceMin>0. then diff=(Price[i]-priceMin)/(priceMax-priceMin); if i>period-Period+1 then length=length+math.sqrt(math.pow(diff-priorDiff,2)+(1./math.pow(Period,2))); end priorDiff=diff; end end if length>0. then fdi[period]=1.+(math.log(length)+math.log(2.))/math.log(2.*(Period-1)) else fdi[period]=0.; end HurstBuff[period]=fdi[period-1]-fdi[period];
end end`
Mq4/MT4 version. viewtopic.php?f=38&t=63898
Re: Variations of the Hurst Exponent over time
boursicoton · Thu Aug 19, 2010 7:20 am
hust worked on cycle of price,10,20,40,18-80,200-220 weeks possible on marketscope ?
Re: Variations of the Hurst Exponent over time
Apprentice · Mon Feb 05, 2018 8:07 am
The Indicator was revised and updated.
Re: Variations of the Hurst Exponent over time
mayk01 · Sun Sep 03, 2023 4:46 am
Hi Apprentice,
Is it possible to use this Fractal Dimension Index to calculate the Hurst Exponent? : https://fxcodebase.com/code/viewtopic.p … ex#p152254
That indicator shows the changes of the Fractal Dimension differently and this Hurst Exponent does not fit, because it is not based on that calculation. M.
Re: Variations of the Hurst Exponent over time
Apprentice · Sun Sep 10, 2023 3:15 pm
We have added your request to the development list. Development reference 836.
Re: Variations of the Hurst Exponent over time
Apprentice · Mon Sep 11, 2023 9:31 am
Fractal Dimension Index Hurst_Difference.lua
It is also possible to use Tick Hurst_Difference.lua Use the Fractal Dimension Index.lua as a source for it.
Re: Variations of the Hurst Exponent over time
mayk01 · Tue Sep 12, 2023 6:57 am
That’s great
M.