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Date/Time: Fri, 07 Feb 2025 23:03:34 +0000

Post From: New Study - Rescaled Range - Hurst Exponent

[2017-02-21 02:11:54] Link To Thread - Link To Post [Go To First Post]
User71961 - Posts: 144
Could this study be added to the list of basic studies? This is a simple method for calcing the Rescaled Range, and thus, the Hurst Exponent...which is a better type of RSI. https://en.wikipedia.org/wiki/Rescaled_range Rescaled Range = R/S for a timeseries When you divide the range (R = Max-Min) by the standard deviation (S) of the input data, that is "rescaling" the range. If you do a linear regression of the X*Y plot Table Y = Log(ReScaled Range) = Log(R/S) X = Log(n) (n is a counter indicating the order of the input bars...for the first observation, n=1 and if there are 20 observations, then the last observation has n=20) The slope of the regression line of this plot is the Hurst Exponent, and can be plotted over time as a type of RSI indicator. Variables for the study would be Length = an integer. This is the number of bars used to calc the statistic, similar to a moving average. (default to 20) Input Data = {Open, Close, High, Low, OHLC, HLC, etc...}