Support Board
Date/Time: Fri, 07 Feb 2025 22:48:10 +0000
Post From: New Study - Rescaled Range - Hurst Exponent
| [2017-03-08 01:49:33] |
| User71961 - Posts: 144 |
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i've written the code for this in Excel VBA. Its fine for small number of calcs...but takes a long time for large amounts, like 10,000. I'm sure C++ would be faster Also, after some thought, i've split the Lag input into 2 (Min Lag, Max Lag), as i think this makes sense. I don't know C++, which is why i've written this in VBA...hopefully, this should be easy for you guys to implement in C++ for SierraChart as another standard study. here is the VBA code (InputData is just a column of prices) Option Base 1 'all arrays default to start at 1, instead of 0 Public Function Hurst(MinLag As Integer, MaxLag As Integer, InputData As Range) As Double Dim OneBarChanges() As Double Dim dAvgChange As Double Dim DetrendedChanges() As Double Dim DeTrendedTimeSeries() As Double Dim iRowCount As Integer Dim iRollingRowCount As Integer Dim iLagColCount As Integer Dim iLagCol As Integer Dim iRow As Integer Dim iDataRow As Integer Dim iDataStartRow As Integer Dim iDataEndRow As Integer Dim dTotalRange As Double Dim dTotalSTDev As Double Dim dAvgRange As Double Dim dAvgSTDev As Double Dim LogN() As Double Dim AvgR() As Double Dim AvgS() As Double Dim LogAvg_R_S() As Double Dim R_Table() As Double Dim S_Table() As Double Dim RollingDataGroup() As Double 'get dimension of inputdata, and create arrays iRowCount = InputData.Rows.Count dAvgChange = (InputData(iRowCount, 1).Value - InputData(1, 1).Value) / iRowCount ReDim OneBarChanges(iRowCount) ReDim DetrendedChanges(iRowCount) ReDim DeTrendedTimeSeries(iRowCount) ReDim AvgR(iRowCount) ReDim AvgS(iRowCount) ReDim R_Table(iRowCount, MaxLag) ReDim S_Table(iRowCount, MaxLag) ReDim LogN(MaxLag - MinLag + 1) ReDim LogAvg_R_S(MaxLag - MinLag + 1) DeTrendedTimeSeries(1) = InputData(1, 1).Value For iDataRow = 2 To iRowCount OneBarChanges(iDataRow) = InputData(iDataRow, 1).Value - InputData(iDataRow - 1, 1).Value DetrendedChanges(iDataRow) = OneBarChanges(iDataRow) - dAvgChange DeTrendedTimeSeries(iDataRow) = DeTrendedTimeSeries(iDataRow - 1) + DetrendedChanges(iDataRow) Next iDataRow iLagColCount = 1 'create the staircase tables For iLagCol = MinLag To MaxLag ReDim RollingDataGroup(iLagCol) dTotalRange = 0 dTotalSTDev = 0 iDataEndRow = iRowCount - iLagCol + 1 For iDataStartRow = 1 To iDataEndRow iRollingRowCount = 1 For iRow = iDataStartRow To iDataStartRow + iLagCol - 1 RollingDataGroup(iRollingRowCount) = DeTrendedTimeSeries(iRow) iRollingRowCount = iRollingRowCount + 1 Next iRow R_Table(iDataStartRow, iLagCol) = Application.WorksheetFunction.Max(RollingDataGroup) - Application.WorksheetFunction.Min(RollingDataGroup) S_Table(iDataStartRow, iLagCol) = Application.WorksheetFunction.StDev(RollingDataGroup) dTotalRange = dTotalRange + R_Table(iDataStartRow, iLagCol) dTotalSTDev = dTotalSTDev + S_Table(iDataStartRow, iLagCol) Next iDataStartRow AvgR(iLagCol) = dTotalRange / iDataEndRow AvgS(iLagCol) = dTotalSTDev / iDataEndRow LogAvg_R_S(iLagColCount) = Log(AvgR(iLagCol) / AvgS(iLagCol)) LogN(iLagColCount) = Log(iLagCol) iLagColCount = iLagColCount + 1 Next iLagCol 'inputs assembled....now return slope of Log(R/S) vs Log(N) = Hurst Exponent Hurst = Application.WorksheetFunction.Slope(LogAvg_R_S, LogN) End Function |