Support Board
Date/Time: Fri, 07 Feb 2025 22:55:50 +0000
Post From: New Study - Rescaled Range - Hurst Exponent
| [2017-03-22 01:52:39] |
| User71961 - Posts: 144 |
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regarding the "moving average" aspect of this study...if the input length is 20, then the last 20 price bars = the complete input data set needed to calculate the most recent value of the study. Then, going back 1 bar in time, those 20 price bars = the complete input data set needed to calculate the next value of the study. So, if there are 100 bars of data in total, and input length=20, then first you use bars 1-->20, then 2-->21, then 3-->22, 4-->23, 5-->24, 6-->25, etc....all the way to 81-->100. Each rolling set of 20 bars has its own hurst exponent (tells us how trending or mean reverting are those 20 bars)...and we can watch the hurst exponent change over time, just like a simple moving average changes over time. I expect the hurst study to spend the majority of its time around 0.5 which indicates random brownian motion. However, when we get extreme readings (close to either 0 or 1), that should indicate market instability and transition changes. |