Support Board
Date/Time: Sat, 05 Jul 2025 01:59:56 +0000
Post From: New Study - Rescaled Range - Hurst Exponent
| [2017-02-23 22:53:26] |
| User71961 - Posts: 144 |
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i have made an excel spreadsheet that breaks down the "Rescaled Range - Hurst Exponent" study, to make it easier to understand (also shows how to de-trend the dataseries, which is necessary and not broken down in the wikipedia page). I also noticed that there is an additional parameter that needs to be set, called "Lag" Lag indicates which Slope (Hurst) value is used to calculate the statistic (so, which of the orange cells) for the entire set of input data, defining the size of the internal rolling data sample, within the larger sample. The various options are highlighted in the attached spreadsheet. (Lag and the corresponding Slope/Hurst Exponent are next to each other). By definition, "Lag" needs to be greater than 2, and smaller than n, where n = Length = number of input bars used for the study. For best results, Lag = 20% of Length (So, if Length defaults to 20, then Lag should default to 4) https://drive.google.com/open?id=0B21lW36D6iHnYkFiLXZuSmlRRGc |