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Date/Time: Thu, 31 Oct 2024 23:54:04 +0000



Post From: Hurst Input Data Request

[2017-10-06 13:11:55]
vectorTrader - Posts: 86
Your input data series allow you to select OHLC data which is fine . However the Hurst function is based on mean adjusted return data where the In_X is an array of normalized returns. By doing this the function becomes bounded by 0<H<1.

This is a a picture shows the difference with current calculation verse using return data and address why the current function is has values over 1 and is not centered around .5.

http://www.sierrachart.com/image.php?Image=1507295497478.png

higher timeframe and better picture.

http://www.sierrachart.com/image.php?Image=1507296382725.png
Date Time Of Last Edit: 2017-10-06 13:27:43