Discussions
»
Product and Service Development
»
Formula Assistance
»
FDI (Fractal Demension Index) or Hurst Exponent formula help
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 10/23/2005(UTC)
Posts: 45
Location: Savannah
Was thanked: 6 time(s) in 4 post(s)
|
If anyone has the MetaStock formulas for FDI or a version of the Hurst Exponent (not the envelope Hurst), which measures the Persistance of the Trend, I'd sure appreciate them.
(the forumla is in the public domain, article in May 2003 issue of Stocks & Commodities; which published no MS formula for FDI)
Thanks and Good Trading.
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
|
Something along the lines of:
Code:
{My interpretation and implementation of John Ehlers’ and Ric Way’s Fractal Dimension Index seen at http://www.traders.com/Documentation/FEEDbk_docs/2010/06/TradersTips.html}
{Copyright © 2010 wabbit.com.au}
N:= Input("Periods",2,100,30);
Smoothing:=Input("Smoothing",0,100,20);
HalfN:=LastValue(Int(N/2));
Data:=(H+L)/2;
Data:=(Data+2*Ref(Data,-1)+2*Ref(Data,-2)+Ref(Data,-3))/6;
N1:=(Ref(HHV(Data,HalfN),-HalfN)-Ref(LLV(Data,HalfN),-HalfN))/HalfN;
N2:=(HHV(Data,HalfN)-LLV(Data,HalfN))/HalfN;
N3:=(HHV(Data,N)-LLV(Data,N))/N;
FDI:=Mov(If(N1>0 AND N2>0 AND N3>0,0.5*((Log(N1+N2)-Log(N3))/Log(2)+PREV),0),Smoothing,S);
{plot}
FDI;
wabbit [:D]
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 10/23/2005(UTC)
Posts: 45
Location: Savannah
Was thanked: 6 time(s) in 4 post(s)
|
Thanks so much for this information Wabbit, I appreciate your time.
The Hurst Exponent really needs an external DLL for "proper" calculation, but I'm hoping that even a rough approximation would be helpful in evaluating Price Persistance. I am getting into using statistics to evaluate traditional technical indicators. Interesting stuff. :)
I will certainly give this a try.
Take Care & Good Trading. ... Tom ...
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 10/29/2004(UTC)
Posts: 1,394
Location: Glastonbury, CT
Was thanked: 2 time(s) in 2 post(s)
|
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users
Joined: 11/7/2005(UTC)
Posts: 602
|
I looked all over the internet for some code, came up with nothing. Thanks Wabbit.
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 10/23/2005(UTC)
Posts: 45
Location: Savannah
Was thanked: 6 time(s) in 4 post(s)
|
Unfortunately, these formulas don't really measure the Hurst Exponent. The Hurst Exponent is Not ment to be a trading indicator. It measures the amount of "non-random trending" of a data series (i.e. price).
Values over 50 indicate the series trend is non random, < 50 more random.
I am informed by Equis Formula group that such a calculation would require an external DLL program, since MetaStock can only handle 20 varibles at a time. (note: there is an AmiBroker afl that can simulate Hurst Exponent).
Best substutite I've found is the "Polarized Fractal Efficiency" formula. One may wish to check that out.
Cheers & Good Trading. ..... Tom ....
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 10/23/2005(UTC)
Posts: 45
Location: Savannah
Was thanked: 6 time(s) in 4 post(s)
|
Wabbit did a nice external DLL formula emulating this for me. It runs fine. If truely interested, you may wish to contact him.
Excellent work.
|
|
|
|
|
|
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
|
When I get time, I will amend the function to be more like the Excel function too, and will also send you a better version of the Excel function which you might want to give to the people from whom you got it [:)] BUT, only if I get time in the near future ....
wabbit [:D]
|
|
|
|
|
|
| Users browsing this topic |
|
Guest (Hidden)
|
Discussions
»
Product and Service Development
»
Formula Assistance
»
FDI (Fractal Demension Index) or Hurst Exponent formula help
Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.
