Discussion of article "Calculating the Hurst exponent" - page 5
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Dear author! Thank you for your labour, of course, and the indicator is very important, BUT... I understand that none of those who have commented in the comments has ever tried to use the indicator :D
When it turned out that your indicator does not work on small timeframes, does not work with the appearance of new bars (which means it can not be tied to the robot and tested) and calculates negative coefficients of determination, I went inside to fix it and ... forgot non-material expressions for about a week. You don't take the easy way out. Where real types are needed, you use integer types, introduce a bunch of unnecessary variables, useless computational steps, leave a bunch of old methods and references that only confuse and complicate understanding, turn data arrays from direct indexing to reverse indexing many times, create a bunch of unnecessary objects that pass the same set of variables, and instead of the standard in mql concise system of accounting for previous calculations for some reason you invent your own, scary and cumbersome....
Wasn't it easier to just take any standard mql indicator and calculate everything you need on its basis? Believe me, it is much easier to understand it than your code...
I attach an archive with sources, where everything that did not work, works, and removed all (or almost all) unnecessary. The question remains how slow this design will be in real tests. I haven't tested it yet, but I feel I'll have to keep fixing it....
Thanks for the comment. Nobody said that the code presented here is optimal. At the time of writing the article, everything was tested and worked. The goal was to tell you that the concept of the Hurst coefficient exists and that it can be applied. Thank you for your code and I wish you further success in implementing it.
Dmitry, good afternoon!
I also want to thank you for your work and let me ask you a couple of questions.
I have been studying fractals for quite a long time, I have some results. I wrote the first code for calculating the Hurst parameter in 2017 in EXEL.
Now I am interested in researching some chronologies on MT4 using the Hirst parameter.
I will need to set a certain interval ( on charts -day, 4 hour and hourly) that corresponds to the boundaries of the cyclical interval, in order to estimate the persistence of the subsequent cycle following the previous one. What is the possibility in the settings when selecting the number of candles ?
That is, I will be interested in the Hurst parameter only in one point - in the boundary of transition from one cycle to another, which form a fractal sequence.
I promise to familiarise you with the conducted research.
Sincerely, Andrey