Discussion of article "Evaluating the ability of Fractal index and Hurst exponent to predict financial time series"

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MetaQuotes Software Corp.
MetaQuotes Software Corp.  

New article Evaluating the ability of Fractal index and Hurst exponent to predict financial time series has been published:

Studies related to search for the fractal behavior of financial data suggest that behind the seemingly chaotic behavior of economic time series there are hidden stable mechanisms of participants' collective behavior. These mechanisms can lead to the emergence of price dynamics on the exchange, which can define and describe specific properties of price series. When applied to trading, one could benefit from the indicators which can efficiently and reliably estimate the fractal parameters in the scale and time frame, which are relevant in practice.

Demonstration of indicator operation on real data

The indicator is requested to evaluate 600 days with the evaluation window of 64 points. The result contains 536 values of the fractal index and it is shown in Fig.6.


Fig.6 Close prices of Gazprom and the fractal index evaluation results

The figure shows the correlation of the index values and the behavior of prices. The blue color of the index graph corresponds to the trend state of the system, it indicates the trend stability and the ability to predict future behavior. Violet color indicates anti-persistence of the "pink noise" type, which corresponds to "negative" memory and flat. Yellow corresponds to the "Brownian motion", i.e. the movement is random and cannot be predicted.

Author: Roman Korotchenko


Dear Roman,

let me have 2 notices:

- when interpreting the value of mu (above or below the 0.5 treshold), there must be a mistype.
 In the 'The correlation of the time series nature and the fractal index' section, the relation sign has been exchanged between points number 2 and 3.
 When evaluating the value of H and mu together, the direction of the sign is in the opposite meaning compared to that of the preceding two points.
 Anyway, the Fig. 6 makes it clear that the correct interpretation is that values of mu below (not above) 0.5 correspond to a trend.

- in the attached FRACTAL_upd.zip, there is a corrupted file: fFractalSegmentSeriesAnalysis.mqh. This file ends abruptly in a listing of formal parameters for a method.
 Could you upload an unbroken version of this file?


Roman Korotchenko
Roman Korotchenko  

Дорогой Роман,

позвольте мне иметь 2 уведомления:

- при интерпретации значения mu (выше или ниже порога 0,5) должен быть ошибочный тип.
 В разделе «Корреляция природы временного ряда и фрактального индекса» был изменен знак отношения между точками № 2 и 3.
 При оценке значения H и mu вместе направление знака имеет противоположный смысл по сравнению с тем из двух предыдущих пунктов.
 В любом случае, на рис. 6 проясняется, что правильная интерпретация состоит в том, что значения mu ниже (не выше) 0.5 соответствуют тренду.

- в прикрепленном файле FRACTAL_upd.zip есть поврежденный файл: fFractalSegmentSeriesAnalysis.mqh. Этот файл неожиданно заканчивается списком формальных параметров для метода.
 Не могли бы вы загрузить непрерывную версию этого файла?


Imanol Salazar Garcia
Imanol Salazar Garcia  
Roman Korotchenko:

Hi Roman, that .mqh file is semi empty too, like the previous.

Anyway, very thanks for the article, you have opened me a new field of vision.

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