GOLD, Gold and XAUUSD - page 126

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My bad, I messed up with Hurst. I just checked, and the instruments are mean-reverting even on smaller windows. Shannon entropy, which measures uncertainty, is actually really high on small windows and drops as the window size increases.

HURST EXPONENT, Long-term Memory [0.0 to 1.0]

Symbol Hour Day Week Month Year Full Fractality
Gaussian Noise 0.50 0.50 0.50 0.50 0.50 0.49 0.82
Trend Noise 0.57 0.59 0.60 0.59 0.58 0.58 0.86
Reversion Noise 0.43 0.41 0.41 0.40 0.42 0.44 0.48
Levy Noise 0.50 0.50 0.50 0.50 0.49 0.48 0.73
FIGARCH Noise 0.49 0.36 0.41 0.47 0.50 0.50 0.10

Infrastructure & Tech 0.47 0.47 0.48 0.49 0.49 0.48 0.56
Real Economy & Industrials 0.48 0.48 0.49 0.49 0.49 0.49 0.67
Defensive Assets 0.47 0.47 0.48 0.48 0.49 0.47 0.63
Financials & FinTech 0.48 0.48 0.49 0.49 0.49 0.50 0.58
Macro Benchmarks 0.48 0.48 0.49 0.50 0.49 0.48 0.58
Crypto 0.48 0.47 0.48 0.48 0.49 0.50 0.49
Forex 0.46 0.46 0.47 0.48 0.49 0.48 0.36
 
AxelQuant #:
Gaussian Noise
You might want to check out StanTheMan's UniformityFactor (indicator) and UniformityFactorScript in the CodeBase. They analyze exactly that... Gaussian noise.
 
Yes, it can be said that the square root of time formula is a special case of the Hurst formula, specifically fixed at the point where the exponent H equals 0.5.
 
AxelQuant #:
Yes, it can be said that the square root of time formula is a special case of the Hurst formula, specifically fixed at the point where the exponent H equals 0.5.
Truth be told, I use it to build a custom chart to suit my desired noise level, e.g., ranging or trending, per my given strategy's requirement.
 
AxelQuant #:
who carried out mathematical calculations of water level fluctuations in the River Nile over a long period in order to build a dam

The dam would have been built even without him...

but he carried out calculations that the managers and investors were very, very pleased with: ‘the dam can be built lower’.

Now we can only speculate – whether it was a coincidence or not that the dam wasn’t washed away and the Nile didn’t burst its banks with full force before all the other hydraulic engineering works were built :-)

 
Maxim Kuznetsov #:

The dam would have been built even without him...

but he carried out calculations that the managers and investors were very, very pleased with: ‘the dam can be built lower’.

Now we can only speculate – whether it was a coincidence or not that the dam wasn’t washed away and the Nile didn’t burst its banks with full force before all the other hydraulic engineering works were built :-)

Thank you for being so dam informative.😁
 
Ryan L Johnson #:
Truth be told, I use it to build a custom chart to suit my desired noise level, e.g., ranging or trending, per my given strategy's requirement.
Do you use this formula to calculate the Renko brick size?
 
Maxim Kuznetsov #:
Now we can only speculate
That's cool! 
 
AxelQuant #:
Do you use this formula to calculate the Renko brick size?

Yes indeed. You know it based on my avatar.😉

(Maneki-neko and Renko are both Japanese).

I also expressly posted that I do in the UniformityFactor Discussions.
 
So, the lower the exponent, the larger the brick size needs to be to filter out the mean-reversion noise? Is that right?
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