Hearst index - page 16
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>> sure.)
Will you share it later? I think it will be useful.
You could also try TLS. But it has the same problems.
with the derivative, you can simplify your life by taking weight=1/((1+k)^0.5)
with the derivative you can simplify your life by taking weight=1/((1+k)^0.5)
The coefficients are constant, calculated and do not depend on anything.
Yes, the deviation should be counted from the straight line, not from the average.
Anyway, I'll write back tomorrow with the code.
If I'm not mistaken, the coefficient including weights is as follows
If I am not mistaken, the coefficient with weights is
If I am not mistaken, the number n should only be present in the sum sign in the formula, it should not be present in the pure form in the final formulas.
Anyway I will check it at the same time ))
I have read this thread. There are a lot of posts about how to calculate Hearst exponents or Dubovikov variation index correctly. Let's say you have found the correct method of calculation (it's not that hard). And then how do you apply all of this to trading? I understand that if H>0.5 then it is a persistent trend, if <0.5 then it is flat or expect trend reversal. Can somebody formulate the rules of opening positions? Like, if the H crosses 0.5 from the bottom to the top, open a position in the direction of the trend. Judging by the variation index graphs this rule does not guarantee that the trend will continue and on the average leads to a zero profit, because after H>0.5 reversals, flat and trend reversal happen very often. Moreover, the Hearst value or the variation index depends on the selected number of bars N, on which min, max and RMS are calculated. At one N, Hurst will indicate a trend, at another N - a flat. Which then choose N?
I have read this thread. There are a lot of posts about how to calculate Hearst exponents or Dubovikov variation index correctly. Let's say you have found the correct method of calculation (it's not that hard). And then how do you apply all of this to trading? I understand that if H>0.5 then it is a persistent trend, if <0.5 then it is flat or expect trend reversal. Can somebody formulate the rules of opening positions? Like, if the H crosses 0.5 from the bottom to the top, open a position in the direction of the trend. Judging by the variation index graphs this rule does not guarantee that the trend will continue and on the average leads to a zero profit, because after H>0.5 reversals, flat and trend reversal happen very often. Moreover, the Hearst value or the variation index depends on the selected number of bars N, on which min, max and RMS are calculated. At one N, Hurst will indicate a trend, at another N - a flat. Which N then choose?
The most suitable one is.
I am going to use it to determine if there is a trend. That is, only as a confirmatory one.
... With one N, Hurst will indicate a trend, with another N a flop. Which N should I choose then?
I exactly wanted to use it to define N, i.e. its N is constant and indicates "trend" or "flat" (though it is not a correct gradation), and depending on its readings to change N in another indicator. But I don't like it, it jumps a lot. Even with the same noise parameters the values are very different.
I have read this thread. There are a lot of posts about how to calculate Hearst exponents or Dubovikov variation index correctly. Let's say you have found the correct method of calculation (it's not that hard). And then how do you apply all of this to trading? I understand that if H>0.5 then it is a persistent trend, if <0.5 then it is flat or expect trend reversal. Can somebody formulate the rules of opening positions? Like, if the H crosses 0.5 from the bottom to the top, open a position in the direction of the trend. Judging by the variation index graphs this rule does not guarantee that the trend will continue and on the average leads to a zero profit, because after H>0.5 reversals, flat and trend reversal happen very often. Moreover, the Hearst value or the variation index depends on the selected number of bars N, on which min, max and RMS are calculated. At one N, Hurst will indicate a trend, at another N - a flat. What N should I select then?
I chose 5 as Dubovikov's one.
I look for a stock the other day, I look for one that is trending downwards and the other that is trending upwards and I open both positions.
It is very convenient to filter non-trend index variations, if it is more than 0,55, I do not even look further. for 80 shares it takes 15 minutes
If I am not mistaken, coefficient including weights is
This is not how it counts in general.
Please check that all three functions work correctly.
1. conventional ISC
2. Total Least Squares
Adaptive with weights, the one which caused all the fuss.