Discussing the article: "Implementing the Generalized Hurst Exponent and the Variance Ratio test in MQL5"
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Check out the new article: Implementing the Generalized Hurst Exponent and the Variance Ratio test in MQL5.
In this article, we investigate how the Generalized Hurst Exponent and the Variance Ratio test can be utilized to analyze the behaviour of price series in MQL5.
To test our GHE function, the application GHE.ex5, implemented as an Expert Advisor has been prepared. It allows one to visualize, random series with predefined characteristics and observe how the GHE works. Full interactivity enables adjusting the all parameters of the GHE, as well as the length of the series within limits. An interesting feature is the ability to log transform the series before applying the GHE, to test if there are any benefits to preprocessing the data in this manner.
We all know that when it comes to real world application, data sets are plagued by excessive noise. Since the GHE produces an estimate, that is sensitive to sample size, we need to test the significance of the result. This can be done by conducting a hypothesis test called the Variance Ratio (VR) test.
Author: Francis Dube