HurstExponent

Library to calculate Hurst Exponent refactored from Hurst Exponent - Detrended Fluctuation Analysis [pig]
demean(src) Calculates a series subtracted from the series mean.
Parameters:
src: The series used to calculate the difference from the mean (e.g. log returns).
Returns: The series subtracted from the series mean
cumsum(src, length) Calculates a cumulated sum from the series.
Parameters:
src: The series used to calculate the cumulative sum (e.g. demeaned log returns).
length: The length used to calculate the cumulative sum (e.g. 100).
Returns: The cumulative sum of the series as an array
aproximateLogScale(scale, length) Calculates an aproximated log scale. Used to save sample size
Parameters:
scale: The scale to aproximate.
length: The length used to aproximate the expected scale.
Returns: The aproximated log scale of the value
rootMeanSum(cumulativeSum, barId, numberOfSegments) Calculates linear trend to determine error between linear trend and cumulative sum
Parameters:
cumulativeSum: The cumulative sum array to regress.
barId: The barId for the slice
numberOfSegments: The total number of segments used for the regression calculation
Returns: The error between linear trend and cumulative sum
averageRootMeanSum(cumulativeSum, barId, length) Calculates the Root Mean Sum Measured for each block (e.g the aproximated log scale)
Parameters:
cumulativeSum: The cumulative sum array to regress and determine the average of.
barId: The barId for the slice
length: The length used for finding the average
Returns: The average root mean sum error of the cumulativeSum
criticalValues(length) Calculates the critical values for a hurst exponent for a given length
Parameters:
length: The length used for finding the average
Returns: The critical value, upper critical value and lower critical value for a hurst exponent
slope(cumulativeSum, length) Calculates the hurst exponent slope measured from root mean sum, scaled to log log plot using linear regression
Parameters:
cumulativeSum: The cumulative sum array to regress and determine the average of.
length: The length used for the hurst exponent sample size
Returns: The slope of the hurst exponent
smooth(src, length) Smooths input using advanced linear regression
Parameters:
src: The series to smooth (e.g. hurst exponent slope)
length: The length used to smooth
Returns: The src smoothed according to the given length
exponent(src, hurstLength) Wrapper function to calculate the hurst exponent slope
Parameters:
src: The series used for returns calculation (e.g. close)
hurstLength: The length used to calculate the hurst exponent (should be greater than 50)
Returns: The src smoothed according to the given length
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Biblioteca Pine
Siguiendo fielmente el espíritu de TradingView, el autor ha publicado este código Pine como una biblioteca de código, permitiendo que otros programadores de Pine en nuestra comunidad puedan volver a utilizarlo. ¡Un brindis por el autor! Puede utilizar esta biblioteca de forma privada o en otras publicaciones de código abierto, pero tenga en cuenta que la reutilización de este código en publicaciones se rige por las Normas internas.