Discussion of article "Evaluating the ability of Fractal index and Hurst exponent to predict financial time series"
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?
Thanks,
Paul76
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?
Спасибо,
Paul76
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.
Hi
the include file .mqh is corrupted
Just one line :
void fFractalSegmentSeriesAnalysis(double series[], int segmLength, int segmShift
Hi Roman,
That was a great article and we can't wait to try to dig into this by ourselves! However, as already noted the last .mqh file is almost empty.
Can you please upload working code?
![MQL5 - Language of trade strategies built-in the MetaTrader 5 client terminal](https://c.mql5.com/i/registerlandings/logo-2.png)
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
You agree to website policy and terms of use
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
Fig.6 Close prices of Gazprom and the fractal index evaluation results
Author: Roman Korotchenko