Volumes, volatility and Hearst index - page 15

 
Prival:

I do not think in my time I think we have not come to a conclusion as to how to calculate it correctly (I mean the classics) https://www.mql5.com/ru/forum/102239/page13.


I'll have to answer myself. Maybe then the debaters will pay attention. There was a post 8 pages ago. I suggest you give the formulas with detailed explanations. So that anyone else can take this formula and get the same result. Preferably a reference example.

Z.I. Avals it seems to me this series has no average at all, the sample does, but the series has no "...I suggest you post here the calculation for series 0, 1, 8, 27, 64, 125, ..., 1000*1000*1000. What do you get? Bullshit, not Hearst. The average of this series, alas and ah, is not proportional to the root of N...".

Although you can use it, the main thing is that the results would converge and come to the same opinion. In normal arguments sometimes the truth is born...

 
Avals:


Some incomprehensible drop-off in the tick volume area = 2 and 3. And a spike in the values of 11 and 21. Well 21 is understandable - a point :) The impression is that some bars with volume d.b. 2 or 3 complemented to 11 and 21.

A defect in the primary quote filter?
 
Farnsworth:
Candid:


There is no such formula, there is High - Low = k * (N^h) and h in it is the Hurst index.

For objectivity's sake - what is written has yet to be proven. It may be true and maybe the quoting process is subject to such a power dependence, but h in this formula is exactly Hurst? Although, I may have missed something and you have already proved it.


There is no need to prove it. Hearst postulated this formula, at least that is how it is written in Peters. That is why it is the actual definition of the Hurst index. Only not in this form, but in this one:

R/S = k * (N^h)

The (High-Low) entry in general is nonsense from my point of view (sorry Nikolai, I understand that you're just following Vit's notation). High and Low are used everywhere as purely local values. And R in Hearst's formula is the average spread.

 
Yurixx:


There is no need to prove it. Hearst postulated this formula, at least that is what Peters has written. That is why it is the actual definition of the Hurst index. Only not in this form, but in this one:

R/S = k * (N^h)

The entry (High-Low) is generally delusional from my point of view (sorry Nikolai, I understand that you're just following Wit's designations). The High and Low values are used everywhere as purely local. And R in Hearst's formula is the average spread.

Well maybe High Low came from me in this thread, I just wanted to immediately link the subject of discussion to the subject of interest in this society. However, nothing prevents me from stating that I was referring to the average of their differences :)
 
Prival:


You'll have to answer to yourself. Maybe then the arguers will pay attention. There was a post eight pages ago. I suggest you give formulas with detailed explanations. So that anyone else can take this formula and get the same result. Preferably a reference example.


Sergei, I do not understand what the question is. What formulas do you need to quote and why? Who is this referring to?
 
Candid:
A defect in the primary quotation filter?

Maybe, or maybe there's something wrong with the histories. They have such a thing on all pairs, but ran the script in another brokerage company - everything is even
 
Candid:
Well, it may have come from me in this thread, I just wanted to immediately link the subject to a subject of interest to the community here. However, nothing prevents me from stating that I was referring to their averages :)

This expression first appeared in the formula that Vita promotes with enviable obstinacy, referring to all the textbooks at once. He never answered what he really meant by it. Although I did ask.
 
Yurixx:

Sergei, I do not understand what the question. What formulas should be given and why? To whom is it addressed?


Probably everyone. Here Candid has given the formula R / S = k * (N ^ h) - now it remains to clarify how to calculate these letters, the example will be better. Let it be a series of 0, 1, 2...,29,30,29...2,1,0.

On it calculate and show everything. And the appointee is the one who says the wrong thing. He will show you the right way on the same row by giving you a formula.

You will erase all the keyboard here, but the truth will not come, I think so for some reason ...

 

Yurixx, according to your observations the ratio of mean spread to mean increment (in your terms R/M) converges to 2 as N increases? Or is it just a lack of data that gives this impression?

 
Vita:

I've attached a file that counts Hearst, You only write the word "Hearst".



Question for everyone here. Has anyone seen the file attached by Vita ? I don't see anything, but maybe I missed something ?