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Implementing the Generalized Hurst Exponent and the Variance Ratio test in MQL5

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by , 04-10-2024 at 07:13 AM (113 Views)
      
   
In the article Calculating the Hurst Exponent , we were introduced to the concept of fractal analysis and how it can be applied to financial markets. In that article the author described the rescaled range method (R/S) of estimating the Hurst Exponent. In this article we take a different approach by demonstrating the implementation of the Generalized Hurst Exponet (GHE) to classify the nature of a series. We will focus on using the GHE to identify forex symbols that exhibit a tendency to mean revert, in the hope of exploiting this behaviour.
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