Hurst Difference


Hurst Difference Indicator

Author: eMoe

This indicator is based on the assumption that the price variations follow a multi-fractal model. Thus, the Hurst exponent H can be easily computed from the fractal dimension. The variations of the Hurst exponent can actually be seen as prediction of the volatility variations, and therefore they provide the signals to enter the trade (whenever this variation is positive), in order to profit from the high volatility period. It must be noticed however, that this indicator doesn't give any information as to the direction of the trade, for that a directional indicator must be used.

For more details about this indicator, please see blog:

http://fractalfinance.blogspot.com/2010/05/variation-of-hurst-exponent.html




Posted Monday, October 15, 2012 by Administrator
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