Hurst as Relative Strength

June 21, 2011 | klr

THIS IS NOT INVESTMENT ADVICE AND COULD EASILY RESULT IN SIGNIFICANT LOSSES. As an extension to Testing Hurst with Multiple Indexes and Exploring the Market with Hurst, we also might employ our new Hurst signal as a relative strength determinant. ...
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Exploring the Market with Hurst

June 17, 2011 | klr

Randomly trudging through PerformanceAnalytics source code, I was intrigued by the Hurst Index calculation, which I discovered is more commonly called Hurst Exponent.  After quickly satisfying myself that I could actually do the rolling Hurst calculat...
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