Stuck on an issue?

Lightrun Answers was designed to reduce the constant googling that comes with debugging 3rd party libraries. It collects links to all the places you might be looking at while hunting down a tough bug.

And, if you’re still stuck at the end, we’re happy to hop on a call to see how we can help out.

Hurst exponent lookback too high

See original GitHub issue

the problem

Hi thanks for creating this amazing library! 🙏

I’m trying to use the Hurst exponent on my quotes. I understand that Hurst works optimally when it has 100+ lookback data points. But I want to tweak it for a lookback of 30 lag datapoints since I operate on larger time frames.

Could you please recommend if I should create my own version of if there is a way to disable the validation in this library?

Issue Analytics

  • State:closed
  • Created 9 months ago
  • Comments:7 (7 by maintainers)

github_iconTop GitHub Comments

DaveSkendercommented, Dec 21, 2022

Hi @DaveSkender I have created a PR for your review #978 . Please research and let me know if it needs any changes.

Oh, nice. Thank you for contributing! I’ll take a look and try to review and merge early next week.

sshquackcommented, Dec 10, 2022

Yes, happy to contribute. Thinking of setting it to 20 since I’ve seen a few python libs have a min of 20 lookback series. I’ll send a PR for you to run a validation after your research.

Read more comments on GitHub >

github_iconTop Results From Across the Web

Lookback period for Hurst Exponent calculation - Quantra
Hi, I've been trying to understand the Hurst Exponent calculation on real asset price time series and I noticed that the data span...
Read more >
Estimating the Hurst Exponent
A small Hurst exponent has a higher fractal dimension and a rougher surface. ... The Hurst exponent is not so much calculated as...
Read more >
Detecting trends and mean reversion with the Hurst exponent
The Hurst exponent is a single scalar value that indicates if a time series is purely random, trending, or rather mean reverting. Thus,...
Read more >
Advanced Indicator Set 1 Help File
The Hurst Exponent is useful for determining how random a price time series is. If the series is very random, then in theory,...
Read more >
roll_hurst: Calculate a time series of _Hurst_ exponents over a ...
The function roll_hurst() calculates a time series of Hurst exponents from OHLC prices, over a rolling look-back interval. The Hurst exponent is defined...
Read more >

github_iconTop Related Medium Post

No results found

github_iconTop Related StackOverflow Question

No results found

github_iconTroubleshoot Live Code

Lightrun enables developers to add logs, metrics and snapshots to live code - no restarts or redeploys required.
Start Free

github_iconTop Related Reddit Thread

No results found

github_iconTop Related Hackernoon Post

No results found

github_iconTop Related Tweet

No results found

github_iconTop Related Post

No results found

github_iconTop Related Hashnode Post

No results found