HurstExponentTest: Hurst Exponent Test
In ivanliu1989/RQuantTrader: A collection of functions for pair trading
Description
Usage
Arguments
Value
Examples
View source: R/HurstExponentTest.R
Description
Effectively this returns a value between 0 and 1 that tells you whether a time-series is trending or mean-reverting.
The closer the value is to 0.5 means the more "random" the time-series has behaved historically.
Values below 0.5 imply the time-series is mean-reverting, and above 0.5 imply trending.
The closer the value is to 0 implies greater levels of mean-reversion.
Usage
1
HurstExponentTest(y, lookback)
Arguments
y
Vector to be tested for a unit root.
lookback
number of perioed to look back for testing
Value
A list of hurst test results
Examples
1
2
3
getFX("AUD/USD")
getFX("CAD/USD")
HurstExponentTest(AUDUSD/CADUSD, 20)
ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.
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Description Usage Arguments Value Examples
View source: R/HurstExponentTest.R
Description
Effectively this returns a value between 0 and 1 that tells you whether a time-series is trending or mean-reverting. The closer the value is to 0.5 means the more "random" the time-series has behaved historically. Values below 0.5 imply the time-series is mean-reverting, and above 0.5 imply trending. The closer the value is to 0 implies greater levels of mean-reversion.
Usage
1 | HurstExponentTest(y, lookback)
|
Arguments
y |
Vector to be tested for a unit root. |
lookback |
number of perioed to look back for testing |
Value
A list of hurst test results
Examples
1 2 3 | getFX("AUD/USD")
getFX("CAD/USD")
HurstExponentTest(AUDUSD/CADUSD, 20)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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