In stochastic processes, chaos theory and time series analysis, detrended fluctuation analysis (DFA) is a method for determining the statistical self-affinity of a signal. It is useful for analyzing time series that appear to be long-memory processes and noise.
We have introduced the concept of Hurst Exponent in our previous open indicator Hurst...
Library to calculate Hurst Exponent refactored from Hurst Exponent - Detrended Fluctuation Analysis
demean(src) Calculates a series subtracted from the series mean.
src : The series used to calculate the difference from the mean (e.g. log returns).
Returns: The series subtracted from the series mean