detrendedfluctuationanalysis

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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. █  OVERVIEW We have introduced the concept of Hurst Exponent in our previous open indicator Hurst...

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Library "HurstExponent" Library to calculate Hurst Exponent refactored from Hurst Exponent - Detrended Fluctuation Analysis demean(src) Calculates a series subtracted from the series mean.   Parameters:      src : The series used to calculate the difference from the mean (e.g. log returns).   Returns: The series subtracted from the series mean ...