hurst.py

#http://www.long-memory.com/hurst/hurst.cpp
#The calculation requires at least 4 data points.
# https://en.wikipedia.org/wiki/Rescaled_range
data = []
array1 = []
array2 = []
for n in range(len(data)):
  totalR = 0
	totalS = 0
  
	NoOfPeriods = len(data) - n + 1
  
  for period in range(len(NoOfPeriods)):
    for i in range(n):
      array1.append(data[period + i])
    for i in range(n):
      array2.append(0)
    Summ = 0
    for it1 in array1:
      Summ = Summ + it1
      SumSquared = SumSquared + (it1 * it1)
    Mean = Summ / n
    S = sqrt((SummSquared - (Summ * Summ) / n) / n)
    for it1 in array1:
      it1 = it1 - Mean
    for i2 in array2:
      i2 = i2 + array1[i1]
    Maxi = array2[0]
    Mini = array2[0]
    for it2 in array2:
      if it2 > Maxi:
        Maxi = it2
      if it2 < Mini:
        Mini = it2
    R = Maxi - Mini
    totalR = totalR + R
    totalS = totalS + S
  R = totalR / NoOfPeriods
  S = totalS / NoOfPeriods
  RS = R/S
  PlottedPointNo = n - 3;
	graph[PlottedPointNo].x = (log(n)) / logten;
	graph[PlottedPointNo].y = (log(RS)) / logten;
  
Sumx = 0
Sumy = 0
Sumxy = 0
Sumxx = 0
for i in range():
  Sumx = Sumx + graph[i].x;
  Sumy = Sumy + graph[i].y;
  Sumxy = Sumxy + (graph[i].x) * (graph[i].y);
  Sumxx = Sumxx + (graph[i].x) * (graph[i].x);
H = (Sumxy - ((Sumx * Sumy) / NoOfPlottedPoints)) / (Sumxx - ((Sumx * Sumx) / NoOfPlottedPoints))