EdgeWare FastGraph Version 3 - Manual (Page 37)

37
This chart shows the low to very negative correlation between the value of the dollar and
the price of gold. This would tend to support the common notion that when the dollar is
strong, the price of gold (denominated in dollars) declines.
FastTrack Example #8 - Hurst Exponent Analysis
Hurst Exponent (HE) calculations are quite involved. See Appendix A for a description
of the calculation.
The HE is of interest because it can be used to determine if an index or fund has strong
trending properties. The HE can have a value between 0 and 1. Values less than 0.5 in-
dicate a fund is antipersistent, i.e., trading range, values greater than 0.5 indicate trend-
ing.
Show Hurst Exponent
The option to display the HE appears when FastTrack data is selected as the data file
type. Two values are required when the option is selected. See Appendix A for a de-
scription.
The HE can be used to compare the trending characteristics of different funds. The fol-
lowing chart shows that Fidelity Select Home Finance historically has a higher HE than
Select Electronics. The chart was made with a HE period of 500 days and 10 periods: