RSanlysice.rar_hurst

clear all close all; clc; q1= csvread('D:\Program Files (x86)\Alpari NZ MT4\experts\files\EURUSD10080Close.csv'); q1log_1=[]; for i=1:1:length(q1) q1log_1=[q1log_1 log(q1(i))]; end q1log_1c=[]; for i=1:length(q1log_1)-1 q1log_1c=[q1log_1c q1log_1(i+1)-q1log_1(i)]; end s=q1log_1c; nnn=size(s); seg=fix(nnn(2)/2); v=[];num=[];logn=[];logmhn=[];logers=[];ers=[]; for n=10:1:seg pp=fix(nnn(2)/n); for k=1:1:pp ss=s((1+(k-1)*n):(k*n)); sm=mean(ss); sr=std(ss,1); if sr==0 sr=0.0001; end sss=ss-sm; for i=1:1:n z(i)=sum(sss(1:i)); end r=max(z)-min(z); hn(k)=r/sr; ss=[]; sss=[]; z=[]; end mhn=mean(hn); hn=[]; v=[v mhn/sqrt(n)]; plot(log(n),log(mhn)); xlabel('logn');ylabel('log(mhn)'); hold on logn=[logn log(n)]; logmhn=[logmhn log(mhn)]; for r=1:n-1 temp(r)=sqrt((n-r)/r); end ersn=((n-0.5)/n)*(1/sqrt(n*pi/2))*sum(temp); logers=[logers log(ersn)]; ers=[ers ersn/sqrt(n)]; end vmax=max(v); nmax=find(v>=vmax)+9 figure(2); plot(logn,v); %添加文字 str=[ ' V^{' num2str(nmax) '}$$']; text('String',str,'Position',[50 0.01],'FontSize',16); xlabel('logn');ylabel('v'); hold on plot(logn,ers);%叠加修正R/S X1=logn(1:nmax)'; Y1=logmhn(1:nmax)'; Y11=logers(1:nmax)'; X2=logn(nmax+1:length(logn))'; Y2=logmhn(nmax+1:length(logmhn))'; Y22=logers(nmax+1:length(logers))'; p1=polyfit(X1,Y1,1); p2=polyfit(X2,Y2,1); p3=polyfit(X1,Y11,1); p4=polyfit(X2,Y22,1); fitY1=polyval(p1,X1); fitY2=polyval(p2,X2); fitY3=polyval(p3,X1); fitY4=polyval(p4,X2); figure(3); plot(logn,logmhn); hold on plot(X1,fitY1,'g'); hold on plot(X2,fitY2,'r'); hold on plot(logn,logers,'k');