# Testing Hurst with Multiple Indexes

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DO NOT TRADE THIS SYSTEM. YOU VERY EASILY COULD LOSE LARGE AMOUNTS OF MONEY.

I am not necessarily recommending the system that I presented in Exploring the Market with Hurst, but I thought it would provide a nice platform to illustrate some backtesting with multiple indexes. Do not pass on the incredible opportunity presented by almost unlimited indexes from Yahoo! Finance and the Fed.

From TimelyPortfolio |

From TimelyPortfolio |

From TimelyPortfolio |

From TimelyPortfolio |

From TimelyPortfolio |

From TimelyPortfolio |

require(quantmod) require(PerformanceAnalytics) require(FGN) #sort of random mix for additional testing indexes<-c("STI","KS11","GDAXI","DJUSAU","DJUSFI","RUT","DJUBS") #iterate through index symbols for (i in 1:length(indexes)) { #get symbol getSymbols(paste("^",indexes[i],sep=""), from="1900-01-01",to=format(Sys.Date(),"%Y-%m-%d")) #set monthly index to first day of the month assign(indexes[i],to.monthly(get(indexes[i]))[,4]) #has to be a cleaner way than this to set the index assign(indexes[i],as.xts(coredata(get(indexes[i])), order.by=as.Date(index(get(indexes[i]))))) #get monthly changes ret<-ROC(get(indexes[i]),n=1,type="discrete") index(ret) <- as.Date(index(ret)) hurstKmonthly <- apply.rolling(ret, FUN="HurstK", width = 12) colnames(hurstKmonthly) <- "HurstK.monthly" index(hurstKmonthly) <- as.Date(index(hurstKmonthly)) serialcorr <- runCor(cbind(coredata(ret)),cbind(index(ret)),n=12) serialcorr <- as.xts(serialcorr,order.by=index(ret)) autoreg <- runCor(ret,lag(ret,k=1),n=12) colnames(serialcorr) <- "SerialCorrelation.monthly" colnames(autoreg) <- "AutoRegression.monthly" signalUpTrend <- runMean(hurstKmonthly+serialcorr+autoreg,n=6) + (get(indexes[i])/runMean(get(indexes[i]),n=12)-1)*10 signalUpTrend <- lag(signalUpTrend,k=1)

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