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Toh4iem9
3.1 KiB
3.1 KiB
Hurst Exponent Pro (Indicator)
1. Summary
Hurst Exponent Pro is an advanced quantitative indicator derived from Fractal Geometry and Chaos Theory. It measures the Long-Term Memory of a time series.
Unlike standard technical indicators that measure price or momentum, the Hurst Exponent measures the predictability and persistence of the market structure itself. It answers the fundamental question: "Is the current price movement trending (persistent), mean-reverting (anti-persistent), or completely random?"
2. Methodology
The indicator offers two distinct calculation engines:
A. Detrended Fluctuation Analysis (DFA) - Recommended
- Method: A robust algorithm that removes local polynomial trends from the data before analyzing the fluctuations.
- Strength: It is highly resistant to "non-stationary" noise (e.g., sudden volatility spikes or drifts), making it the preferred choice for modern financial markets (Forex, Crypto).
- Output: Provides a smoother, more reliable estimate of the fractal dimension.
B. Rescaled Range Analysis (R/S) - Classic
- Method: The original method developed by H.E. Hurst. It scales the range of price deviations by their standard deviation.
- Use Case: Useful for historical comparison or analyzing simpler datasets, but tends to overestimate trend strength in noisy markets.
Calculation Core: Both methods utilize Log-Log Regression over multiple time scales (e.g., 8, 16, 32, ..., 128 bars) to determine the slope (H), ensuring statistical validity.
3. Interpretation (The Hurst Values)
The indicator oscillates between 0.0 and 1.0.
Hurst Value (H) |
Market Regime | Interpretation & Strategy |
|---|---|---|
| $0.5$ | Random Walk (Brownian Motion) | The market is unpredictable (50/50). Price changes are independent. Avoid trading. |
| $> 0.5$ (0.6 - 1.0) | Persistent (Trending) | The market has "memory". A positive move is likely to be followed by another positive move. Trend Following strategies work best here. |
| $< 0.5$ (0.0 - 0.4) | Anti-Persistent (Mean Reverting) | The market "fights" the move. A positive move is likely to be followed by a reversal. Oscillator/Reversion strategies work best here. |
4. Parameters
InpPeriod: The lookback window for the analysis (Default:256).- Note: The Hurst Exponent is a statistical measure that requires a large sample size. Values below 100 are statistically unstable. We recommend using 256 or 512 bars for reliable results.
InpMethod: Switch betweenMETHOD_DFA(default) andMETHOD_RS_CLASSIC.InpPrice: The price source (Close, High, Low, etc.).
5. Usage in Trading
- Trend Filter: Only enter trend-following trades (e.g., MA crossovers) when Hurst > 0.6. This filters out "whipsaw" losses in random markets.
- Mean Reversion Filter: Only look for tops/bottoms (e.g., Bollinger Band bounces) when Hurst < 0.4.
- Regime Change: Watch for the Hurst line crossing the 0.5 level. This signals a fundamental shift in market structure (e.g., from a trending state into a random consolidation).