balipour

Hurst Exponent (Simple) [pig]

The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series and the rate at which these decrease as the lag between pairs of values increases.

The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series either to regress strongly to the mean or to cluster in a direction. A value H in the range 0.5–1 indicates a time series with long-term positive autocorrelation, meaning both that a high value in the series will probably be followed by another high value and that the values a long time into the future will also tend to be high. A value in the range 0 – 0.5 indicates a time series with long-term switching between high and low values in adjacent pairs, meaning that a single high value will probably be followed by a low value and that the value after that will tend to be high, with this tendency to switch between high and low values lasting a long time into the future. A value of H=0.5 can indicate a completely uncorrelated series, but in fact it is the value applicable to series for which the autocorrelations at small time lags can be positive or negative but where the absolute values of the autocorrelations decay exponentially quickly to zero. This in contrast to the typically power law decay for the 0.5 < H < 1 and 0 < H < 0.5 cases.

In plain words, when HE > 0.5, the market is trending and the volatility is high. When HE < 0.5, the market is mean reverting, and the volatility is low.
Hurst Exponent can be used to identify the strength of the trend in the market just like some traditional indicators such as ADX .



(This is not very accurate. The real HE test has an expected value that is close to 0.5 but not equal to 0.5. And we need to compute a confidence interval around the expected value of hurst exponent based on standard deviation. Eg : Expected Value 0.54, SD = 0.05, 95% confidence interval is 0.54 + 1.96* 0.05 = 0.64, 0.54 - 1.96* 0.05 = 0.44. So only when the HE value is larger than 0.64 or smaller than 0.44 it has statistical significance. Not just above 0.5 or below 0.5. ) We use 0.5 as threshold just for simplification, it's not the ideal way to do it. We see a lot of other Hurst Exponent Indicators using 0.5 as threshold but failed to mention this.

The estimation method here to calculate Hurst exponent is simplified. Therefore it does not provide the most accurate value. There are more advanced ways such as rescaled range and detrended fluctuation analysis to estimate the accurate values of Hurst exponent . However, these methods require a very large sample size such as 1024 bars, it makes it less tradable. It will be more like a statistical test for market efficiency rather than a trading indicator. We will release the rescaled range Hurst exponent estimation for accurate Hurst exponent in the future.
Notes de version: Added MTF Function
Notes de version: One mistake in the first picture. When market is trending the Hurst exponent should be > 0.5 instead of < 0.5
Supprimer des scripts favoris Ajouter aux scripts favoris
Our Website: https://bapigindicator.com

Sign up on our website to get access to our indicators.

Commentaires

This publication is now featured in our Editors' Picks. In the name of all TradingView traders, thank you for your valuable contribution to the TradingView community, and congrats!
+6 Répondre
balipour PineCoders
@PineCoders, thanks a lot. we really appreciate it.
Répondre
Another new free high-tier open source indicator. Another brand new entire layout based around it. Keep pushing these next level indicators out, so much fun. So many gainz. Have HVP for volatility, mom for directional assumption, and this for strength of trend, easy plan, easy execution.
+1 Répondre
Wuuzi Wuuzi
These other Hurst Exponents really have no grounding to even stand on when compared to this one. Very accurate.
+1 Répondre
@Wuuzi, #facts lol
Répondre
Hope you are doing well...What can I say...You're a genius!
+1 Répondre
balipour BeccaB
@BeccaB, Thanks Becca , hope you're doing well.
Répondre
a definite addition to my chart. Thanks for sharing!
Répondre
fucking life changer if you ask me
Répondre
balipour iam516
@iam516, thanks bro. we agree and generally speaking, believe that's almost a necessary criteria for what one chooses to publish or work on.
Répondre
Accueil Screener d'actions Screener Forex Screener Crypto Calendrier économique Comment ça marche Caractéristiques du graphique Prix Parrainer un ami Règles de conduite Centre d'aide Solutions site web & courtier Widgets Solutions de cartographie Bibliothèque de graphiques allégés Blog & News Twitter
Profil Paramètres du Profil Compte et Facturation Amis référés Coins Mes tickets au support Centre d'aide Idées Publiées Followers Suivi(e) Messages privés Chat Se Déconnecter