The Hurst Exponent (
H) is part of a Rescaled Range Analysis, a random-walk path analysis that measures trending and mean-reverting tendencies of incremental return values. When
H is greater than 0.5 it depicts trending. When
H is less than 0.5 it is is more likely to revert to the mean. When
H is around 0.5 it represents a random walk.
// usage IEnumerable<HurstResult> results = quotes.GetHurst(lookbackPeriods);
int - Number of periods (
N) in the Hurst Analysis. Must be greater than 20. Default is 100.
Historical quotes requirements
You must have at least
N+1 periods of
quotes to cover the warmup periods.
quotes is a collection of generic
TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.
- This method returns a time series of all available indicator values for the
- It always returns the same number of elements as there are in the historical quotes.
- It does not return a single incremental indicator value.
- The first
Nperiods will have
nullvalues since there’s not enough data to calculate.
DateTime - Date from evaluated
double - Hurst Exponent (
See Utilities and helpers for more information.
This indicator may be generated from any chain-enabled indicator or method.
// example var results = quotes .Use(CandlePart.HLC3) .GetHurst(..);
Results can be further processed on
HurstExponent with additional chain-enabled indicators.
// example var results = quotes .GetHurst(..) .GetSlope(..);