Hurst Exponent

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. [Discuss] :speech_balloon:

chart for Hurst Exponent

// usage
IEnumerable<HurstResult> results =
  quotes.GetHurst(lookbackPeriods);

Parameters

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.

Response

IEnumerable<HurstResult>

HurstResult

Date DateTime - Date from evaluated TQuote

HurstExponent double - Hurst Exponent (H)

Utilities

See Utilities and helpers for more information.

Chaining

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(..);