HurstExponent

Hurst Exponent is a statistical measure used to evaluate the tendency of a time series to either trend or revert to the mean.

To use the indicator, you need to use the HurstExponent class.

Description

The Hurst exponent (H) ranges between 0 and 1 and describes the long-term memory of a series:

• H > 0.5 indicates persistent trending behaviour.
• H < 0.5 shows a tendency toward mean reversion.
• H ≈ 0.5 corresponds to a random walk.

It can help estimate market efficiency and reveal emerging cycles or trends.

Parameters

• Length – the number of bars used in the calculation.

Calculation

A common method is based on the rescaled range (R/S) approach:

1. For each window of Length points, compute cumulative deviations from the mean.
2. Find the range R as the difference between maximum and minimum cumulative deviation.
3. Calculate the standard deviation S of the window.
4. Evaluate the rescaled range R/S.
5. Estimate H as the slope of log(R/S) against log(Length).

Higher values of the exponent suggest stronger trending behaviour, while lower values imply greater mean reversion.

See Also

Fractal Adaptive Moving Average Market Meanness Index