Hurst Exponent
Version: v.1.0.0.0
Description
The goal of the Hurst Exponent is to provide us with a scalar value that will help us to identify (within the limits of statistical estimation) whether a series is mean reverting, random walking or trending.
Var(τ) = h|log(t + τ) − log(t)|²i
Properties
- Period [default: 14, range: 1–∞] — Number of bars for exponent calculation.
- Mean-reversion market: H < (Y) [default: 0.45, range: 0–∞] — H < 0.5 - The time series is mean reverting.
- Trending market: H > (Y) [default: 0.55, range: 0–∞] — H > 0.5 - The time series is trending.
- Trend color — The trending time series color.
- Mean Reversion color — The mean reverting time series color.
- Random wandering color — The (GBB) Geometric Brownian Motion time series color.