Hurst Exponent¶
v.1.1.0.0
Overview¶
The Hurst exponent estimates whether the price is trending (H above 0.5), mean-reverting (H below 0.5) or moving at random (around 0.5). The columns are coloured by the regime.
Parameters¶
Hurst General¶
| Parameter | Default | What it does |
|---|---|---|
| Period | 14 | The bars the exponent is measured over. |
| Mean-reversion market: H < (Y) | 0.45 | H < 0.5 - The time series is mean reverting |
| Trending market: H > (Y) | 0.55 | H > 0.5 - The time series is trending |
Hurst Styles¶
| Parameter | Default | What it does |
|---|---|---|
| Trend color | olive | The trending time series color |
| Mean Reversion color | red | The mean reverting time series color |
| Random wandering color | orange | The (GBB) Geometric Brownian Motion time series color |
For strategies¶
| Value | Meaning |
|---|---|
| HurstValue | The exponent. |
| Trend | 1 trending, -1 mean-reverting, 0 random. |
Version history¶
v.1.1.0.0 - October 2026
- Changed: lags up to half the window; flat stretches no longer break the scale.