September 3, 2022

# Hurst Exponent

We can use the Hurst exponent (H) as a measure for long-term memory of a time series, that is, to measure the amount by which that series deviates from a random walk. The scalar represents the relative tendency of a time series either to regress strongly to the mean (mean-reverting pattern) or to cluster in a certain direction (trending pattern).

The values of the Hurst exponent range between 0 and 1. Based on the value of H, we can classify any time series into one of the three categories:

• If the Indicator value is below  0.5  then we can expect a mean-reverting (anti-persistent) series. The closer the value is to 0, the stronger the mean-reversion process is. In practice, it means that a high value is followed by a low value and vice-versa.
• If the Indicator value is  0.5 — a geometric random walk.
• If the Indicator value is above 0.5 — a trending (persistent) series. The closer the value is to 1, the stronger the trend. In practice, it means that a high value is followed by a higher one.
##### Source: https://towardsdatascience.com/introduction-to-the-hurst-exponent-with-code-in-python-4da0414ca52e

The indicator has two parameters:

1. Applied price
2. Period

The indicator has one line:

1. Hurst Exponent

We have added these conditions as custom blocks:

• Hurst Exponent is above/below Level
• Hurst Exponent is above/below 50

Indicator is implemented for: MT4/MT5/Tradestation/ Multicharts.

How to import custom blocks:

1. Open the Algo Wizard in SQX
2. Select Customize
3. Select Custom Blocks
4. Import Custom Blocks
5. Save them

In this module, you can also modify the custom blocks – change the periods, change the steps, etc.

How to import custom indicators to SQX: