September 3, 2022

5 2

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

 

You can easily do your conditions in Custom blocks. More information you can find here:

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

 

How to import custom indicators to SQX: 

 

 

2 Comments
Oldest
Newest Most Voted
Inline Feedbacks
View all comments
Emmanuel
Emmanuel
September 7, 2022 9:08 am

Excellent !!! Thank you Ivan !!!

Olax
Olax
September 24, 2022 2:06 pm

This is great!