Simple Hurst Exponent [QuantNomad]

18 Feb 2021

This is a simplified version of the Hurst Exponent indicator.
In the meantime, I'm working on the full version. It's computationally intensive, so it's a challenge to squeeze it to PineScript limits. It will require some time to optimize it, so I decided to publish a simplified version for now.

The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases

The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series either to regress strongly to the mean or to cluster in a direction.

In short depend on value you can spot trending / reversing market.

• Values 0.5 to 1 - market trending
  
• Values 0 to 0.5 - market tend to mean revert
  

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Disclaimer
Please remember that past performance may not be indicative of future results.
Due to various factors, including changing market conditions, the strategy may no longer perform as good as in historical backtesting.
This post and the script don’t provide any financial advice.