Hurst Exponent

Hurst Exponent is used as an indicator of timeseries long-term memory. This is related to the autocorrelation of timeseries and the rate at which they decrease as the delay between pairs of values increases. Hurst Exponent is considered as a “dependence index” or a “long-term dependence index”. It quantifies the relative tendency of timeseries either to strongly decrease in the average value direction, or to concentrate in a certain direction.

  • The H value in the range of 0.5 - 1 indicates timeseries with a long-term positive autocorrelation. This also means that a high value in the series will be followed by another high value, and the values will remain high for a long time in the future.
  • The H value in the range of 0 - 0.5 indicates a long-term switch between high and low values in adjacent pairs. This means that a single high value will be followed by a low one with a high probability, and these values will tend to jump between the high and the low point for a long time in the future.
  • The H = 0.5 value may point to absolutely uncorrelated series. But in fact, it can be applied to series for which autocorrelations with a small delay can be positive or negative, but the absolute values of autocorrelation decrease exponentially to zero. This differs from the typical power expansion law for the cases 0.5 < H < 1 and 0 < H < 0.5.
  • The H value outside these ranges indicates the absence of dependence.

The indicator view in the chart.


The indicator has the following parameters:


Settings

Period - setting of indicator calculation period.

Common

Source - setting of the indicator calculation parameters:

  • Open
  • High
  • Low
  • Close
  • Volume

Drawing

Panel/Moving average period - selection of the indicator location in the chart:

  • New panel
  • Chart

Visualization

Show value - display of the indicator value on the price scale on the left.

Scale/Auto-scaling - if this option is on, the scale will be automatically calculated, based on the minimum and maximum indicator values, so that the indicator would fit in the chart.

Color - color setting of the indicator.

Visual type - visual setting of the indicator display in the chart:

  • Line
  • Histogram
  • Hash
  • Block
  • Cross
  • Square
  • Dots
  • Up arrow
  • Down arrow
  • Axis label
  • Hide

Line style - setting of the line display style:

  • Solid
  • Dash
  • Dash - dot
  • Dash - dot - dot

Width - setting of the indicator line width.

This article was helpful for 2 people. Is this article helpful for you?