Hurst Exponent

Modified on Thu, 18 May 2023 at 05:28 PM

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-termpositive autocorrelation. This also means that a high value in the serieswill be followed by another high value, and the values will remain highfor a long time in the future.
  • The H value in the range of 0 - 0.5 indicates a long-term switch between highand low values in adjacent pairs. This means that a single high value willbe followed by a low one with a high probability, and these values willtend to jump between the high and the low point for a long time in thefuture.
  • The H =0.5 value may point to absolutely uncorrelated series. But in fact, it canbe applied to series for which autocorrelations with a small delay can bepositive or negative, but the absolute values of autocorrelation decreaseexponentially to zero. This differs from the typical power expansion lawfor 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:


Period - setting of indicator calculation period.


Source - setting of the indicator calculation parameters:

  • Open
  • High
  • Low
  • Close
  • Volume


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

  • New panel
  • Chart


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.

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