Hurst Momentum Oscillator

The Hurst Momentum Oscillator indicator is an adaptive tool that combines the Hurst Exponent with momentum analysis to identify market regimes and generate signals that adjust to trending or mean-reverting conditions.

Usage

The Hurst Momentum Oscillator can be used to identify current market behavior and potential trade entries based on regime-adaptive logic.

• Trend Following: Users can look for momentum signals when the background is tinted blue, indicating a persistent trending environment (Hurst > 0.5).
• Mean Reversion: When the background is pink (Hurst < 0.5), the market is in a mean-reverting state. Traders may look to fade extreme oscillator readings in these conditions.
• Regime Detection: The background tint provides an early warning for regime transitions. A switch from blue to pink suggests a trend may be losing its "memory" and entering a range.
• Visual Cues:
  • Cyan/Bullish zones: Indicates positive momentum within a trending or recovering structure.
  • Magenta/Bearish zones: Indicates negative momentum or mean-reverting pressure.
  • Gradient Intensity: Represents the relative strength of the signal.

Details

The indicator relies on the Hurst Exponent (H), a mathematical measure used to determine the long-term memory of a time series.

• H > 0.5: Indicates persistence (trending behavior).
• H = 0.5: Indicates a random walk.
• H < 0.5: Indicates anti-persistence (mean-reverting behavior).

By multiplying standard momentum by the Hurst coefficient, the tool amplifies signals during trending phases and dampens them during noisy, mean-reverting phases. This results in an adaptive oscillator that scales between -100 and 100, providing a normalized view of momentum adjusted for market fractal dimension.

Settings

Main Settings

• Hurst Period: Sets the lookback length used to calculate the Hurst Exponent.
• Momentum Period: Determines the period for the Rate of Change (ROC) calculation.
• Smoothing: Adjusts the EMA smoothing applied to the final oscillator output.

Visual

• Show Gradient: Toggles the multi-layered gradient fill for the oscillator.
• Show Histogram: Enables or disables the central histogram bars.

FAQ

How do I interpret the background colors?

The background represents the market regime calculated by the Hurst Exponent. Blue indicates a trending (persistent) market, while pink indicates a mean-reverting (anti-persistent) market.

What do the extreme values (80/-80) mean?

These are threshold levels typically used for overbought or oversold conditions. In a trending regime, these suggest strong persistence, while in a mean-reverting regime, they may signal an exhaustion point.

How can I access the Hurst Momentum Oscillator?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.