# Hurst Exponent Hurst Exponent is an indicator on [Vela](https://vela.luxalgo.com/chart), our next-generation charting platform, written in Pine Script®. Estimates the Hurst exponent with classical rescaled-range analysis over a rolling 128-increment window, fitting log R/S against log subsample size across dyadic scales. A 5-bar SMA smooths the raw reading, and regimes are only called once the smoothed H clears a 0.05 neutral band around the 0.5 random-walk benchmark: trending above, mean-reverting below, with alerts and a dashboard quoting fit quality. - Indicator in the LuxAlgo Library, by LuxAlgo, published May 1, 2026. - Access: free. - Concepts: [Hurst Exponent](https://www.luxalgo.com/library/concept/hurst-exponent/) (primary) - Open on Vela: https://vela.luxalgo.com/chart?pineScriptCodeId=v8zicr04w7nudnznerpr3k4w - Page: https://www.luxalgo.com/library/indicator/hurst-exponent/ **Hurst Exponent** is the definitive clean build of the rolling [Hurst exponent](https://www.luxalgo.com/library/concept/hurst-exponent/) read. Each bar it runs classical rescaled-range analysis on the last 128 increments, fitting log R/S against log subsample size across dyadic scales; the fitted slope is H. Because raw rolling estimates jump, a smoothed series carries the regime read, and a neutral band around the 0.5 benchmark absorbs estimation noise: no regime is called until the smoothed H clears it. The line colors by state, and the dashboard quotes the reading with its method, window and log-log fit R². ## How to Trade the Hurst Exponent? - **H above the band**: persistent increments, the ground where trend-following approaches have a case. - **H below the band**: anti-persistence. Moves lean toward giving part of the ground back, favoring fading and reversion tactics. - **H inside the band**: random-walk territory; past direction carries no usable information, so both playbooks stand down. - **Regime alerts**: fire on each crossing into trending, mean-reverting or neutral territory. Like much of the [statistics family](https://www.luxalgo.com/library/family/statistics/), the reading is a tendency, not a precise number: a filter over strategies, not an entry. ## Hurst Exponent Settings - **Source** (default close): series the exponent is estimated on. - **Sample Length** (default 128): rolling increments per estimate; longer is steadier but slower to adapt. - **Increments** (default Log Returns): or Simple Differences for series that can be zero or negative. - **Smoothing Method** (default SMA) with **Smoothing Length** (default 5): the smoothing that carries the regime read; 1 follows the raw estimate. - **Neutral Band Width** (default 0.05): half-width of the noise band around 0.5. - **Dashboard & style**: dashboard on, gradient fill on, raw estimate hidden by default. ## Frequently Asked Questions ### How does the Hurst Exponent differ from Autocorrelation? [Autocorrelation](https://www.luxalgo.com/library/indicator/autocorrelation/) measures dependence at specific lags, while the Hurst exponent summarizes how dependence scales across window sizes into one long-memory number. Reading them together is the standard cross-check before trusting either. ### Why a neutral band instead of a hard 0.5 line? Estimation error on trading-sized windows is substantial, so small excursions from 0.5 are noise rather than signal. The band forces the smoothed H to move decisively before a regime is called: fewer flips, more meaningful ones. ### Does a high H say which way price will go? No. H measures character, not direction: above 0.5 means moves tend to continue whichever way they point. Direction still has to come from a trend tool; H only says whether following it is statistically sensible here. ## Related indicators - [Precision Market Entropy Heatmap](https://www.luxalgo.com/library/indicator/precision-market-entropy-heatmap/) (Entropy Measures): markdown at https://www.luxalgo.com/library/indicator/precision-market-entropy-heatmap.md - [Change-Point Detection (CUSUM)](https://www.luxalgo.com/library/indicator/change-point-detection-cusum/) (Change-point Detection): markdown at https://www.luxalgo.com/library/indicator/change-point-detection-cusum.md - [Chaos Weighted RSI](https://www.luxalgo.com/library/indicator/chaos-weighted-rsi/) (Fractal Dimension): markdown at https://www.luxalgo.com/library/indicator/chaos-weighted-rsi.md - [Spline Quantile Regression Channel](https://www.luxalgo.com/library/indicator/spline-quantile-regression-channel/) (Statistics): markdown at https://www.luxalgo.com/library/indicator/spline-quantile-regression-channel.md - [Reversal Probability Zone & Levels](https://www.luxalgo.com/library/indicator/reversal-probability-zone-levels/) (Statistics): markdown at https://www.luxalgo.com/library/indicator/reversal-probability-zone-levels.md - [Predictive Monte Carlo Engine](https://www.luxalgo.com/library/indicator/predictive-monte-carlo-engine/) (Statistics): markdown at https://www.luxalgo.com/library/indicator/predictive-monte-carlo-engine.md - [Arbitrage Detector](https://www.luxalgo.com/library/indicator/arbitrage-detector/) (Statistics): markdown at https://www.luxalgo.com/library/indicator/arbitrage-detector.md - [Consecutive Candle Streak Analysis](https://www.luxalgo.com/library/indicator/consecutive-candle-streak-analysis/) (Statistics): markdown at https://www.luxalgo.com/library/indicator/consecutive-candle-streak-analysis.md --- Source: https://www.luxalgo.com/library/indicator/hurst-exponent/ (LuxAlgo Library). Free to use with attribution: https://www.luxalgo.com/library/license/