Hurst Exponent

Hurst Exponent is the definitive clean build of the rolling 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, 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 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.