OPEN-SOURCE SCRIPT
Atualizado Hurst Exponent Trend filter
Hello Traders !!
Hurst Exponent Trend filter utalises the Hurst Exponent and VAWMA (one of my other unique indicators - check my script publishings to use) to categorise the market and decide whether its Trending, H > 0.5, In random Geometric Brownian Motion (GBM) H = 0.5 or Mean reverting (Contrarian), H < 0.5, When Trending a Trend following indicator -The VAWMA- is color highlighted, By doing so, theoreticaly price noise is eleimnated leaving statsitcaly true zones of price action Trend.
What is The Hurst Exponent ?
Developed by The Hydrologist Edwin Harlod Hurst, The Hurst Exponent measures auto correlation in time series sets, Its first applicartions were in the natural world, e.g. in measureing the volume of water in a river.
Although since then it has had applications in Finance, this may be largly due to autocorrelation functions being usefull tools in univaritae time series anaylyis.
The Hurst Exponent (H) aims to segment the market into three differnet states, Trending (H > 0.5), Random Geometric Brownian Motion (H = 0.5) and Mean Reverting / Contrarian (H < 0.5). In my interpritation this can be used as a trend filter that iliminates market noise, which may be achived by only focusing on trending zones.
How to Interprit the Indicator :
Focusing on the Above image, When H > 0.5 A trend is presnet, to decide the directional bias, both VAWMA`s position is checked, given the fast VAWMA > slow VAWMA and the current close > the fast VAWMA a bulish bias is present, signafied by a vibrant green fill between the fast VAWMA and price action. note the exact opposite logic for a bearish bias and H > 0.5 (signafied by a vibrant red fill). .
I will continue to update this Trading Indicator.
PS : Thats given I can hopfully remmember
Happy Trading !!
Hurst Exponent Trend filter utalises the Hurst Exponent and VAWMA (one of my other unique indicators - check my script publishings to use) to categorise the market and decide whether its Trending, H > 0.5, In random Geometric Brownian Motion (GBM) H = 0.5 or Mean reverting (Contrarian), H < 0.5, When Trending a Trend following indicator -The VAWMA- is color highlighted, By doing so, theoreticaly price noise is eleimnated leaving statsitcaly true zones of price action Trend.
What is The Hurst Exponent ?
Developed by The Hydrologist Edwin Harlod Hurst, The Hurst Exponent measures auto correlation in time series sets, Its first applicartions were in the natural world, e.g. in measureing the volume of water in a river.
Although since then it has had applications in Finance, this may be largly due to autocorrelation functions being usefull tools in univaritae time series anaylyis.
The Hurst Exponent (H) aims to segment the market into three differnet states, Trending (H > 0.5), Random Geometric Brownian Motion (H = 0.5) and Mean Reverting / Contrarian (H < 0.5). In my interpritation this can be used as a trend filter that iliminates market noise, which may be achived by only focusing on trending zones.
How to Interprit the Indicator :
Focusing on the Above image, When H > 0.5 A trend is presnet, to decide the directional bias, both VAWMA`s position is checked, given the fast VAWMA > slow VAWMA and the current close > the fast VAWMA a bulish bias is present, signafied by a vibrant green fill between the fast VAWMA and price action. note the exact opposite logic for a bearish bias and H > 0.5 (signafied by a vibrant red fill). .
I will continue to update this Trading Indicator.
PS : Thats given I can hopfully remmember
Happy Trading !!
Notas de Lançamento
- Updated Hurst Exponent Calculation
- Use of SMA
Script de código aberto
No verdadeiro espirito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam entendê-lo e verificá-lo. Parabéns ao autor Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações e regida pelas Regras da Casa.
Para acesso rápido no gráfico, adicione esse script para seus favoritos — saiba mais aqui.
Aviso legal
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.
Script de código aberto
No verdadeiro espirito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam entendê-lo e verificá-lo. Parabéns ao autor Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações e regida pelas Regras da Casa.
Para acesso rápido no gráfico, adicione esse script para seus favoritos — saiba mais aqui.
Aviso legal
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.