OPEN-SOURCE SCRIPT
Hurst Exponent Indicator
This script calculates and visualizes the Hurst Exponent, a powerful tool used to identify the market's state—whether it's trending, mean-reverting, or exhibiting a random walk behavior. By analyzing the Hurst Exponent over customizable intervals, traders can quantitatively determine the market's underlying dynamics, helping to optimize strategy performance.
Code Explanation:
Hurst Exponent Calculation (hurst_exponent(len)): The script first calculates the mean difference between closing prices over the specified length (len). It then computes the variance of these differences, which is used to determine the rescaled range (R/S) of the price series. The Hurst Exponent is derived by taking the logarithm of the rescaled range divided by the logarithm of the length, providing insight into market behavior:
Hurst > 0.5: Trending market
Hurst ≈ 0.5: Random walk (no clear trend)
Hurst < 0.5: Mean-reverting market
Customization: Users can set the length (hurstLen) over which the Hurst Exponent is calculated, allowing them to adapt the analysis to different timeframes.
Plotting: The script plots the Hurst Exponent on the chart as a cyan line and includes a green dashed threshold line at 0.5, indicating the boundary between random walk and other market behaviors.
This tool is ideal for traders looking to quantitatively assess market conditions to enhance their trading strategies.
Code Explanation:
Hurst Exponent Calculation (hurst_exponent(len)): The script first calculates the mean difference between closing prices over the specified length (len). It then computes the variance of these differences, which is used to determine the rescaled range (R/S) of the price series. The Hurst Exponent is derived by taking the logarithm of the rescaled range divided by the logarithm of the length, providing insight into market behavior:
Hurst > 0.5: Trending market
Hurst ≈ 0.5: Random walk (no clear trend)
Hurst < 0.5: Mean-reverting market
Customization: Users can set the length (hurstLen) over which the Hurst Exponent is calculated, allowing them to adapt the analysis to different timeframes.
Plotting: The script plots the Hurst Exponent on the chart as a cyan line and includes a green dashed threshold line at 0.5, indicating the boundary between random walk and other market behaviors.
This tool is ideal for traders looking to quantitatively assess market conditions to enhance their trading strategies.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.