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 open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.