DonovanWall

Hurst Exponent Market Phases [DW]

This study is an experiment designed to identify market phases using changes in an approximate Hurst Exponent .
The exponent in this script is approximated using a simplified Rescaled Range method.
First, deviations are calculated for the specified period, then the specified period divided by 2, 4, 8, and 16.
Next, sums are taken of the deviations of each period, and the difference between the maximum and minimum sum gives the widest spread.
The rescaled range is calculated by dividing the widest spread by the standard deviation of price over the specified period.
The Hurst Exponent is then approximated by dividing log(rescaled range) by log(n).

The theory is that a system is persistent when the Hurst Exponent value is above 0.5, and antipersistent when the value is below 0.5.

The color scheme indicates 4 different phases I found to be significant in this formula:
- Stabilization Phase
- Destabilization Phase
- Chaos Increase Phase
- Chaos Decrease Phase

This script includes two visualization types to choose from:
- Bar Counter Mode, which displays the number of bars the exponent is consecutively in each phase.
- Hurst Approximation Mode, which displays the approximated exponent value.

Custom bar colors are included.

Please note: This is a rough estimate of the Hurst Exponent . It is not the actual exponent . Numerous approximations exist, and their results all differ slightly.
Favori Komutlardan Çıkart Favori Komutlara Ekle
brilliant. nice work
+2 Cevap Gönder
This is high quality work and great value!
Thank you very much for choosing to share.
+4 Cevap Gönder
This is very interesting, thank you for sharing!
+1 Cevap Gönder
Ana Sayfa Hisse Senedi Takipçisi Forex Takipçisi Kripto Takipçisi Ekonomik Takvim Nasıl Çalışır Grafik Özellikleri Ücretlendirme Kurallarımız Moderatörler Web Sitesi & Aracı Kurum Çözümleri Görsel Bileşenler(Widget) Grafik Çözümleri Destek Merkezi Yeni Özellik Talebi Blog ve Haberler SSS Viki Twitter
Profil Profil Ayarları Hesap ve Ödemeler TradingView Koinleri Destek Kayıtlarım Destek Merkezi Yayınlanmış Fikirler Takip Edenler Takip Ediliyor Özel Mesajlar Sohbet Çıkış