OPEN-SOURCE SCRIPT
Hurst Exponent Strategy [Fast + Weekly]
## Overview
The **Hurst Exponent Strategy [Fast + Weekly]** is an advanced quantitative tool that calculates the Hurst Exponent ($H$) using the Rescaled Range (RR/S$) analysis. Instead of tracking directional momentum or price overlays, this indicator measures the **statistical memory** and fractal dimension of financial time series to detect market regimes.
It helps traders identify whether an asset is trending, mean-reverting, or trapped in a state of pure noise (chaos).
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## The Mathematics of Market Regimes
The indicator evaluates the price action and plots values between 0 and 1, anchored to a theoretical center line of **0.5 (Random Walk)**:
- **$H > 0.60$ (Trend / Persistent):** The market possesses long-term memory. Price movements tend to be followed by movements in the same direction. Ideal for trend-following strategies.
- **$H < 0.45$ (Elastic / Anti-Persistent):** The market behaves like a rubber band (Mean Reversion). Price movements are consistently followed by reversals. Ideal for grid, mean-reversion, or range-bound strategies.
- **$0.45 \le H \le 0.60$ (Chaos / Random Walk):** The price action mimics a Brownian motion. Movements are random, noise is high, and directional edge is minimal.
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## Dual Timeframe Framework
To avoid fighting macro market structures, this script calculates two separate Hurst metrics simultaneously:
1. **Fast Hurst (Cyan Line):** Calculated on the current chart timeframe. It responds quickly to micro-regime shifts, pinpointing when a consolidation is breaking into a trend or expanding into chaos.
2. **Macro Hurst (Orange Line):** Multi-timeframe execution locked exclusively to the **Weekly ("W") chart**. It acts as a structural filter, keeping you aligned with the true macro nature of the asset.
Both exponents feature an optional built-in **Smoothing filter (SMA)** to remove high-frequency mathematical noise without heavily lagging the structural reading.
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## Real-Time Informative Legend
The top-right dashboard monitors the live mathematical output of both exponents:
- Displays exact numerical values down to 4 decimal places.
- Dynamically classifies the market state into **TREND** (Green), **ELASTICO** (Red), or **CAOS** (Gray) for instant visual confirmation.
---
Disclaimer: This tool calculates mathematical probabilities based on historical fractal dimensions. It does not provide entry/exit arrows or guarantee profits. Use it as a regime filter alongside your preferred execution strategy.
The **Hurst Exponent Strategy [Fast + Weekly]** is an advanced quantitative tool that calculates the Hurst Exponent ($H$) using the Rescaled Range (RR/S$) analysis. Instead of tracking directional momentum or price overlays, this indicator measures the **statistical memory** and fractal dimension of financial time series to detect market regimes.
It helps traders identify whether an asset is trending, mean-reverting, or trapped in a state of pure noise (chaos).
---
## The Mathematics of Market Regimes
The indicator evaluates the price action and plots values between 0 and 1, anchored to a theoretical center line of **0.5 (Random Walk)**:
- **$H > 0.60$ (Trend / Persistent):** The market possesses long-term memory. Price movements tend to be followed by movements in the same direction. Ideal for trend-following strategies.
- **$H < 0.45$ (Elastic / Anti-Persistent):** The market behaves like a rubber band (Mean Reversion). Price movements are consistently followed by reversals. Ideal for grid, mean-reversion, or range-bound strategies.
- **$0.45 \le H \le 0.60$ (Chaos / Random Walk):** The price action mimics a Brownian motion. Movements are random, noise is high, and directional edge is minimal.
---
## Dual Timeframe Framework
To avoid fighting macro market structures, this script calculates two separate Hurst metrics simultaneously:
1. **Fast Hurst (Cyan Line):** Calculated on the current chart timeframe. It responds quickly to micro-regime shifts, pinpointing when a consolidation is breaking into a trend or expanding into chaos.
2. **Macro Hurst (Orange Line):** Multi-timeframe execution locked exclusively to the **Weekly ("W") chart**. It acts as a structural filter, keeping you aligned with the true macro nature of the asset.
Both exponents feature an optional built-in **Smoothing filter (SMA)** to remove high-frequency mathematical noise without heavily lagging the structural reading.
---
## Real-Time Informative Legend
The top-right dashboard monitors the live mathematical output of both exponents:
- Displays exact numerical values down to 4 decimal places.
- Dynamically classifies the market state into **TREND** (Green), **ELASTICO** (Red), or **CAOS** (Gray) for instant visual confirmation.
---
Disclaimer: This tool calculates mathematical probabilities based on historical fractal dimensions. It does not provide entry/exit arrows or guarantee profits. Use it as a regime filter alongside your preferred execution strategy.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.