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[blackcat] L2 Ehlers Hurst Coefficient Indicator
Level: 2
Background
John F. Ehlers introuced Hurst Coefficient Indicator in his "Cycle Analytics for Traders" chapter 6 on 2013.
Function
The Hurst coefficient is one way to attempt to get a handle on the slope of the power density of market data. The Hurst coefficient varies between 0 and 1, and is related to the α power coefficient as H = 1 − α/2. The Hurst coefficient is more estimated than computed. Dr. Ehlers found the estimate using the fractal dimension was the most practical for shorter-term market data. The Hurst coefficient is related to the fractal dimension as H = 2 − D. Dr. Ehlers would like to make it perfectly clear that the Hurst coefficient or the fractal dimension has no direct practical application to trading not only because it is an estimate, but also because it has no predictive value. These computations only reflect the general structure of the market, and the answer you get is dependent on your assumptions. For example, the Hurst coefficient changes dramatically with the length of data used in making the estimate.
The only user input is the length of data to be used. The number can be arbitrarily large if you have sufficient data. The results are critically dependent on the input data length selected. After declaring variables, the coefficients of a 20-bar SuperSmoother filter are computed. The computations of N1, N2, and N3 are as described in the previous section. The fractal dimension is then converted to the Hurst coefficient, which is subsequently smoothed in the SuperSmoother filter.
Key Signal
SmoothHurst --> Hurst Coefficient Indicator fast line
Trigger --> Hurst Coefficient Indicator slow line
Pros and Cons
100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.
Remarks
The 40th script for Blackcat1402 John F. Ehlers Week publication.
Readme
In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.
The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.
Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.
Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.
Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.
Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.
Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
Background
John F. Ehlers introuced Hurst Coefficient Indicator in his "Cycle Analytics for Traders" chapter 6 on 2013.
Function
The Hurst coefficient is one way to attempt to get a handle on the slope of the power density of market data. The Hurst coefficient varies between 0 and 1, and is related to the α power coefficient as H = 1 − α/2. The Hurst coefficient is more estimated than computed. Dr. Ehlers found the estimate using the fractal dimension was the most practical for shorter-term market data. The Hurst coefficient is related to the fractal dimension as H = 2 − D. Dr. Ehlers would like to make it perfectly clear that the Hurst coefficient or the fractal dimension has no direct practical application to trading not only because it is an estimate, but also because it has no predictive value. These computations only reflect the general structure of the market, and the answer you get is dependent on your assumptions. For example, the Hurst coefficient changes dramatically with the length of data used in making the estimate.
The only user input is the length of data to be used. The number can be arbitrarily large if you have sufficient data. The results are critically dependent on the input data length selected. After declaring variables, the coefficients of a 20-bar SuperSmoother filter are computed. The computations of N1, N2, and N3 are as described in the previous section. The fractal dimension is then converted to the Hurst coefficient, which is subsequently smoothed in the SuperSmoother filter.
Key Signal
SmoothHurst --> Hurst Coefficient Indicator fast line
Trigger --> Hurst Coefficient Indicator slow line
Pros and Cons
100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.
Remarks
The 40th script for Blackcat1402 John F. Ehlers Week publication.
Readme
In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.
The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.
Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.
Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.
Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.
Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.
Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
發行說明
OVERVIEW The L2 Ehlers Hurst Coefficient Indicator is an advanced technical analysis tool that measures market efficiency and trend persistence using the Hurst exponent. It combines cycle analysis with divergence detection to identify potential market turning points.FEATURES
• Customizable length parameter (default: 30)
• Super Smoother Filter integration
• Visual representation of Hurst coefficient and trigger line
• Four types of divergence detection:
Regular Bullish
Hidden Bullish
Regular Bearish
Hidden Bearish • Configurable lookback periods and range settings • Alert conditions for all divergence types
HOW TO USE
Adjust the Length input to match market conditions
Monitor the SmoothHurst line relative to the Trigger line
Watch for crossover signals (BUY/SELL labels)
Use divergence alerts to confirm trading opportunities: • Configure lookback periods (Left/Right) • Set range limits (Min/Max) • Enable/disable specific divergence types
LIMITATIONS
• Results depend on proper parameter configuration
• May produce false signals during non-trending markets
• Best used in conjunction with other analysis tools
NOTES
• The indicator overlays the main chart by default
• Color coding helps distinguish between bullish (green) and bearish (red) signals
• Alerts can be customized through TradingView's alert system
發行說明
█ OVERVIEWThis oscillator estimates the Hurst Coefficient to classify market behavior as trend-persistent or mean-reverting, and turns that classification into tradeable crossover signals. It combines a smoothed Hurst line with a trigger, a four-way divergence engine, ATR-based take-profit and stop-loss references, and a live status dashboard.
█ CONCEPTS
The Hurst coefficient measures how price movements cluster:
• H above 0.5 — trending (persistence): moves tend to continue in the same direction
• H near 0.5 — random-walk behavior
• H below 0.5 — mean reversion (anti-persistence): moves tend to reverse
The script estimates Hurst from the fractal dimension of price action using John F. Ehlers' method: the lookback window is split into halves, average ranges are compared, and the raw estimate is smoothed twice — first through fractal-dimension averaging, then through a 2-pole Super Smoother filter. The previous bar's smoothed value acts as a trigger line, so every signal is a crossover of the line against its own one-bar-delayed self.
█ HOW TO USE
1 — Add the indicator to any chart; it runs in a separate pane below price.
2 — Watch the yellow Hurst line against the fuchsia Trigger: a cross up prints a BUY label, a cross down prints a SELL label. Each cross flips the tracked bias (an opposite signal closes the prior bias).
3 — Read the dashboard: current bias (LONG/SHORT/FLAT), Hurst value with regime tag, ATR, and TP/SL reference levels.
4 — Optional: raise Cooldown Bars (3-5) to suppress rapid back-and-forth signals in choppy markets.
Input Parameters
• Length (even): lookback window for the Hurst estimate (default 30; step of 2 keeps it even)
• Cooldown Bars: minimum spacing between signals (default 0 = off, original behavior)
• Enable ATR TP/SL Reference: toggles projected stop/target levels (default on)
• ATR Length / Stop Loss xATR / Take Profit xATR: risk reference sizing (14 / 2.0 / 3.0)
• Pivot Lookback Left/Right, Range Min/Max: divergence detection tuning (5 / 5 / 5 / 60)
• Plot Bullish / Bearish / Hidden variants: enable each divergence type
• Visual toggles: 0.5 midline, BUY/SELL labels, position tint, dashboard
█ FEATURES
• Signal-governance state machine: tracks LONG/SHORT/FLAT bias from each confirmed cross
• Optional cooldown filter to reduce whipsaw signals in ranging markets
• ATR-based TP/SL reference prices shown in the dashboard and data window
• Random-walk midline at 0.5 for an instant regime read
• Four divergence types: regular and hidden, bullish and bearish
• Background tint colored by current bias
• Live dashboard: bias, Hurst value, regime tag, ATR, risk levels
• Six alertcondition channels plus dynamic bar-close alerts
█ SIGNALS
Visual Elements
• BUY label (green, below the line): Hurst crossed above Trigger
• SELL label (red, above the line): Hurst crossed below Trigger
• Yellow/fuchsia fill: direction of the smoothed line versus trigger
• Green/red background tint: current long/short bias
• Bull / Bear pivot labels: regular divergences between price and the oscillator
• H Bull / H Bear labels: hidden (continuation) divergences
█ IMPLEMENTATION NOTES
Open-source under MPL 2.0. The core estimate scans ta.highest/ta.lowest ranges over the two window halves and applies a 2-pole Super Smoother. Divergences use ta.pivotlow/ta.pivothigh with confirmation bars, so labels appear lbR bars after the actual pivot — deliberate non-repainting behavior. All signals are evaluated on closed bars; dynamic alerts fire once per bar close.
█ LIMITATIONS
• Oscillator crosses lag price turns; fast reversals will slip
• Choppy, directionless markets can produce quick alternating signals — use the cooldown
• Divergence labels confirm only after the pivot lookback-right bars have elapsed
• TP/SL levels are analytic references, not orders — this is an indicator, not a strategy
• Not financial advice; always forward-test on your market and timeframe
█ NOTES
• Based on the original "[blackcat] L2 Ehlers Hurst Coefficient Indicator" by blackcat1402 (MPL 2.0)
• V2 polish adds governance, risk references, dashboard and the alert suite; the core algorithm is unchanged
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For questions or feedback, please use the comments section below.
Feel free to use and modify — attribution appreciated.
Don't miss out! The first and most important thing to do is to join my Discord chat now! Click here to start your adventure: discord.com/invite/ZTGpQJq My new github for more pine development soon: github.com/wxt-coder
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
Don't miss out! The first and most important thing to do is to join my Discord chat now! Click here to start your adventure: discord.com/invite/ZTGpQJq My new github for more pine development soon: github.com/wxt-coder
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。