OPEN-SOURCE SCRIPT
Hurst Exponent DFA
This script computes the Hurst exponent using Detrended Fluctuation Analysis (DFA) in TradingView. It works as follows:
- It takes a user-defined lookback window of closing prices and centers them by subtracting their mean.
- It builds a cumulative profile of these centered values.
- For each sample size input by the user, it divides the profile into non-overlapping segments, fits a local linear trend in each segment, and measures the root-mean-square fluctuation around that trend.
- It then performs a log–log regression of the average fluctuation versus segment size to estimate the Hurst exponent H.
- An optional exponential moving average smooths the Hurst series to reduce noise.
- A horizontal line at H = 0.5 helps distinguish trending regimes (H > 0.5) from mean-reverting regimes (H < 0.5).
- It takes a user-defined lookback window of closing prices and centers them by subtracting their mean.
- It builds a cumulative profile of these centered values.
- For each sample size input by the user, it divides the profile into non-overlapping segments, fits a local linear trend in each segment, and measures the root-mean-square fluctuation around that trend.
- It then performs a log–log regression of the average fluctuation versus segment size to estimate the Hurst exponent H.
- An optional exponential moving average smooths the Hurst series to reduce noise.
- A horizontal line at H = 0.5 helps distinguish trending regimes (H > 0.5) from mean-reverting regimes (H < 0.5).
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.