Hurst Exponent Market Phases [DW]

2018년 1월 21일

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.