Category: Advanced Indicator Set 1
Input parameters
Name
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Setting
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Default
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Input
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Input Time Series
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Close
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Period
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Integer >= 10
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25 (recommended 50 and higher)
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Detrend flag
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Integer 0 or 1
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1
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Calculations
Hurst Siginificance is calculated as follows:
Hurst Significance = (HurstExp – ExpectedH) / StdDevH
where:
HurstExp is Hurst exponent indicator,
ExpectedH is expected value of the Hurst exponent of the random process (tabulated values),
StdDevH is standard deviation of ExpectedH (tabulated values).
If Detrend flag=0, the Hurst Significance indicator is computed on the input time series itself without any preprocessing. If Detrend flag=1 (default value), the input time series is first preprocessed with the function Input[0] = Ln(Input[0] / Input[1]). Here Ln is natural logarithm function, Input[0] is current bar, and Input[1] is previous bar. Detrend flag=1 cannot be applied to time series with zeroes and negative ratios of current/previous bars.
If Hurst Significance indicator was not calculated for a window (output is blank on the chart), this means that there are too few points for calculations. If you receive way too many blank outputs it is highly recommended that you increase the parameter Period.
Discussion
The HurstSignificance determines the significance of the difference between the investigated time series and a true random process. If the result is greater than 1.0, it means that the process is predictable to some extent. If the result is less than -1.0, it means that the process is anti-persistent (see definitions in the discussion of HurstExp). If the indicator is less than 1.0 and more than –1.0, it means that the time series may be considered a random process.
Use this indicator to determine if the time series is random or not.
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