Hurst exponent

• 01/31/2017 at 2:35 PM #23279
  Wilko

  Hello,

  I am wondering if anyone has attemped to code an indicator for the Hurst exponent? I have limited theoretical statistical knowledge, but I understand that it may help in distinguishing between trend and mean reversion regime.

  Thanks for any help,

  Wilko

  

  Wilko

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  02/01/2017 at 12:08 AM #23361
  papero76

  MAYBE

  http://tradingandsystems.altervista.org/j-m-hurst-cycle-ciclo/

   

  http://tradingandsystems.altervista.org/hurt-cycle/

  

  papero76

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  02/01/2017 at 4:16 PM #23433
  Wilko

  Thanks for tip!!

  

  Wilko

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