Hurst Exponent
This professional-grade solution for MetaTrader 5 helps traders achieve greater efficiency in their daily workflow. This technical indicator acts as a specialized analysis tool designed to visualize market data. It helps traders identify emerging trends, momentum shifts, and key support or resistance levels by plotting statistical calculations directly onto price charts.
How to Setup and Use Hurst Exponent
1. Installation: Place your file in the MQL/Indicators folder via "Open Data Folder" and restart your terminal.
2. Loading: Find the indicator in the Navigator, drag it onto your chart, and configure the input parameters in the popup window.
3. Customization: Press Ctrl+I to open the indicator list, select your tool, and click "Properties" to change colors, levels, or visual styles.
4. Updating: Replace the old file in the Indicators folder with the new version and restart the platform to apply changes.
Frequently Asked Questions
Q: Why is my indicator not showing? A: Verify the file is in the MQL/Indicators folder, or try right-clicking the "Indicators" tree in the Navigator and clicking "Refresh."
Q: Do custom indicators slow down the platform? A: Too many complex indicators can impact performance; remove unused ones via the "Indicator List" (Ctrl+I).
Q: Can I use MT4 indicators on MT5? A: No, MQL4 and MQL5 are distinct languages; ensure the indicator is compiled specifically for your platform version.
Description & Settings
The
Hurst Exponent
is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases. Studies involving the Hurst exponent were originally developed in hydrology for the practical matter of determining optimum dam sizing for the Nile river's volatile rain and drought conditions that had been observed over a long period of time. The name "Hurst exponent", or "Hurst coefficient", derives from (1880 - 1978), who was the lead researcher in these studies; the use of the standard notation H for the coefficient relates to his name also.
The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series either to regress strongly to the mean or to cluster in a direction.
A value of H in the range 0.5 - 1 indicates a time series with long-term positive autocorrelation, meaning both that a high value in the series will probably be followed by another high value and that the values a long time into the future will also tend to be high.
A value of H in the range 0 - 0.5 indicates a time series with long-term switching between high and low values in adjacent pairs, meaning that a single high value will probably be followed by a low value and that the value after that will tend to be high, with this tendency to switch between high and low values lasting a long time into the future.
A value of H = 0.5 can indicate a completely uncorrelated series, but in fact it is the value applicable to series for which the autocorrelations at small time lags can be positive or negative but where the absolute values of the autocorrelations decay exponentially quickly to zero. This in contrast to the typically power law decay for the 0.5 < H < 1 and 0 < H < 0.5 cases.
