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Hurst Exponent (HURST)

StratCraft indicator page for persistence and regime detection.

Route: /indicators/hurst/

What It Does

HURST estimates whether a market tends to persist, revert to the mean, or behave like a random walk.

Formula

H = log(R / S) / log(n) as a simplified rescaled-range estimate, where R/S measures the range of accumulated deviation over the lookback window.

Parameters

  • period - default 40

C++23 API

#include <nonabt/indicators/hurst.hpp>
auto hurst = std::make_unique<nonabt::HURST>(data().close(), 40);

Common Usage

  • Values above 0.5 suggest persistence or trending behavior.
  • Values below 0.5 suggest mean reversion.
  • Values near 0.5 suggest a random-walk regime.
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