Forex Wiki Trading > FX Ind > Variations of the Hurst Exponent over time

Variations of the Hurst Exponent over time

  • June 23, 2013
  • Posted by: Forex Wiki Team
  • Category: FX Ind
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Variations of the Hurst Exponent over time
Author: jppoton (2010.05.17 16:30)
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Variations of the Hurst Exponent over time 1
 Hurst Difference.mq4 (9.4 Kb) View
This indicator is based on the assumption that the price variations follow a multi-fractal model. From there, the Hurst exponent H can be easily computed from the fractal dimension (as obtained in http://codebase.mql4.com/5525). The variations of this Hurst exponent can actually be seen as predicting the variations of the volatility, and they therefore provide a time for entering into a trade (whenever this variation is positive), in order to profit from the high volatility period.

It must be noticed however, that this indicator doesn't give any information as to the direction of the trade, for that a directional indicator must be used.

For more details about this indicator, please see my blog: http://fractalfinance.blogspot.com/2010/05/variation-of-hurst-exponent.html

Here is how it looks like, in the lower window, on a 1hr EUR/USD chart:

Variations of the Hurst Exponent over time 2

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Author: Forex Wiki Team
We are a team of highly experienced Forex Traders [2000-2023] who are dedicated to living life on our own terms. Our primary objective is to attain financial independence and freedom, and we have pursued self-education and gained extensive experience in the Forex market as our means to achieve a self-sustainable lifestyle.
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