The Hurst Exponent (H) measures long-term memory in a price series using Rescaled Range (R/S) analysis over 100 periods. H = 0.5 indicates a random walk; deviations reveal persistent or anti-persistent behavior.
Parameters (100-period R/S)
Trending: H > 0.55 — persistent, trend-following regime
Random Walk: 0.45 ≤ H ≤ 0.55 — no exploitable pattern
Mean-Reverting: H < 0.45 — anti-persistent, oscillating
Interpretation
Trending: H > 0.55 favors momentum strategies
Random Walk: H ≈ 0.5 — market is efficient / random
Mean-Reverting: H < 0.45 favors mean-reversion strategies
Hurst is asset-class agnostic — same thresholds for crypto
Trading Signals
H above 0.55 = trending regime — favor trend-following
H below 0.45 = mean-reverting regime — favor range strategies
H near 0.5 = random walk — low edge, size down
Price Overlay
Close Price: Daily closing price (right Y-axis)
H > 0.55 + trending price = momentum strategy confirmed
H < 0.45 + ranging price = mean reversion strategy confirmed
Hurst regime shift + price direction change = strategy rotation signal