Rolling Hurst

What is Rolling Hurst?

Rolling Hurst computes the Hurst Exponent over a rolling 60-day window (max_lag=20), showing how the market regime evolves over time. Transitions between trending and mean-reverting regimes become visible as the line crosses the 0.5 threshold.

Parameters (60-day window, lag=20)

• 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: Sustained H > 0.55 confirms a trend-following regime
• Random Walk: H near 0.5 — transitional, no exploitable pattern
• Mean-Reverting: Sustained H < 0.45 confirms a range-bound regime
• Crossing 0.5 signals potential regime shift
• Data refreshes periodically — not real-time

Trading Signals

• Crossing above 0.55 = regime shifting toward trending
• Crossing below 0.45 = shifting toward mean reversion
• Use the regime to pick which indicator family to trust

Price Overlay

• Close Price: Daily closing price (right Y-axis)
• H > 0.55 + trending price = momentum strategy favorable
• H < 0.45 + oscillating price = mean-reversion strategy favorable
• Regime transition (H crossing 0.5) + price inflection = strategy shift