Rolling Hurst Exponent

What is the Hurst Exponent?

A statistical measure (0-1) that indicates whether a time series exhibits trending, random walk, or mean-reverting behavior.

Calculated using R/S analysis over a rolling 60-day window.

Interpretation Zones

• H > 0.55: Trending (persistent)
• 0.45-0.55: Random walk (unpredictable)
• H < 0.45: Mean-reverting (anti-persistent)
• Dashed line at 0.5 = perfect random walk

Trading Implications

• Trending: Trend-following strategies may work
• Random: No clear edge; wait for clarity
• Mean-Rev: Mean reversion strategies may work

Shapes & Interactions

• Different shapes = different sectors/industries
• Different colors = different tickers
• Tap points for Hurst values + interpretation
• Use preset buttons (1M, 3M, etc.) for date range

Price Overlay

• Enter Closer-Look mode to see close price overlay
• Toggle: Show/hide close price line (right axis)
• Rolling H drop below 0.5 + price stalling = regime shift to mean-reversion