Hearst Index - MetaTrader 5 Script | Trading Script Download - MT4/MT5 Resources - MetaTrader 5 Resources
The Hurst index is used as a measure of long-term memory for time series. It is related to the autocorrelation of the time series and the rate at which it decreases as the lag between pairs of values increases. Studies involving the Hurst index were originally conducted in the field of hydrology to address the practical problem of determining optimal dam size for the long-term observed erratic rainfall and drought conditions in the Nile River. The name "Hurst index" or "Hurst coefficient" is derived from Harold Edwin Hearst (1880 - 1978), the principal researcher of these studies; the standard notation is used H because the coefficient is also associated with his name.
The Hurst index is called the "dependence index" or the "long-term dependence index." It quantifies the relative tendency of a time series to strongly regress to the mean or cluster in a certain direction.
Attachment download
📎 hurst_exponent.mq5 (8.98 KB)
Source: MQL5 #20588
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