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2010.05.17 14:30
Variations of the Hurst Exponent over time

Variations of the Hurst Exponent over time - indicator for MetaTrader 4

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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/en/code/8844). 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:

Last comments | Go to discussion (1)
Bluesky
Bluesky | 17 May 2010 at 17:56
For those who do not know: no direction indication, BLUE AREA: we are NOT in a trend, RED AREA: we are in a trend.