Implement Hurst Exponent (HE) indicator #8434
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- Implemented Hurst Exponent indicator class - Created unit tests to validate indicator functionality - Added helper methods for standard deviation and regression line slope
- Removed redundat loops and unnecessary operations. - Precomputed values fro time lag logarithms to avoid recalculation. - Simplified logic in ComputeNextValue for better performance. - Updated and clarified comments for improved readability.
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- Made _sumX and _sumX2 fields readonly. - Updated loop for calculating time lag differences to avoid out of bound. - Renamed lookbackPeriod with period. - Replaced DateTime.Now with a fixed date.
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Great to see this. Thanks team! |
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How soon will this be available in the cloud IDE? currently I'm getting errors when i try to reference 'self.he' : I think it's just an older build ( currently cloud IDE showing I am on this build master v16770 - 2024-12-04 22:19 ) |
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Hey @ikamanu! Will be available starting from version 16771 (eta ~40min). Cloud autocomplete might delay little more but eod/tomorrow should be there |
Got it now. looking good. thanks! |
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Description
This pull request introduces the Hurst Exponent indicator, which measures the long-term memory or self-similarity in a time series. The indicator helps analyze the persistence or mean-reversion behavior of a time series, providing valuable insights into market trends and volatility.
Related Issue
Closes #3924
Motivation and Context
The Hurst Exponent indicator is essential for quantitative analysis as it helps identify the nature of trends in financial time series data.
Requires Documentation Change
Yes, the documentation should be updated to include usage instructions for the Hurst Exponent indicator
How Has This Been Tested?
The Hurst Exponent indicator has been tested using unit tests that verify the calculation of the indicator over historical data. This includes testing edge cases and validating the computation of standard deviation and regression line slope.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>