Implement Hurst Exponent (HE) indicator

Algorithm/QCAlgorithm.Indicators.cs

@@ -955,6 +955,26 @@ public HeikinAshi HeikinAshi(Symbol symbol, Resolution? resolution = null, Func<
             return heikinAshi;
         }
 
+        /// <summary>
+        /// Creates a new Hurst Exponent indicator for the specified symbol.
+        /// The Hurst Exponent measures the long-term memory or self-similarity in a time series.
+        /// The default maxLag value of 20 is chosen for reliable and accurate results, but using a higher lag may reduce precision.
+        /// </summary>
+        /// <param name="symbol">The symbol for which the Hurst Exponent is calculated.</param>
+        /// <param name="period">The number of data points used to calculate the indicator at each step.</param>
+        /// <param name="maxLag">The maximum time lag used to compute the tau values for the Hurst Exponent calculation.</param>
+        /// <param name="resolution">The resolution</param>
+        /// <param name="selector">Function to select a value from the BaseData to input into the indicator. Defaults to using the 'Value' property of BaseData if null.</param>
+        /// <returns>The Hurst Exponent indicator for the specified symbol.</returns>
+        [DocumentationAttribute(Indicators)]
+        public HurstExponent HE(Symbol symbol, int period, int maxLag = 20, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"HE({period},{maxLag})", resolution);
+            var hurstExponent = new HurstExponent(name, period, maxLag);
+            InitializeIndicator(hurstExponent, resolution, selector, symbol);
+            return hurstExponent;
+        }
+
         /// <summary>
         /// Creates a new Hilbert Transform indicator
         /// </summary>

Indicators/HurstExponent.cs

@@ -0,0 +1,164 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// Represents the Hurst Exponent indicator, which is used to measure the long-term memory of a time series.
+    /// - H less than 0.5: Mean-reverting; high values followed by low ones, stronger as H approaches 0.
+    /// - H equal to 0.5: Random walk (geometric).
+    /// - H greater than 0.5: Trending; high values followed by higher ones, stronger as H approaches 1.
+    /// </summary>
+    public class HurstExponent : Indicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// A rolling window that holds the most recent price values.
+        /// </summary>
+        private readonly RollingWindow<decimal> _priceWindow;
+
+        /// <summary>
+        /// The list of time lags used to calculate tau values.
+        /// </summary>
+        private readonly List<int> _timeLags;
+
+        /// <summary>
+        /// Sum of the logarithms of the time lags, precomputed for efficiency.
+        /// </summary>
+        private readonly decimal _sumX;
+
+        /// <summary>
+        /// Sum of the squares of the logarithms of the time lags, precomputed for efficiency.
+        /// </summary>
+        private readonly decimal _sumX2;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="HurstExponent"/> class.
+        /// The default maxLag value of 20 is chosen for reliable and accurate results, but using a higher lag may reduce precision.
+        /// </summary>
+        /// <param name="name">The name of the indicator.</param>
+        /// <param name="period">The period over which to calculate the Hurst Exponent.</param>
+        /// <param name="maxLag">The maximum lag to consider for time series analysis.</param>
+        public HurstExponent(string name, int period, int maxLag = 20) : base(name)
+        {
+            if (maxLag < 2)
+            {
+                throw new ArgumentException("The maxLag parameter must be greater than 2 to compute the Hurst Exponent.", nameof(maxLag));
+            }
+            _priceWindow = new RollingWindow<decimal>(period);
+            _timeLags = new List<int>();
+
+            // Precompute logarithms of time lags and their squares for regression calculations
+            for (var i = 2; i < maxLag; i++)
+            {
+                var logTimeLag = (decimal)Math.Log(i);
+                _timeLags.Add(i);
+                _sumX += logTimeLag;
+                _sumX2 += logTimeLag * logTimeLag;
+            }
+            WarmUpPeriod = period;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="HurstExponent"/> class with the specified period and maxLag.
+        /// The default maxLag value of 20 is chosen for reliable and accurate results, but using a higher lag may reduce precision.
+        /// </summary>
+        /// <param name="period">The period over which to calculate the Hurst Exponent.</param>
+        /// <param name="maxLag">The maximum lag to consider for time series analysis.</param>
+        public HurstExponent(int period, int maxLag = 20)
+            : this($"HE({period},{maxLag})", period, maxLag)
+        {
+        }
+
+        /// <summary>
+        /// Gets the period over which the indicator is calculated.
+        /// </summary>
+        public int WarmUpPeriod { get; }
+
+        /// <summary>
+        /// Indicates whether the indicator has enough data to produce a valid result.
+        /// </summary>
+        public override bool IsReady => _priceWindow.IsReady;
+
+        /// <summary>
+        /// Computes the next value of the Hurst Exponent indicator.
+        /// </summary>
+        /// <param name="input">The input data point to use for the next value computation.</param>
+        /// <returns>The computed Hurst Exponent value, or zero if insufficient data is available.</returns>
+        protected override decimal ComputeNextValue(IndicatorDataPoint input)
+        {
+            _priceWindow.Add(input.Value);
+            if (!_priceWindow.IsReady)
+            {
+                return decimal.Zero;
+            }
+
+            // Sum of log(standard deviation) values
+            var sumY = 0m;
+
+            // Sum of log(lag) * log(standard deviation)
+            var sumXY = 0m;
+
+            foreach (var lag in _timeLags)
+            {
+                var mean = 0m;
+                var sumOfSquares = 0m;
+                var count = Math.Max(0, _priceWindow.Size - lag);
+                // Calculate the differences between values separated by the given lag
+                for (var i = 0; i < count; i++)
+                {
+                    var value = _priceWindow[i + lag] - _priceWindow[i];
+                    sumOfSquares += value * value;
+                    mean += value;
+                }
+
+                var standardDeviation = 0.0;
+                // Avoid division by zero
+                if (count > 0)
+                {
+                    mean = mean / count;
+                    var variance = (sumOfSquares / count) - (mean * mean);
+                    standardDeviation = Math.Sqrt((double)variance);
+                }
+
+                // Compute log(standard deviation) and log(lag) for the regression.
+                var logTau = standardDeviation == 0.0 ? 0m : (decimal)Math.Log(standardDeviation);
+                var logLag = (decimal)Math.Log(lag);
+
+                // Accumulate sums for the regression equation.
+                sumY += logTau;
+                sumXY += logLag * logTau;
+            }
+
+            // Number of time lags used for the computation
+            var n = _timeLags.Count;
+
+            // Compute the Hurst Exponent using the slope of the log-log regression.
+            var hurstExponent = (n * sumXY - _sumX * sumY) / (n * _sumX2 - _sumX * _sumX);
+            return hurstExponent;
+        }
+
+        /// <summary>
+        /// Resets the indicator to its initial state. This clears all internal data and resets
+        /// </summary>
+        public override void Reset()
+        {
+            _priceWindow.Reset();
+            base.Reset();
+        }
+    }
+}

Tests/Indicators/HurstExponentTests.cs

@@ -0,0 +1,45 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using NUnit.Framework;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class HurstExponentTests : CommonIndicatorTests<IndicatorDataPoint>
+    {
+        protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
+        {
+            return new HurstExponent("HE", 252, 20);
+        }
+        protected override string TestFileName => "spy_hurst_exponent.csv";
+
+        protected override string TestColumnName => "hurst_exponent";
+
+        [Test]
+        public void DoesNotThrowDivisionByZero()
+        {
+            var he = new HurstExponent(2);
+            var date = new DateTime(2024, 12, 2, 12, 0, 0);
+
+            for (var i = 0; i < 10; i++)
+            {
+                Assert.DoesNotThrow(() => he.Update(date, 0m));
+            }
+        }
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -612,6 +612,9 @@
     <Content Include="TestData\spy_crsi.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_hurst_exponent.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
   </ItemGroup>
   <ItemGroup>
     <Content Include="TestData\symbol-properties\symbol-properties-database.csv">