Hurst Exponent
Is this market trending, mean-reverting, or random?
The Hurst exponent (H) is a single number that tells you the character of the series at the current scale — whether moves tend to persist, reverse, or wander randomly.
How to read H
| Value | Meaning | Implication |
|---|---|---|
| H > 0.5 | Trending / persistent | Moves tend to continue — favour trend-following |
| H ≈ 0.5 | Random walk | No edge from direction — be cautious |
| H < 0.5 | Mean-reverting | Moves tend to snap back — favour fading extremes |
The overlay plots H on a rolling basis so you can see the regime shift over time.
Tip: Match your strategy to the regime. Trend systems struggle when H sits below 0.5; mean-reversion systems struggle when it’s high.