Represents the Hurst Exponent indicator, which is used to measure the long-term memory of a time series. More...
Public Member Functions | |
| HurstExponent (string name, int period, int maxLag=20) | |
| Initializes a new instance of the HurstExponent class. The default maxLag value of 20 is chosen for reliable and accurate results, but using a higher lag may reduce precision. More... | |
| HurstExponent (int period, int maxLag=20) | |
| Initializes a new instance of the 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. More... | |
| override void | Reset () |
| Resets the indicator to its initial state. This clears all internal data and resets More... | |
Public Attributes | |
| override bool | IsReady => _priceWindow.IsReady |
| Indicates whether the indicator has enough data to produce a valid result. More... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (IndicatorDataPoint input) |
| Computes the next value of the Hurst Exponent indicator. More... | |
 Protected Member Functions inherited from QuantConnect.Indicators.Indicator | |
| Indicator (string name) | |
| Initializes a new instance of the Indicator class using the specified name. More... | |
Properties | |
| int | WarmUpPeriod [get] |
| Gets the period over which the indicator is calculated. More... | |
| Properties inherited from QuantConnect.Indicators.Indicator | |
| static int | DefaultWindowSize = 2 [get] |
| The default size of the history window for the indicator More... | |
| Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
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.
Definition at line 27 of file HurstExponent.cs.
Constructor & Destructor Documentation
◆ HurstExponent() [1/2]
| QuantConnect.Indicators.HurstExponent.HurstExponent | ( | string | name, |
| int | period, | ||
| int | maxLag = 20 |
||
| ) |
Initializes a new instance of the HurstExponent class. The default maxLag value of 20 is chosen for reliable and accurate results, but using a higher lag may reduce precision.
- Parameters
-
name The name of the indicator. period The period over which to calculate the Hurst Exponent. maxLag The maximum lag to consider for time series analysis.
Definition at line 56 of file HurstExponent.cs.
◆ HurstExponent() [2/2]
| QuantConnect.Indicators.HurstExponent.HurstExponent | ( | int | period, |
| int | maxLag = 20 |
||
| ) |
Initializes a new instance of the 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.
- Parameters
-
period The period over which to calculate the Hurst Exponent. maxLag The maximum lag to consider for time series analysis.
Definition at line 82 of file HurstExponent.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value of the Hurst Exponent indicator.
- Parameters
-
input The input data point to use for the next value computation.
- Returns
- The computed Hurst Exponent value, or zero if insufficient data is available.
Definition at line 102 of file HurstExponent.cs.
◆ Reset()
| override void QuantConnect.Indicators.HurstExponent.Reset | ( | ) |
Resets the indicator to its initial state. This clears all internal data and resets
Definition at line 158 of file HurstExponent.cs.
Member Data Documentation
◆ IsReady
| override bool QuantConnect.Indicators.HurstExponent.IsReady => _priceWindow.IsReady |
Indicates whether the indicator has enough data to produce a valid result.
Definition at line 95 of file HurstExponent.cs.
Property Documentation
◆ WarmUpPeriod
|
get |
Gets the period over which the indicator is calculated.
Definition at line 90 of file HurstExponent.cs.
The documentation for this class was generated from the following file:
- Indicators/HurstExponent.cs
