Class HurstExponentRTIndicator

java.lang.Object

com.wualabs.qtsurfer.engine.indicators.core.AbstractRTIndicator

com.wualabs.qtsurfer.engine.indicators.core.AbstractWindowSeriesRTIndicator

com.wualabs.qtsurfer.engine.indicators.statistics.pro.HurstExponentRTIndicator

All Implemented Interfaces:

Resettable, RTIndicator

public class HurstExponentRTIndicator
extends AbstractWindowSeriesRTIndicator

Rolling Hurst Exponent with O(n) per-tick updates.

Estimates the Hurst exponent using the Rescaled Range (R/S) method over a rolling window of log returns. The Hurst exponent indicates:

• H < 0.5 — mean-reverting (anti-persistent)
• H = 0.5 — random walk
• H > 0.5 — trending (persistent)

The R/S statistic for a series of n returns is:

  R/S = range(cumulative deviations from mean) / stddev

Then H = log(R/S) / log(n).

Note: Unlike most indicators in this module, the Hurst exponent requires O(n) per tick because computing the range of cumulative deviations cannot be maintained incrementally. The rolling window stores returns; on each tick the R/S is recomputed from the window contents.

Maintains a window for log returns plus dual accumulators (sumR, sumRSq) for mean and stddev. Returns 0.5 when stddev is zero or window is not full.

Constructor Summary

Constructors

Constructor	Description
HurstExponentRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
protected void	onEvict(double evicted)	Called when the window evicts the oldest value.
protected void	onReset()	Called after window is cleared.
double	update(double price)

Methods inherited from class AbstractWindowSeriesRTIndicator

getPeriods, isReady, reset, window, windowSize

Methods inherited from class AbstractRTIndicator

equals, getDisplayHint, getMeta, getValue, hashCode, hide, isPoison, setValue, toString, toString, withDisplayHint, withMeta

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface RTIndicator

getId, isHidden, ro, update, update

Constructor Details

HurstExponentRTIndicator

public HurstExponentRTIndicator(int periods)

Method Details

onEvict

protected void onEvict(double evicted)

Description copied from class: AbstractWindowSeriesRTIndicator

Called when the window evicts the oldest value. Override to update accumulators.

Overrides:

onEvict in class AbstractWindowSeriesRTIndicator

onReset

protected void onReset()

Description copied from class: AbstractWindowSeriesRTIndicator

Called after window is cleared. Override to zero accumulators.

Overrides:

onReset in class AbstractWindowSeriesRTIndicator

update

public double update(double price)

Specified by:

update in interface RTIndicator

Overrides:

update in class AbstractRTIndicator