Supported Indicators

Hurst Exponent

Introduction

This indicator 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.

To view the implementation of this indicator, see the LEAN GitHub repository.

Using HE Indicator

To create an automatic indicators for HurstExponent, call the HE helper method from the QCAlgorithm class. The HE method creates a HurstExponent object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initializeinitialize method.

public class HurstExponentAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private HurstExponent _he;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _he = HE(_symbol, 32);
    }

    public override void OnData(Slice data)
    {
        if (_he.IsReady)
        {
            // The current value of _he is represented by itself (_he)
            // or _he.Current.Value
            Plot("HurstExponent", "he", _he);
            
        }
    }
}
class HurstExponentAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._he = self.he(self._symbol, 32)

    def on_data(self, slice: Slice) -> None:
        if self._he.is_ready:
            # The current value of self._he is represented by self._he.current.value
            self.plot("HurstExponent", "he", self._he.current.value)

The following reference table describes the HE method:

he(symbol, period, max_lag=20, resolution=None, selector=None)[source]

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.

Parameters:
  • symbol (Symbol) — The symbol for which the Hurst Exponent is calculated.
  • period (int) — The number of data points used to calculate the indicator at each step.
  • max_lag (int, optional) — The maximum time lag used to compute the tau values for the Hurst Exponent calculation.
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — Function to select a value from the BaseData to input into the indicator. Defaults to using the 'Value' property of BaseData if null.
Returns:

The Hurst Exponent indicator for the specified symbol.

Return type:

HurstExponent

HE(symbol, period, maxLag=20, resolution=None, selector=None)[source]

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.

Parameters:
  • symbol (Symbol) — The symbol for which the Hurst Exponent is calculated.
  • period (Int32) — The number of data points used to calculate the indicator at each step.
  • maxLag (Int32, optional) — The maximum time lag used to compute the tau values for the Hurst Exponent calculation.
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — Function to select a value from the BaseData to input into the indicator. Defaults to using the 'Value' property of BaseData if null.
Returns:

The Hurst Exponent indicator for the specified symbol.

Return type:

HurstExponent

If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

For more information about plotting indicators, see Plotting Indicators.

You can manually create a HurstExponent indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Updateupdate method with time/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.

public class HurstExponentAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private HurstExponent _he;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _he = new HurstExponent(32);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _he.Update(bar.EndTime, bar.Close);
        }
   
        if (_he.IsReady)
        {
            // The current value of _he is represented by itself (_he)
            // or _he.Current.Value
            Plot("HurstExponent", "he", _he);
            
        }
    }
}
class HurstExponentAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._he = HurstExponent(32)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._he.update(bar.EndTime, bar.Close)
        if self._he.is_ready:
            # The current value of self._he is represented by self._he.current.value
            self.plot("HurstExponent", "he", self._he.current.value)

To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.

public class HurstExponentAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private HurstExponent _he;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _he = new HurstExponent(32);
        RegisterIndicator(_symbol, _he, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_he.IsReady)
        {
            // The current value of _he is represented by itself (_he)
            // or _he.Current.Value
            Plot("HurstExponent", "he", _he);
            
        }
    }
}
class HurstExponentAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._he = HurstExponent(32)
        self.register_indicator(self._symbol, self._he, Resolution.DAILY)

    def on_data(self, slice: Slice) -> None:
        if self._he.is_ready:
            # The current value of self._he is represented by self._he.current.value
            self.plot("HurstExponent", "he", self._he.current.value)

The following reference table describes the HurstExponent constructor:

HurstExponent

class QuantConnect.Indicators.HurstExponent[source]

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.

get_enumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

reset()

Resets the indicator to its initial state. This clears all internal data and resets

to_detailed_string()

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Return type:

str

update(time, value)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • time (datetime)
  • value (float)
Return type:

bool

update(input)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • input (IBaseData)
Return type:

bool

property consolidators

The data consolidators associated with this indicator if any

Returns:

The data consolidators associated with this indicator if any

Return type:

ISet[IDataConsolidator]

property current

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property is_ready

Indicates whether the indicator has enough data to produce a valid result.

Returns:

Indicates whether the indicator has enough data to produce a valid result.

Return type:

bool

property item

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Returns:

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Return type:

IndicatorDataPoint

property name

Gets a name for this indicator

Returns:

Gets a name for this indicator

Return type:

str

property previous

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property samples

Gets the number of samples processed by this indicator

Returns:

Gets the number of samples processed by this indicator

Return type:

int

property warm_up_period

Gets the period over which the indicator is calculated.

Returns:

Gets the period over which the indicator is calculated.

Return type:

int

property window

A rolling window keeping a history of the indicator values of a given period

Returns:

A rolling window keeping a history of the indicator values of a given period

Return type:

RollingWindow[IndicatorDataPoint]

HurstExponent

class QuantConnect.Indicators.HurstExponent[source]

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.

GetEnumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

Reset()

Resets the indicator to its initial state. This clears all internal data and resets

ToDetailedString()

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Return type:

String

Update(time, value)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • time (DateTime)
  • value (decimal)
Return type:

Boolean

Update(input)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • input (IBaseData)
Return type:

Boolean

property Consolidators

The data consolidators associated with this indicator if any

Returns:

The data consolidators associated with this indicator if any

Return type:

ISet<IDataConsolidator>

property Current

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property IsReady

Indicates whether the indicator has enough data to produce a valid result.

Returns:

Indicates whether the indicator has enough data to produce a valid result.

Return type:

bool

property Name

Gets a name for this indicator

Returns:

Gets a name for this indicator

Return type:

string

property Previous

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property Samples

Gets the number of samples processed by this indicator

Returns:

Gets the number of samples processed by this indicator

Return type:

int

property WarmUpPeriod

Gets the period over which the indicator is calculated.

Returns:

Gets the period over which the indicator is calculated.

Return type:

Int32

property Window

A rolling window keeping a history of the indicator values of a given period

Returns:

A rolling window keeping a history of the indicator values of a given period

Return type:

RollingWindow<IndicatorDataPoint>

property [System.Int32]

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Returns:

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Return type:

IndicatorDataPoint

Visualization

The following image shows plot values of selected properties of HurstExponent using the plotly library.

HurstExponent line plot.

Indicator History

To get the historical data of the HurstExponent indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription. 

public class HurstExponentAlgorithm : QCAlgorithm
{
    private Symbol _symbol;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        var he = HE(_symbol, 32);
        var countIndicatorHistory = IndicatorHistory(he, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(he, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(he, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class HurstExponentAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        he = self.he(self._symbol, 32)
        count_indicator_history = self.indicator_history(he, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(he, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(he, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

To make the IndicatorHistoryindicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.

var indicatorHistory = IndicatorHistory(he, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(he, 100, Resolution.MINUTE, lambda bar: bar.high)
indicator_history_df = indicator_history.data_frame

If you already have a list of Slice objects, you can pass them to the IndicatorHistoryindicator_history method to avoid the internal history request.

var history = History(_symbol, 100, Resolution.Minute);
var historyIndicatorHistory = IndicatorHistory(he, history);

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