Market state analysis. Trend or range detection.

- Files
- Trend or Range and beyond it: Market state analysis
- Hurst Difference Total

By JohnLast 2230 days ago Comments (1)

От 23 септември 2011 |

This is a Hurst difference mod by Jaguar of the famous indicator Hurst difference by Jean - Philippe.

The idea here is to plot simultaniously the High, Open, Low, and Close.

Jean Philippe had the idea to plot not the Hurst exponent as a value but its variation. The pattern that result is a spike beyond the noise level. When we have such a spike asomething important is going on the market. That means that the predictability state of the market change towards more predictable state. It is interesting that if we condider the entropy analysis the same pattern would emerge. However here we consider the Hurst exponent.

Please refer to the original article for futher explications and mathematical details:

Here we see at the present screen shot is that if we monitor together and plot the Hurst exponent variation of High, Open, Low and close we may miss a spike beyond the noise level.

**Use in a strategy:**

How you can use this tool? Well I would restrain myself but clearly this instrument can confirm a technical break - out.

## Comments

Interesting. Is it possible to have the same with entropy?