||Iterable[Quote]||Iterable(such as list or an object having
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||int, default 100||Number of periods (
Historical quotes requirements
You must have at least
N+1 periods of
quotes to cover the warmup periods.
quotes is an
Iterable[Quote] collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.
- This method returns a time series of all available indicator values for the
HurstResultsis just a list of
- It always returns the same number of elements as there are in the historical quotes.
- It does not return a single incremental indicator value.
- The first
Nperiods will have
Nonevalues since there’s not enough data to calculate.
||float, Optional||Hurst Exponent (
See Utilities and Helpers for more information.
from stock_indicators import indicators # This method is NOT a part of the library. quotes = get_history_from_feed("SPY") # Calculate 20-period Hurst results = indicators.get_hurst(quotes, 20)
About Hurst Exponent
The Hurst Exponent is a random-walk path analysis that measures trending and mean-reverting tendencies of incremental return values. When
H is greater than 0.5 it depicts trending. When
H is less than 0.5 it is is more likely to revert to the mean. When
H is around 0.5 it represents a random walk.