Hurst exponent calculator
Trending or mean reverting?
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Random walk index
Is this move a trend, or the size a random walk would make anyway? The move against the average true range, from your bars.
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The bars
The random walk index
The random walk index is 1.47 up and 0.91 down: neither side is above 2.11, the level a pure random walk stays under on 19 bars in 20, so the move is within what chance makes.
- The look-backs
- The up reading peaked over 10 bars and the down reading over 2 bars. On the bar before they were 1.59 up and 0.33 down.
- The last bars
- In the last 20 readings, the up side was above 2.11 on 0 and the down side on 0; a pure random walk would put each side there on about 1 in 20. Poulos read anything above 1 as a trend; 20 of these readings had a side above 1, a line a random walk crosses on most bars when the page takes the largest of every look-back.
- Read it with care
- The chance line comes from a simulated random walk with the same look-back, not from your market, whose bars may be shaped differently. A reading above it says the latest move is unusually large, not that it will continue.
The close and the random walk index up and down (14-bar look-back) on the last bars. The last bar is marked.
| Bar | Close price | RWI up | RWI down |
|---|---|---|---|
| 5 ago | 2,399.10 | 1.25 | 0.52 |
| 4 ago | 2,412.50 | 1.41 | 0.16 |
| 3 ago | 2,430.80 | 1.47 | 0.19 |
| 2 ago | 2,427.40 | 1.53 | -0.09 |
| 1 ago | 2,432.40 | 1.59 | 0.33 |
| Last | 2,443.60 | 1.47 | 0.91 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
Bigger than chance?
A price that wanders at random still travels, and its spread grows with the square root of time. Michael Poulos's random walk index divides each move by the average true range times the square root of the number of bars: the up reading takes the rise from the low k bars back to today's high, the down reading the fall from the high k bars back to today's low, and the page keeps the largest over every look-back. Poulos read above 1 as a trend, but taking the largest of many look-backs puts a pure random walk above 1 on most bars, so the page also draws the line a simulated random walk stays under on 19 bars in 20.
Ask the same question in other ways with the Hurst exponent and the trend or mean reversion test, and measure trend strength with the ADX calculator.
Not advice. Arithmetic on the bars you type; past moves do not promise future ones.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.