Hi
@sniktau I found Mobius version of Hurst Exponent.
# Hurst Exponent
# Mobius
# V03.10.2015
# To estimate the Hurst exponent a Root time series is rescaled into shorter ranges. The ranges are mean centered and the Hurst exponent is derived from the exponent of this power law.
# The commented out plots are to check the Average rescaled segments for continuity.
#hint: Hurst Exponent responds best to large data fields.
declare lower;
input n = 252; #hint n: Length for the Hurst Exponent calculations.
def bar = barNumber();
def Lbar = HighestAll(if !isNaN(close[-1]) then bar else double.nan);
def coef1 = Floor(n / 2);
def coef2 = Floor(n / 4);
def coef3 = Floor(n / 8);
def coef4 = Floor(n / 16);
addLabel(1, "Bars On Chart = " + bar + " coef n = " + n + " coef 1 = " + coef1 + " coef2 = " + coef2 + " coef3 = " + coef3 + " coef4 = " + coef4, color.white);
def c = close;
def LD = LinDev(c, n);
def Root = (highest(LD, n) - lowest(LD, n)) / StDev(LD, n);
# =====================================================
def baseSet = if bar >= Lbar - n
then (fold a = 0 to n
with r
while bar < Lbar
do r + Root) / n
else baseSet[1];
#plot data = if baseSet then baseSet else double.nan;
# =====================================================
def Set1 = if bar >= Lbar - n
then (fold i = 0 to coef1
with s
while bar < Lbar - n + coef1
do s + Root) / coef1
else Set1[1];
#plot data1 = if Set1 then Set1 else double.nan;
def Set2 = if bar >= Lbar - n + coef1
then (fold i2 = 0 to coef1
with s2
while bar <= Lbar
do s2 + Root) / coef1
else Set2[1];
#plot data2 = if Set2 then Set2 else double.nan;
# ============================================================
def Set3 = if bar >= Lbar - n
then (fold i3 = 0 to coef2
with s3
while bar < Lbar - n + coef2
do s3 + Root) / coef2
else Set3[1];
#plot data3 = if Set3 then Set3 else double.nan;
def Set4 = if bar >= Lbar - n + coef2
then (fold i4 = 0 to coef2
with s4
while bar < Lbar - n + (coef2 * 2)
do s4 + Root) / coef2
else Set4[1];
#plot data4 = if Set4 then Set4 else double.nan;
def Set5 = if bar >= Lbar - n + (coef2 * 2)
then (fold i5 = 0 to coef2
with s5
while bar < Lbar - n + (coef2 * 3)
do s5 + Root) / coef2
else Set5[1];
#plot data5 = if Set5 then Set5 else double.nan;
def Set6 = if bar >= Lbar - n + (coef2 * 3)
then (fold i6 = 0 to coef2
with s6
while bar < Lbar
do s6 + Root) / coef2
else Set6[1];
#plot Data6 = if Set6 then Set6 else double.nan;
#===========================================================
def Set7 = if bar >= Lbar - n
then (fold i7 = 0 to coef3
with s7
while barNumber() < Lbar - n + coef3
do s7 + Root) / coef3
else Set7[1];
#plot Data7 = if Set7 then Set7 else double.nan;
def Set8 = if bar >= Lbar - n + coef3
then (fold i8 = 0 to coef3
with s8
while bar < Lbar - n + (coef3 * 2)
do s8 + Root) / coef3
else Set8[1];
#plot Data8 = if Set8 then Set8 else double.nan;
def Set9 =if bar >= Lbar - n + (coef3 * 2)
then (fold i9 = 0 to coef3
with s9
while bar < Lbar - n + (coef3 * 3)
do s9 + Root) / coef3
else Set9[1];
#plot Data9 = if Set9 then Set9 else double.nan;
def Set10 = if bar >= Lbar - n + (coef3 * 3)
then (fold i10 = 0 to coef3
with s10
while bar < Lbar - n + (coef3 * 4)
do s10 + Root) / coef3
else Set10[1];
#plot Data10 = if Set10 then Set10 else double.nan;
def Set11 = if bar >= Lbar - n + (coef3 * 4)
then (fold i11 = 0 to coef3
with s11
while bar < Lbar - n + (coef3 * 5)
do s11 + Root) / coef3
else Set11[1];
#plot Data11 = if Set11 then Set11 else double.nan;
def Set12 = if bar >= Lbar - n + (coef3 * 5)
then (fold i12 = 0 to coef3
with s12
while bar < Lbar - n + (coef3 * 6)
do s12 + Root) / coef3
else Set12[1];
#plot Data12 = if Set12 then Set12 else double.nan;
def Set13 = if bar >= Lbar - n + (coef3 * 6)
then (fold i13 = 0 to coef3
with s13
while bar < Lbar - n + (coef3 * 7)
do s13 + Root) / coef3
else Set13[1];
#plot Data13 = if Set13 then Set13 else double.nan;
def Set14 = if bar >= Lbar - n + (coef3 * 7)
then (fold i14 = 0 to coef3
with s14
while bar < Lbar
do s14 + Root) / coef3
else Set14[1];
#plot Data14 = if Set14 then Set14 else double.nan;
#================================================================
def Set15 = if bar >= Lbar - n
then (fold i15 = 0 to coef4
with s15
while bar < Lbar - n + coef4
do s15 + Root) / coef4
else Set15[1];
#plot Data15 = if Set15 then Set15 else double.nan;
def Set16 = if bar >= Lbar - n + coef4
then (fold i16 = 0 to coef4
with s16
while bar < Lbar - n + (coef4 * 2)
do s16 + Root) / coef4
else Set16[1];
#plot Data16 = if Set16 then Set16 else double.nan;
def Set17 = if bar >= Lbar - n + (coef4 * 2)
then (fold i17 = 0 to coef4
with s17
while bar < Lbar - n + (coef4 * 3)
do s17 + Root) / coef4
else Set17[1];
#plot Data17 = if Set17 then Set17 else double.nan;
def Set18 = if bar >= Lbar - n + (coef4 * 3)
then (fold i18 = 0 to coef4
with s18
while bar < Lbar - n + (coef4 * 4)
do s18 + Root) / coef4
else Set18[1];
#plot Data18 = if Set18 then Set18 else double.nan;
def Set19 = if bar >= Lbar - n + (coef4 * 4)
then (fold i19 = 0 to coef4
with s19
while bar < Lbar - n + (coef4 * 5)
do s19 + Root) / coef4
else Set19[1];
#plot Data19 = if Set19 then Set19 else double.nan;
def Set20 = if bar >= Lbar - n + (coef4 * 5)
then (fold i20 = 0 to coef4
with s20
while bar < Lbar - n + (coef4 * 6)
do s20 + Root) / coef4
else Set20[1];
#plot Data20 = if Set20 then Set20 else double.nan;
def Set21 = if bar >= Lbar - n + (coef4 * 6)
then (fold i21 = 0 to coef4
with s21
while bar < Lbar - n + (coef4 * 7)
do s21 + Root) / coef4
else Set21[1];
#plot Data21 = if Set21 then Set21 else double.nan;
def Set22 = if bar >= Lbar - n + (coef4 * 7)
then (fold i22 = 0 to coef4
with s22
while bar < Lbar - n + (coef4 * 8)
do s22 + Root) / coef4
else Set22[1];
#plot Data22 = if Set22 then Set22 else double.nan;
def Set23 = if bar >= Lbar - n + (coef4 * 8)
then (fold i23 = 0 to coef4
with s23
while bar < Lbar - n + (coef4 * 9)
do s23 + Root) / coef4
else Set23[1];
#plot Data23 = if Set23 then Set23 else double.nan;
def Set24 = if bar >= Lbar - n + (coef4 * 9)
then (fold i24 = 0 to coef4
with s24
while bar < Lbar - n + (coef4 * 10)
do s24 + Root) / coef4
else Set24[1];
#plot Data24 = if Set24 then Set24 else double.nan;
def Set25 = if bar >= Lbar - n + (coef4 * 10)
then (fold i25 = 0 to coef4
with s25
while bar < Lbar - n + (coef4 * 11)
do s25 + Root) / coef4
else Set25[1];
#plot Data25 = if Set25 then Set25 else double.nan;
def Set26 = if bar >= Lbar - n + (coef4 * 11)
then (fold i26 = 0 to coef4
with s26
while bar < Lbar - n + (coef4 * 12)
do s26 + Root) / coef4
else Set26[1];
#plot Data26 = if Set26 then Set26 else double.nan;
def Set27 = if bar >= Lbar - n + (coef4 * 12)
then (fold i27 = 0 to coef4
with s27
while bar < Lbar - n + (coef4 * 13)
do s27 + Root) / coef4
else Set27[1];
#plot Data27 = if Set27 then Set27 else double.nan;
def Set28 = if bar >= Lbar - n + (coef4 * 13)
then (fold i28 = 0 to coef4
with s28
while bar < Lbar - n + (coef4 * 14)
do s28 + Root) / coef4
else Set28[1];
#plot Data28 = if Set28 then Set28 else double.nan;
def Set29 = if bar >= Lbar - n + (coef4 * 14)
then (fold i29 = 0 to coef4
with s29
while bar < Lbar - n + (coef4 * 15)
do s29 + Root) / coef4
else Set29[1];
#plot Data29 = if Set29 then Set29 else double.nan;
def Set30 = if bar >= Lbar - n + (coef4 * 15)
then (fold i30 = 0 to coef4
with s30
while bar < Lbar
do s30 + Root) / coef4
else Set30[1];
#plot Data30 = if Set30 then Set30 else double.nan;
def M = (BaseSet + Set1 + Set2 + Set3 + Set4 + Set5 + Set6 + Set7 + Set8 + Set9 + Set10 + Set11 + Set12 + Set13 + Set14 + Set15 + Set16 + Set17 + Set18 + Set19 + Set20 + Set21 + Set22 + Set23 + Set24 + Set25 + Set26 + Set27 + Set28 + Set29 + Set30) / 31;
def Hurst = if bar >= Lbar - n
then (fold b = 0 to n
with z
while bar < Lbar
do z + M) / n
else double.nan;
Plot HurstE = If Hurst == 0 then double.nan else Hurst;
#HurstE.SetDefaultColor(Color.Cyan);
plot zero = if isNaN(c) then double.nan else 0;
zero.SetDefaultColor(Color.Yellow);
plot one = if isNaN(c) then double.nan else 1;
one.SetDefaultColor(Color.Yellow);
plot LM = if isNaN(c) then double.nan else .45;
LM.SetDefaultColor(Color.Gray);
plot HM = if isNaN(c) then double.nan else .55;
HM.SetDefaultColor(Color.Gray);
AddCloud(LM , HM, color.white, color.white);
AddCloud(HM, one, Color.Light_Green, Color.Light_Green);
AddCloud(zero, LM, Color.Light_Red, Color.Light_Red);
# End Code Hurst Exponent
AddChartBubble(!isNaN(c[1]) and isNaN(c), .5, "Brownian", color.white, yes);
AddChartBubble(!isNaN(c[1]) and isNaN(c), 0, "Mean Reverting", color.white, yes);
AddChartBubble(!isNaN(c[1]) and isNaN(c), 1, "Trending", color.white, no);
# End Code Hurst Exponent
