StockSharp.Strategies.0228_Hurst_Exponent_Reversion 5.0.2

Prefix Reserved

dotnet add package StockSharp.Strategies.0228_Hurst_Exponent_Reversion --version 5.0.2

NuGet\Install-Package StockSharp.Strategies.0228_Hurst_Exponent_Reversion -Version 5.0.2

This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package.

<PackageReference Include="StockSharp.Strategies.0228_Hurst_Exponent_Reversion" Version="5.0.2" />

For projects that support PackageReference, copy this XML node into the project file to reference the package.

<PackageVersion Include="StockSharp.Strategies.0228_Hurst_Exponent_Reversion" Version="5.0.2" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0228_Hurst_Exponent_Reversion" />
                    

                            Project file

For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package.

paket add StockSharp.Strategies.0228_Hurst_Exponent_Reversion --version 5.0.2

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

#r "nuget: StockSharp.Strategies.0228_Hurst_Exponent_Reversion, 5.0.2"

#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package.

#:package StockSharp.Strategies.0228_Hurst_Exponent_Reversion@5.0.2

#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package.

#addin nuget:?package=StockSharp.Strategies.0228_Hurst_Exponent_Reversion&version=5.0.2
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0228_Hurst_Exponent_Reversion&version=5.0.2
                    

                            Install as a Cake Tool

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

Hurst Exponent Reversion Strategy (C# Version)

This approach uses the Hurst exponent to detect when a market is behaving in a mean-reverting manner. Values below 0.5 suggest price tends to return toward its average, creating opportunities to fade extremes.

Testing indicates an average annual return of about 121%. It performs best in the crypto market.

A long position is opened when the Hurst exponent is below 0.5 and price closes under a moving average. A short position occurs when the Hurst value is below 0.5 and price closes above the average. Positions exit when price returns to the average line or the Hurst exponent rises above the threshold.

The strategy fits traders who favour statistical tendencies over strong trends. A protective stop-loss shields against extended moves that fail to revert.

Details

Entry Criteria:
- Long: Hurst < 0.5 && Close < MA
- Short: Hurst < 0.5 && Close > MA
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when Close >= MA or Hurst > 0.5
- Short: Exit when Close ⇐ MA or Hurst > 0.5
Stops: Yes, percent stop-loss.
Default Values:
- HurstPeriod = 100
- AveragePeriod = 20
- StopLossPercent = 2m
- CandleType = TimeSpan.FromMinutes(5)
Filters:
- Category: Mean Reversion
- Direction: Both
- Indicators: Hurst Exponent, MA
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: No
- Risk Level: Medium

There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

This package is not used by any popular GitHub repositories.

Version	Downloads	Last Updated
5.0.2	223	8/7/2025
5.0.1	316	7/20/2025
5.0.0	86	7/11/2025

Move state resets to OnReseted for strategies 224-227