Hurst Proxy 20Cross-asset & regime

Timeframe M1 · unit ratio

What it measures

Estimates the persistence (memory) of price movements over 20 bars using a rescaled-range approximation. Inspired by Harold Hurst's work on river flows, adapted to financial time series.

How Janira reads it (bullish vs bearish)

Range 0-1. Values above 0.5 suggest persistent behavior - price tends to continue moving in the direction it has been going (trending). Values below 0.5 suggest anti-persistent (mean-reverting) behavior - price tends to reverse its recent direction. Exactly 0.5 corresponds to a random walk with no memory.

In plain language

Imagine a bouncing ball: does it tend to keep rolling in the same direction (H > 0.5) or constantly bounce back (H < 0.5)? This measure tries to detect which mode the market is in, based on recent price memory.

Scenarios

• Hurst proxy > 0.65: Strong persistence signal; recent directional movement has statistical memory, suggesting trend continuation is more likely than mean reversion.
• Hurst proxy 0.45-0.55: Near-random walk behavior; no strong persistence or anti-persistence; neither trending nor mean-reverting structures dominate.
• Hurst proxy < 0.35: Anti-persistence signal; price has been reversing its direction frequently; oscillating or mean-reverting patterns dominate.
• Hurst proxy transitioning from < 0.5 to > 0.6: Market memory is building; regime shift toward persistence is developing.

More cross-asset & regime indicators

Janira computes Hurst Proxy 20 deterministically from live price action, the same way for every reading - no discretion, no hidden weighting. This page explains the method; it is not a live reading and not advice.