Hurst MR signals: mean-reversion regime, ±Kσ bands and trade levels
Hurst MR is a signals-only overlay: it computes a rolling Hurst exponent (R/S), a z-score of the close against a rolling mean, and marks hypothetical entries toward fair value with suggested stop and target levels. It never sends an order.
Senzoukria · Documentation · Updated September 2026
Where to find it
- Where
- Chart → Indicators panel → group « Quant models » → « Hurst MR (signals) »
- Default
- Off. Threshold 0.58, Hurst window 50 bars, Z lookback 19 bars, Entry K 2.75σ, timeout 120 bars
- Orders
- None. The overlay draws signals, levels and a status panel; it has no path to a broker
What it does
On every closed bar the overlay computes a Hurst exponent by the rescaled-range method on the log returns of the last « Hurst window » bars (12 log-spaced lags between 4 and min(window/2, 50), non-overlapping chunks, log-log regression). It also computes a z-score of the close against the mean and standard deviation of the « Z lookback » bars strictly before the current bar; the current bar is excluded from the statistics.
The regime is mean-reverting when H is below the Hurst threshold. In that regime a signal fires when |Z| ≥ K: Z > 0 marks a hypothetical short toward the mean, Z < 0 a hypothetical long. The suggested stop is max(SL min, SL × σ) capped at SL cap; the target is fair value ± TP overshoot × σ. A state machine follows the hypothetical trade bar by bar: stop first, then target, then timeout, then the MR/Trend trail, which moves the stop to fair value once price crosses it while H exceeds the trail threshold. After an exit, two bars of cooldown pass before a new signal.
The forming bar never triggers a decision; it only feeds the live values (H, Z, bands) shown in the status panel. This is the on-bar-close semantics of the original NinjaTrader strategy the overlay ports.
Settings
| Setting | Default | What it changes |
|---|---|---|
| Hurst threshold | 0.58 (0.30–0.70) | H below this value = mean-reverting regime |
| Hurst window | 50 bars (20–200) | Rolling window of the R/S estimate |
| Z lookback | 19 bars (10–100) | Rolling mean / std window of the z-score, current bar excluded |
| Entry K (σ) | 2.75 (1.0–5.0) | |Z| needed to mark a signal; also the width of the ±Kσ bands |
| SL × σ | 0.65 (0.1–3.0) | Stop distance as a multiple of σ |
| SL min / SL cap | 5 pts / 20 pts | Floor and ceiling of the stop distance in price points |
| TP overshoot | 0.15 σ (0–2) | Target beyond fair value; 0 = the mean itself |
| MR/Trend trail | On | Moves the stop to fair value when price crosses it in a trending regime |
| Trail H thresh | 0.51 (0.40–0.60) | H above this value counts as trending for the trail and its exits |
| Timeout | 120 bars (15–300) | Mark-to-market exit after N bars |
| ±Kσ bands / Status panel / Trade levels | On / On / On | Display toggles for the bands, the live panel and the entry, stop and target lines |
How to use it
The defaults are the « champion v9 » configuration validated on 1-minute bars; changing the timeframe changes what 50 and 19 bars mean, so re-read the windows when you switch. Use the status panel to see H, Z, the current regime and the stop that would apply if a signal fired now.
Bands and levels are drawn as polylines cut at session gaps: an interval more than three times the median bar step is treated as a gap, so a Friday-to-Sunday break does not produce a line across the chart.
Limits and pitfalls
- Signals are hypothetical. Nothing is routed; the sizing, daily-loss and forced-flat logic of the original strategy are deliberately not ported.
- The Hurst estimate is single-scale and unstable on short windows; it does not establish an edge.
- Stop and target fills are simulated intrabar on high/low, which is optimistic compared with real fills.
Related pages
This page in other languages
Frequently asked questions
- Can Hurst MR place trades automatically?
- No. The overlay is described in the panel as « signals only, never orders ». Automated execution exists only through the separately armed autopilot, which is never persisted across sessions.
- Why is the current bar excluded from the z-score statistics?
- To match the backtest the strategy was validated with: the mean and standard deviation use the lookback bars before the bar being evaluated, so the bar cannot influence its own reference.
- What are the exit reasons shown on the chart?
- sl, tp, timeout, trail_z3 (opposite Z ≥ 3.0 while trailing) and trail_hz (trending regime with opposite Z ≥ 2.5, or the trailed stop hit).