Quantitative detector of extreme investor behavior signaling trend beginnings and ends.
Compression signals mark the end of sideways/mean-reverting periods and onset of a trend.
Extension signals mark the end of a trend period and onset of retracement or sideways action.
Signals are characterized by discrete scale invariance (DSI), accelerating price (PL), log-periodic cycles (LP), and volume anomalies.
=PFR.ExtremeHurst(Security, MostRecentDate, LeastRecentDate, Periodicity, Interval, History, Quality, Preferences, ExpirationPeriodicity, MinExpDays, FillWithHeaders, OnlyShowSignals, SpreadSecurity, TargetDateOverride, OnlyShowOneRow, ShowExtraOutputs, UseSyntheticPrices, BarsToMerge, RefreshMode)
| Parameter | Description |
|---|
| Security | Bloomberg security (e.g., 'IBM US Equity') |
| MostRecentDate | Most recent date (mm/dd/yyyy), blank=now. If earlier than LeastRecentDate, output is reverse date order |
| LeastRecentDate | Least recent date (mm/dd/yyyy), blank=now |
| Periodicity | YEARLY, QUARTERLY, MONTHLY, WEEKLY, DAILY, or MINUTE |
| Interval | Bar interval in minutes for MINUTE: 240, 120, 60, 30, 20, 15, 10, 5, 3, 2, or 1 |
| History | Bars back to first search date (alternate way to set LeastRecentDate) |
| Quality | Min rank: 0=99+, 1=95+, 2=90+, 3=80+, 4=70+, 5=any. For exact rank use negative (e.g., -98 for rank 98+) |
| Preferences | 0=Recommended, 1=More signals (adds doubled-bar search and increases sampling) |
| ExpirationPeriodicity | MONTHLY, WEEKLY, HISTORICAL_MONTHLY, or HISTORICAL_WEEKLY |
| MinExpDays | Min days to option expiration (default=5) |
| FillWithHeaders | Label non-signal rows with column headers (default=false) |
| OnlyShowSignals | List only rows with fresh new signals (default=false) |
| SpreadSecurity | Optional ratio spread denominator (e.g., 'SPX Index') |
| TargetDateOverride | Alternate target date for remaining edge/duration evaluation |
| OnlyShowOneRow | Show only the most recent signal row (default=false unless History < 0) |
| ShowExtraOutputs | Add LP cycle forecasts, option strike levels, and Trident stops/targets (default=false) |
| UseSyntheticPrices | Allow synthetic weeks/months; also runs all possible end dates when true (default=false) |
| BarsToMerge | Price bars to merge for processing, 1-5 (default=1) |
| RefreshMode | INTERVAL, DAILY, WEEKLY, MONTHLY, or FREEZE (default=FREEZE) |
| Signal Type | Meaning |
|---|
| Compression | Sideways compression detected, breakout direction not yet determined |
| Compression Up | Triggered upside within the trigger window |
| Compression Dn | Triggered downside within the trigger window |
| Compression Up Slow | Triggered upside outside the trigger window — delayed breakout |
| Compression Dn Slow | Triggered downside outside the trigger window — delayed breakout |
| Compression rvUp | Head-fake move downside first, then reversed upward within window |
| Compression rvDn | Head-fake move upside first, then reversed downward within window |
| Compression rvUp Slow | Head-fake reversal upward, triggered outside the window — delayed |
| Compression rvDn Slow | Head-fake reversal downward, triggered outside the window — delayed |
| Column | Description |
|---|
| Output 1 | Security Symbol |
| Output 2 | Run Date |
| Output 3 | Run Time |
| Output 4 | Run Price |
| Output 5 | Periodicity |
| Output 6 | Interval in minutes (intraday only) |
| Output 7 | Signal Type (see tables above) |
| Output 8 | Signal Date |
| Output 9 | Signal Price |
| Output 10 | Signal Rank |
| Output 11 | Signal Edge% (1% = 51% win rate) |
| Output 12 | Signal Duration in bars |
| Output 13 | Max Expected Gain% |
| Output 14 | Std Dev of Max Expected Gain |
| Output 15 | Target Date for edge evaluation |
| Output 16 | Remaining Edge% at Target Date |
| Output 17 | Remaining Duration at Target Date in bars |
| Output 18-20 | Dates of next 3 Log-Periodic Price Cycle peaks/troughs (ShowExtraOutputs=true) |
| Output 21-23 | LP Cycle direction: H=expected High, L=expected Low (ShowExtraOutputs=true) |
| Output 24-26 | Max LP Cycle price %Change expected (ShowExtraOutputs=true) |
| Output 27-29 | Raw option writing strike level and max return date (ShowExtraOutputs=true) |
| Output 30-32 | Trident stop price, target price, and time stop date (ShowExtraOutputs=true) |
| Output 33-34 | Hurst Band coordinate (HC) at signal bar close and at current bar (ShowExtraOutputs=true) |
| Output 35 | Current Signal Status (ShowExtraOutputs=true) |