Hurst Bands - Trend Persistence Indicator

Hurst exponent bands indicating trend persistent, mean-reverting, or random movement

Function Syntax

=PFR.HurstBands(Security, Periodicity, Interval, MostRecentDate, LeastRecentDate, ExpirationPeriodicity, MinExpDays, SpreadSecurity, TargetDateOverride, UseSyntheticPrices, BarsToMerge, RefreshMode)

Parameters

Parameter Description
SecurityBloomberg security
PeriodicityBar scale
IntervalBar interval for MINUTE
MostRecentDateMost recent date
LeastRecentDateLeast recent date
ExpirationPeriodicityMONTHLY, WEEKLY, etc.
MinExpDaysMin days to expiration
SpreadSecurityOptional spread denominator
TargetDateOverrideAlternate target date
UseSyntheticPricesAllow synthetic prices
BarsToMergeBars to merge (1-5)
RefreshModeRefresh rate INTERVAL,DAILY,...,FREEZE

Output Columns

Column Description
Output 1Security Symbol
Output 2Run Date/Time
Output 3Price
Output 4Hurst Exponent
Output 5Hurst Coordinate
Output 6Signal Edge%
Output 7Signal Duration
Output 8Target Date
Output 9Remaining Edge%
Output 10Remaining Duration
Output 11Low Band Price
Output 12Downtrend Band
Output 13Mid Band Price
Output 14Uptrend Band
Output 15High Band Price
Note: This function requires Bloomberg Terminal to be running and logged in.