PROTECTED SOURCE SCRIPT
FRACTAL-LAB
Advanced fractal analysis suite for detecting market memory and deviations from random walk behavior.
Features:
Hurst Exponent proxy via variance scaling with dynamic confidence intervals
DFA-Lite (two-scale Detrended Fluctuation Analysis)
Lo-MacKinlay Variance Ratio test
Volatility memory analysis on |returns|
Quality scoring system (A-F grades)
Regime classification: Persistent / Random Walk / Anti-Persistent
Interpretation:
H > 0.55 → Trending behavior (momentum)
H ≈ 0.50 → Random walk (no predictability)
H < 0.45 → Mean-reverting behavior
Important:
Screening tool only — validate results in Python/R
Does not test for short-range dependence (Lo, 1991)
Recommended sample size: N ≥ 300 bars
NOT a trading system — for research and education only
References: Hurst (1951), Lo & MacKinlay (1988), Peng et al. (1994)
Features:
Hurst Exponent proxy via variance scaling with dynamic confidence intervals
DFA-Lite (two-scale Detrended Fluctuation Analysis)
Lo-MacKinlay Variance Ratio test
Volatility memory analysis on |returns|
Quality scoring system (A-F grades)
Regime classification: Persistent / Random Walk / Anti-Persistent
Interpretation:
H > 0.55 → Trending behavior (momentum)
H ≈ 0.50 → Random walk (no predictability)
H < 0.45 → Mean-reverting behavior
Important:
Screening tool only — validate results in Python/R
Does not test for short-range dependence (Lo, 1991)
Recommended sample size: N ≥ 300 bars
NOT a trading system — for research and education only
References: Hurst (1951), Lo & MacKinlay (1988), Peng et al. (1994)
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.