The Hurst Gate filter is a pass/block gate on the rolling R/S Hurst exponent of simple returns. When Hurst meets your compare condition against a threshold, the filter passes; otherwise it blocks. It never fires a buy or sell by itself.
H below ~0.5 often favors mean-reversion strategies; H above ~0.5 favors trend. Defaults use Hurst < 0.5.
When to use it
- Only allow mean-reversion entries while Hurst stays below 0.5
- Block MR bots when the path looks strongly trending
- Confirm regime without adding a second directional rule
What you’ll set in the app
Add Hurst gate under filters.
- Window — return bars in the sample (default 64)
- Compare — Hurst >, <, ≥, ≤, or ≈
- Threshold — e.g.
0.5(default)
Warm-up history or unstable R/S blocks the gate. Disabled passes.
Tips
- Needs a longer window than Sharpe (default 64) so R/S has enough block sizes.
- There is no “side when true”—pair with RSI, z-score, or other signal rules for direction.
- Pair with Half-life Gate for mean-reversion stacks.
Example
Entry filters: Hurst gate, window 64, Hurst < 0.5. A residual z-score long only passes when recent Hurst looks mean-reverting.