Hurst Exponent Forum Qta

//@version=5
indicator("Study Hurst Exponent Forum Qta", overlay = false, precision = 6)

length  = input(64,  title = "Hurst Exp Length")

pnl = close / close[1] - 1
mean_pnl = math.sum(pnl, length) / length
cum = 0.0
cum_min = 9999999.0
cum_max = -9999999.0

for i = 0 to length - 1
    cum  := cum + pnl[i] - mean_pnl
    cum_min := math.min(cum_min, cum)
    cum_max := math.max(cum_max, cum)

dev_sum = 0.0

for i = 0 to length - 1
    dev_sum := dev_sum + (pnl[i] - mean_pnl) * (pnl[i] - mean_pnl)

sd = math.sqrt(dev_sum / (length - 1))
rs = (cum_max - cum_min) / sd
hurstexp = math.log(rs) / math.log(length)

plot(hurstexp, color = #247352,  linewidth = 2, title = "HurstExponent")
plot(0.5,  color = color.gray, linewidth = 1, title = "")