hurst-timing

A market-timing method using the Hurst exponent, a statistic that estimates whether price movements tend to continue, reverse, or behave randomly.

In plain words
What is it for?
Use it to calculate rolling Hurst values, interpret trend persistence or mean reversion, create buy and sell signals, and combine them with other indicators.
Why use it?
It provides a way to assess broad market trends and possible turning points, while making clear that signals can be delayed and imprecise.

Skill for Claude CodeCodex

Install

Getting it into your agent

One page per mod, every tool's command on it. A separate URL per tool would split the same page into five that compete with each other.

agentmods
npx agentmods add skills/feicoder/skill-factory/hurst-timing
Any agent
npx skills add FeiCoder/Skill-Factory --skill hurst-timing
Clone the repo
git clone --depth 1 https://github.com/FeiCoder/Skill-Factory

Made for: Claude Code, Codex.

Per session 47 Skills are progressive disclosure: only the name and description are preloaded; the body loads when the skill is used.
When invoked 880 The whole file, excluding the scripts and references it only reads on demand.
Security scan A 0 findings. Scan, not verified.
Origin original No closer match found in the catalogue.
Token cost

What it costs to keep this loaded

Counted locally with the o200k_base tokenizer, which is exact for GPT models; Claude uses its own tokenizer and its counts differ. Treat this as one consistent yardstick across the catalogue rather than a bill. Prices are per million input tokens.

ModelPer sessionOnce invoked
Fable 5 $0.00047 $0.00880
Opus 5 $0.00023 $0.00440
Sonnet 5 $0.00009 $0.00176
Haiku 4.5 $0.00005 $0.00088

Measured 2d ago against content hash ea2fa6829ab7, method: parsed. Prices are Anthropic first-party input rates as of 2026-08-30, from the pricing page.

Security

Grade A, and why

hurst-timing scanned grade A with 0 findings against 26 rules in 11 categories — prompt injection, anti-refusal, data exfiltration, privilege escalation, supply chain, agent snooping, system-prompt leakage, SSRF and excessive agency — measured 2d ago.

A static scan of the body, not an audit. Every finding is printed with the line that produced it so you can judge whether it matters here. A mod is markdown that instructs an agent; that is exactly why what it instructs is worth reading.

Nothing flagged

None of the 26 patterns this scan looks for appear in this file: no shell pipes, no recursive deletes, no credential paths, no hidden text, no instruction-override or anti-refusal phrasing, no agent-config snooping. That is not a guarantee, it is the absence of the things that are checkable.

produced_skill/timing/hurst-timing/SKILL.md · 128 lines

What it actually says

Hurst指数择时

基本概念

Hurst指数基于分形市场理论,用于判断市场趋势的持续性和转折点。

分形市场理论

  • 市场由不同投资期限的投资者组成
  • 信息对不同投资者影响不同
  • 价格变化具有长期记忆性
  • 不是随机游走

Hurst指数含义

H ∈ (0, 1)
- H = 0.5: 随机游走,无记忆
- H > 0.5: 趋势持续(动量)
- H < 0.5: 反转持续(均值回归)

R/S分析方法

重标极差法

计算步骤:

  1. 将时间序列分为n个子区间
  2. 计算每个子区间的均值和累积离差
  3. 计算极差R
  4. 计算标准差S
  5. 计算R/S

长期记忆长度

Hurst指数峰值对应的n值:

  • A股市场:n ≈ 233个交易日
  • 含义:约1年的平均循环周期

策略模型

Local Hurst指数

移动计算Hurst指数,反映市场短期记忆性变化。

趋势判断

H > 0.55: 趋势持续 → 顺势操作
H < 0.55: 趋势可能反转 → 谨慎
H ≈ 0.5: 无明显趋势 → 观望

交易信号

买入信号

  • Local Hurst指数连续5日低于E(H)
  • 且市场较233日前上涨
  • 第6个交易日发出买入信号

卖出信号

  • Local Hurst指数连续5日低于E(H)
  • 且市场较233日前上涨
  • 满仓状态下第6个交易日发出卖出信号

A股实证

长期记忆特征

  • 上证综指:H = 0.61(n=233)
  • 深证成指:H = 0.61(n=233)
  • 结论:A股具有长期记忆性

市场转折识别

  • Hurst指数低位(<0.55)与市场反转期吻合
  • 市场反转时H接近0.5
  • 说明A股不完全有效

策略特点

优点

  1. 理论扎实:基于分形市场理论
  2. 长期视角:考虑市场长期记忆性
  3. 转折识别:能识别主要市场拐点

局限

  1. 参数选择:n值影响结果
  2. 信号延迟:转折后才会出现信号
  3. 不精准:只能判断大致位置

实践建议

参数设置

  • n值:200-250个交易日
  • 阈值:0.55-0.60
  • 连续天数:5-10天

配合使用

  • 结合趋势指标确认信号
  • 结合成交量验证
  • 设置止损

注意事项

  1. 市场环境:对趋势明显的市场更有效
  2. 参数稳定:不需频繁调整
  3. 辅助工具:作为辅助判断工具使用

适用场景

  • 大盘趋势判断
  • 主要转折点识别
  • 长期择时
  • 配合其他择时指标
Changes

What this file has done since we first saw it

Hashed on every crawl. A supply-chain change to an agent config is a question of when, not whether, so the history is kept rather than the latest state alone.

  1. 2d ago First seen · 128 lines · 47 tokens per session scan A ea2fa6829ab7

Subscribe to this mod's changes

hurst-timing is a skill published in the GitHub repository FeiCoder/Skill-Factory (10 stars, last pushed 6mo ago), licensed MIT. It adds 47 tokens to every session and 880 once invoked, about $0.0002 per session on Opus 5. A static security scan graded it A with 0 findings. No closer match exists in the catalogue, so it is treated as the original; first seen 2026-08-31.

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