Expand description
Hurst/VPIN directional strategy.
Subscribes to dollar bars, trades, and quotes for a single instrument. Estimates the Hurst exponent by rescaled range over dollar-bar log returns, computes VPIN from trade aggressor flow per completed bar, and opens a position on the next quote tick when both signals align. Exits on regime decay or holding-time cap.
Re-exports§
pub use config::HurstVpinDirectionalConfig;pub use strategy::HurstVpinDirectional;