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I watched this video tutorial to learn how to estimate the Hurst Exponent using an Excel spreadsheet and a time series sample of 1025 data.

I decided to use futures 1H markPriceKlines data from Binance Market Data to play around with those. I set:

  • The Start Date as: January 2nd 2022 and the End Date as: February 13th 2022 for every trading pair
  • ADAUSDT, BTCUSDT, SOLUSDT, XRPUSDT as the group of trading pairs to analyze with the Hurst exponent
  • 1H Timeframe for every trading pair
  • 1025 data in every single one of the time series of the trading pairs

My findings as well as the data I used can be found here if needed.


What I found was that:

  • All of the trading pairs got a Hurst Exponent around 0.62

And according to this article:

When H>0.5

the time series used is a trending (persistent) series. In practice, it means that a high value is followed by a higher one.


So, here's where I get lost, when I look at the charts of those trading pairs all of them had a pump in the coming weeks subsequent to the time series I used before dumping even more lower than the prices of my time series in the end:

ADAUSDT

BTCUSDT

SOLUSDT

XRPUSDT


Does the above mean that I should consider opening short positions for these trading pairs when I get a Hurst Exponent greater than 0.5 and also its prices come from top to the bottom? Or did I miss something when interpreting my results from the Excel spreadsheet?

Feedback is appreciated.

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1 Answer 1

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Does the above mean that I should consider opening short positions for these trading pairs when I get a Hurst Exponent greater than 0.5 and also its prices come from top to the bottom?

No.

Hurst gives you information about the past. It is not predictive. If you want to open up a trading position, you should do so based on what you think will happen, not what happened previously.

Also, Hurst varies wildly based on the window you are using (like any metric used to gain a sense of autocorrelation). I have never seen a successful trading system using a single technical indicator.

Good luck!

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  • $\begingroup$ I see, understood sir, thank you! May I also know if my Excel Spreadsheet was correctly built and my time series were correctly chosen? I just want to make sure so far everything has been handled professionally. $\endgroup$ May 20 at 17:35
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    $\begingroup$ @NoahVerner I'll take a look. Email me (amdopt [at] gmail) so we can continue this without using comments on a post. $\endgroup$
    – amdopt
    May 21 at 12:32

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