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 2022and the End Date as:
February 13th 2022for every trading pair
XRPUSDTas the group of trading pairs to analyze with the Hurst exponent
1HTimeframe 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
And according to this article:
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:
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.