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Tom Quist Profile picture
Tom Quist
@TomQuist3
Managing Private Portfolio, Data Enthusiast
Jul 20, 2021 • 8 tweets • 3 min read
Let's talk about Hurst and how I use it to make sense of this crazy market. We can define Hurst (H from now on) in three regimes. 1. H=0.5 Random price walk, very hard to predict. Do nothing is my go to move. Image
Jan 19, 2021 • 4 tweets • 2 min read
@Oz25583407 You calculate H and RV. Project RV (daily range width) for the next day and scale by H. So for instance, if RV is 100 and H 0.8 you get 20 upside points and 80 down. Works for me. @Oz25583407 Also, H can stay high for a while when a market is trending strongly... spotting the difference between a price to make sales or stay in the trade can be discovered be tracking a lot of assets.
Oct 23, 2020 • 4 tweets • 1 min read
XLK is signaling buy on the 15D vol of vol H. exponent... Image while XLU is signaling sell, probably because of the quick rise in yields last week. Image