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.
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...
while XLU is signaling sell, probably because of the quick rise in yields last week.