Strategy #0000000118 · Time series and trend regimes
Hurst-exponent regime switching
Enter a Hurst exponent, neutral band, trend/reversion return scenarios and costs.
The Hurst exponent describes persistence across scales: values above 0.5 are often interpreted as trend persistence and values below 0.5 as anti-persistence or mean reversion. Finite samples, structural change, window choice and estimator bias can make H unstable; one estimate is not ground truth. This simulator selects between entered trend and reversion return scenarios using H and a neutral band.
No Hurst estimate or statistical significance is computed; R/S estimates can be confounded by trends and heteroskedasticity.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
When the Hurst exponent leaves a neutral band, which trend or reversion scenario applies?
The Hurst exponent describes persistence across scales: values above 0.5 are often interpreted as trend persistence and values below 0.5 as anti-persistence or mean reversion. Finite samples, structural change, window choice and estimator bias can make H unstable; one estimate is not ground truth. This simulator selects between entered trend and reversion return scenarios using H and a neutral band.
Enter a Hurst exponent, neutral band, trend/reversion return scenarios and costs.
No Hurst estimate or statistical significance is computed; R/S estimates can be confounded by trends and heteroskedasticity.
- Input assumptionsEnter a Hurst exponent, neutral band, trend/reversion return scenarios and costs.
- Model outputNo Hurst estimate or statistical significance is computed; R/S estimates can be confounded by trends and heteroskedasticity.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
E[(R/S)_n]\propto n^H,\quad H\gtrless0.5\pm\epsilon
H and ε are entered estimate and neutral band; strategy returns are assumptions, not estimates.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 資料
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
E[(R/S)_n]\propto n^H,\quad H\gtrless0.5\pm\epsilon
Practical context · published observations
Hurst-exponent regime switching: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No Hurst estimate or statistical significance is computed; R/S estimates can be confounded by trends and heteroskedasticity. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Data quality, constraints and implementation costs affect results.
Compare modelling and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | The Hurst exponent describes persistence across scales: values above 0.5 are often interpreted as trend persistence and values below 0.5 as anti-persistence or mean reversion. Finite samples, structural change, window choice and estimator bias can make H unstable; one estimate is not ground truth. This simulator selects between entered trend and reversion return scenarios using H and a neutral band. | No Hurst estimate or statistical significance is computed; R/S estimates can be confounded by trends and heteroskedasticity. |
| Conservative version | Lower exposure | Raise cost/risk assumptions and constrain positions. | May reduce participation. |
| Validation version | Out-of-sample test | Freeze the method before evaluation on untouched data. | Needs more clean data. |
No Hurst estimate or statistical significance is computed; R/S estimates can be confounded by trends and heteroskedasticity.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.
- 01Peters (1994), Fractal Market Analysisresearch