oscarm417 / hurst-exponent-backtest Goto Github PK

The Hurst exponent tries to quantity momentum, random walk, and mean reversion. Not necessarily a backtest, but more of an analyses on how the Hurst exponent behaves. Based on preliminary tests, in order to match the S&P500 return using the hurst exponent one needs to leverage 3x in order to get the same return. However, the risk adjusted over long periods seem to compensate. This strategy could likely be replicated buying UPRO or other triple leveraged stocks.