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Hurst

Cycles and Their Impact on Market TrendsCycles are a powerful tool to integrate into your trading awareness. Plotting from bottom to bottom is the most straightforward way to visualize cycles. The concept of Hurst cycles comes into play here—they highlight the importance of understanding periodicity in market behavior. Hurst cycles focus on the timing of market movements and how price tends to repeat over consistent intervals, giving traders insight into potential future price action. They’re particularly useful for spotting turning points and understanding the rhythm of the market. In this chart, I’ve drawn several green semicircles to illustrate cycles of varying lengths, from larger to smaller. While these cycles don’t always align perfectly, they offer a useful framework. It’s crucial to remember that when multiple cycles end or begin simultaneously, the resulting move (whether up or down) tends to be much stronger than when a single, smaller cycle completes on its own. What goes up must come down, and vice versa, but these fluctuations don’t change the overall degree of trend. By acknowledging these cycles, you gain a better understanding of how market fluctuations occur. You can also backtest historical data and project forward to identify likely peaks and troughs in future trends. However, it’s important not to rely solely on cycle analysis. Combine it with your cocktail of methods—whether that’s Elliott Wave, Fibonacci, or other technical indicators—and look for patterns or signals that align across multiple strategies. The goal is to find where your methods “jive” and provide you with the most confidence in your market outlook.
by cryptechcapital
Financial Chaos: Hurst Exponent and Fractal DimensionsIn the world of finance and economics, the use of mathematical tools and statistical methodologies to evaluate and predict market movements is an inherent aspect of operations. Particularly, the complexity of financial markets has demanded innovative tools for analysis, making some fields of mathematics like chaos theory and fractal geometry increasingly relevant. Two such critical concepts emerging from this intersection are the Hurst exponent and the Fractal dimension. Deep Dive into the Hurst Exponent Named after British hydrologist Harold Edwin Hurst, the Hurst Exponent is a statistical measure that reflects the persistency or the tendency of a system to revert to the mean. The origin of the Hurst Exponent traces back to the 1950s when Hurst was assigned the responsibility of constructing the Aswan Dam in Egypt. He aimed to predict the Nile River's flooding patterns, determining how large the dam's reservoir needed to be to ensure sufficient water supply in times of drought. Hurst noticed that the Nile River's flooding wasn't a purely random event; high water levels tended to follow high levels, and low water levels followed low levels, indicating a level of autocorrelation or "memory" in the data. Hurst's observations of this time series data led to the creation of the Hurst exponent (H), which essentially measures the 'memory' or the autocorrelation of a time series. It ranges between 0 and 1. When H = 0.5, the time series is essentially a geometric random walk, with no autocorrelation. When 0.5 < H < 1, the time series is persistent or trending. This means that high values will likely be followed by high values and the same for low values. When 0 < H < 0.5, the time series is anti-persistent or mean-reverting. This indicates that high values will likely be followed by low values and vice versa. In the financial domain, the Hurst exponent plays an instrumental role in detecting market trends and mean-reverting behavior. A Hurst exponent significantly different from 0.5 may highlight an opportunity to make profits since it implies a certain degree of market predictability, thereby defying the Efficient Market Hypothesis, which states that financial markets are 'informationally efficient', making it impossible to consistently achieve higher than average profits. Expounding the Fractal Dimension The Fractal Dimension is a statistical measure that provides insights into the 'roughness' or complexity of a fractal. A fractal is a geometric figure, each part of which has the same statistical character as the whole. They are useful in modeling structures in which similar patterns recur at progressively smaller scales, and in describing partly random or chaotic phenomena. In mathematical notation, the Fractal Dimension is often represented as 'D'. A fractal line will have a dimension between 1 and 2, depending on how much space it takes up with its twists and turns. Originally, the Fractal Dimension found its use in a wide range of fields, including physical and environmental sciences, helping to model natural phenomena like coastlines, mountains, and even weather patterns. In financial markets, the Fractal Dimension is utilized as an indicator of market volatility. By quantifying the complexity or 'roughness' of price series data, it provides a gauge of market stability. A higher fractal dimension correlates to a more complex or less stable system, whereas a lower fractal dimension signifies a less complex or more stable system. Interlinking the Hurst Exponent and Fractal Dimension While seemingly disparate, the Hurst Exponent and the Fractal Dimension are inherently connected, primarily because they both originate from the study of fractal geometry and chaos theory. The essential connection lies in their mutual role in quantifying predictability and complexity in financial markets. Interestingly, there is a mathematical relationship between the Hurst Exponent and the Fractal Dimension in the context of financial time series. If 'H' represents the Hurst Exponent, then the relationship can be articulated as D = 2 - H. This implies that a time series with a higher Hurst exponent (indicating a persistent or trending behavior) would have a lower fractal dimension, signifying less complexity. Conversely, a time series with a lower Hurst exponent (indicating anti-persistence or mean-reverting behavior) would exhibit a higher fractal dimension, suggesting a higher degree of complexity. These measures provide traders and financial analysts with powerful tools to analyze and understand the inherent characteristics of different markets or financial instruments. It empowers them to develop sophisticated trading strategies based on fractal geometry and chaos theory principles. Trading Strategy Incorporating Hurst Exponent and Fractal Dimension 1. Data Gathering and Preparation : Gather historical price data for the market or security you are interested in. The length of the data series would depend on the frequency of your trading, but ideally, you'd want a sizable sample. 2. Calculation of Hurst Exponent and Fractal Dimension : Calculate the Hurst Exponent (H) and the Fractal Dimension (D) for the price data. There are multiple ways and time periods over which these can be calculated, depending on your trading style. For instance, you may choose to calculate these values over a moving window of data to get an evolving measure of the market's memory and complexity. 3. Setting Thresholds : Set thresholds for H and D that will dictate your trading decisions. For the Hurst Exponent, you might consider a system where: If H > 0.5, the price series exhibits a persistent trend. In this case, you might want to follow a trend-following strategy, buying when prices are rising and selling when prices are falling. If H < 0.5, the price series is mean-reverting, so you might want to follow a contrarian strategy, buying when prices have fallen and selling when they've risen. For the Fractal Dimension: If D is low (implying a simpler market structure), your trading strategy may rely more heavily on the indications from the Hurst Exponent. If D is high (indicating more complex market structure), you might choose to trade more conservatively or abstain from trading due to the high complexity and lower predictability of the market. 4. Implementing the Strategy : Based on the values of H and D and the pre-set thresholds, execute your trades. For instance, if H > 0.5 and D is low, you might go long (buy), expecting the upward trend to continue. Conversely, if H < 0.5 and D is low, you might go short (sell), expecting prices to fall. 5. Risk Management and Review : Always manage your risk by setting stop losses and take profit levels. Regularly review your strategy's performance and adjust the thresholds and parameters as necessary based on changing market conditions. I hope you found this information valuable and feel free to drop any questions in the comments. Enjoy!
BITSTAMP:BTCUSDEducation
by BiggWigg
3
Multiple uptrend confirmation (VTL, phasing, FLD) Bitcoin price have just brought us a massive confirmation about concluding the first nominal 40W cycle after a major nest of lows that we had in the fall 2022. Phasing analysis suggested us to wait for this cycle conclusion, that is bringing us now to the deciding phase of the first half of the major 36 month wave. You can see on the picture that the Valid Trend Line Has been broken too, giving the second confirmation. The last to check regarding Hurst theoy is the Future Line of Demarcation (moving average moved forward in time for the half length of the anylised wave). As we clearly see - FLD was broken the same day. Here comes the last part of Hurst's approach which says, that once the FLD is broken, it will get higher to the point same distance from the line of breaking as the last low. You can see the prediction on the following picture:
BITSTAMP:BTCUSDLong
by bartekhl
2
On the edge of bearish take over, not easy thoughthis is a short to short-midterm EW opinion. Bulls and bears are pretty balanced between 27800 and 26 700, that's why we could going on bounce down n up. We have lower highs and lower lows which forms the bearish channel. imo the next 7-14 days we will have a clear direction downside but BTC is always good for a surprise. EWaivers know, it all comes down to where you start to measure and how. This is imo the most probable scenario. Let's see what BTC does. Pls share your opinions.
Short
by kiaZar
1
Bulls takeover early postpone big correctionHello everybody. The situation develops dynamically. Expected correction seemed to be less serious than expected. But - the paranoid people leave longer. We have concluded 10D cycle without going further into lower values. The upper trend that is underlying has pushed the chart upwards, which led to update of waves' phasing. For this moment we expect to see farther upwards move as next 10D cycle is starting just today. We should notice a nice move up next 5 days. The correction seems to get postponed. After 5th march we should see time for a little breath just to get the final attack between 10-20th march.
BITSTAMP:BTCUSDLong
by bartekhl
Bulls to project first targets.Recent confirmation of leaving the bottom of 40W cycle behind has started fast pace of raise for BTC and other important altcoins. As drawn on the chart we have got first estimation of local target, mid way of the bull run that has started just now. By extending moving averages of recently confirmed cycles, we estimated the point where bitcoin should top off and have some retrace before next stage of this 40W. We estimate the top at 33k by 26th of December along with the top of first 10W cycle. Of course adding some standard deviation is essential for managing the risk level. Bitcoin is getting more and more stable along with the influx of huge institutional funds. It is getting out of being just a speculative asset but a serious instrument so we would not expect some 10k moves but rather a steady up trend. Then we should see some trace back in January, that would lead us to the proper high of the major 40W cycle somewhere between February and March 23. Precise numbers we can estimate after we top off this first 10W cycle that we are riding now.
BITSTAMP:BTCUSDLong
by bartekhl
Final nest of lows cascade started?Today we saw a very dramatic decline in the #BTC value. Interestingly it occurred precisely at the date we had had marked expected as 'nest of lows' date to happen - lows of many synchronised bands up to 10M - 20M cycle. Whatever the drop value is going to be - we should not expect any longer drama drop imo. However the highway up might be strong and fast;] We open small UNLEVERAGED longs Next weeks will give us confirmation wether our phasing analysis model is working so well. Shall we get that confirmation early - lets hope to be the first bulls for the real run.
BITSTAMP:BTCUSDLong
by bartekhl
10W (80D) cycle bottom pass confirmed Bitcoin price have broken the Valid Trend Line for 10W (80D) cycle. The 17,500 low of 26.06.2022 is very probable to be also a bottom for 20W. However we still have 40W bottom cycle to be confirmed to start assuming that 17,5K might have been the major bottom. Phasing analysis suggest the major bottom is still due but the answer will come within next 2 weeks. We can assume anything by seeing how strong the price will be pulled down by downtrends of shorter bands like 10D 20D following days. Stay sharp!
BITSTAMP:BTCUSD
by bartekhl
Aproaching the bottom of a major 40M nominal wave in BTCWe are moving closer to the expected bottom of 3rd harmonic (13M) of the major 40M wave. Although we have seen some bounce, we seem to have already broken Valid Trend Line for a short 5W and 10W waves, the VTL of longer bands like 20W and 40W wave have not been broken yet. We will be looking forward to have both 20W and 40W Valid Trend Lines broken - the confirmation that the bottom of those two waves have passed. That will let us assume that the major 13M/40M bottom is already behind. Our target price is 11-13k USD coming 10th of August.
BITSTAMP:BTCUSD
by bartekhl
3
Bitcoin Current Cycle compared to Gann & Hurst Nominal Cycle ***IN REFER TO MY PREVIOUS ANALYSIS ...I thought that it was a good idea to republish it as chart was not clear in my previous Analysis...I have now enlarged chart and added some more information...hoping its more clear now- Even if we do not have a lot of datas on Bitcoin using what we have we can see the following patterns : - October 8th 2010 a 10 years Cicle started with Wave 1 ( I presume that this is 1/3 of a 30 years Cicle...but this is only an assumption for now as there are not enough data to confirm ) - June 8th 2011 End of Wave 1 with a Top - November 19th 2011 End of Wave 2 with a Bottom - November 30h 2013 End of Wave 3 with a Top - January 14th 2015 End of Wave 4 with a Bottom - December 17th 2017 End of Wave 5 with a Top Then we had an ABC correction Pattern - December 15th 2018 End of Wave A with a Bottom - June 26th 2019 End of Wave B with a Top - March 13th 2020 End of Wave C with a Bottom 10 years CICLE ENDED The entire move started on October 8th 2010 to December 17th 2017 could be Wave 1 of what I think it could be the 30 years cycle and it completes the 7 year Super Cycle Top The entire correction move started on December 17th 2017 to March 13 2020 could be Wave 2 of what I think it could be the 30 years cycle and it completes the 3 year coorrection Cycle Bottom NOW : - a New 7 Years SUPER CICLE STARTED with Wave 1 starting on March 13th 2020 - The 30 Years Cycle is on Wave 3 If the future is but a repetition of the past I think that we could see a major move up considering the Sum of 3rd Wave of 30 Years Cycle and Wave 1 of the 7 Year Super Cycle that are both bullish and pushing in same direction. Legenda : 7 YEAR BULLISH SUPER CYCLE WAVES IN GREEN 30 YEARS CYCLE WAVES IN BLUE *** Additional Note : 7 Years MA in Blue provided perfect support to both Bottoms on December 15th 2018 and on March 13th 2020 confirming that the 7 Years Cycle is in place and running. Bottoms on December 15th 2018 and March 13th 2020 where Wave A and wave C of Correction pattern ABC *** Additional Note : - BITCOIN CURRENT CYCLE ( 3444 DAYS ) ...Tradingview is only counting 3439 days because probably some datas are missing for the initial phase of Bitcoin Chart...but if you take the real dates I get 3.444 Days - HURST NOMINAL CYCLE ( 3273,6 DAYS ) - GANN 10 YEARS CYCLE ( 3600 DAYS ) -VARIATION: 170,40 DAYS COMPARED TO HURST NOMIMAL CYCLE 156 DAYS COMPARED TO GANN 10 YRS CYCLE Just quoting William Delbert Gan now: "”The next important major cycle is the 10-year cycle, which produces fluctuations of the same nature and extreme high or low every 10 years. Stocks come out remarkably close on each even 10-year cycle. The minor cycles are 3 years and 6 years. “” - William D. Gann -
BNC:BLXLong
by Barbara2699
BNB Volatility Study [HVP + Hurst + Momentum]The Historical Volatility Percentile is currently contracting, at levels close to 0. Whether we will see it go to 0 and see the indicator flash is not certain, but likely since values of 0 and 100 are the most occurring. Once the value of the Hurst exponent is starting to trend > 0.5, we will see that HVP contraction is complete and expansion has begun. From whenever expansion occurs, we can see whether if there is a positive or negative correlation of HVP with the price of underlying and then take position/determine direction, this is one way to do it, I will also be using the Momentum indicator from in confluence.
by TheSiam