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Hurst Maximizing Portfolio

The Hurst Exponent is an indicator of whether a timeseries is trending, random, or mean reverting. There are many ways to estimate the Hurst Exponent, and many opinions to its utility. Nonetheless I was curious to see if generating a portfolio to maximize the Hurst exponent would yield any interesting results. Since this is purely an mini investigation into the idea I turned commission and slippage off to see if the mathematics behind it are of any use. I'm not making any conclusions about it, just thought it was interesting.

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 56e9e20e00a9cc0f36b0911d
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