Hurst-Gated Fibonacci Retracement Breakout Strategy with Fixed Risk Controls

Summary

This strategy combines a rough Hurst exponent estimate with Fibonacci levels calculated from a selected higher timeframe’s high and low. A long signal requires price to cross above the 61.8% level while the daily Hurst estimate is above 0.5; a short signal requires a cross below the 38.2% level while the daily estimate is below 0.5. The source also specifies per-trade stop and target levels, a risk-reward target, position sizing, and daily and total trade-count limits. Current and daily Hurst values are displayed as chart aids.

The document includes a TRB/USDT backtest configuration and code that sets commission and slippage assumptions, but it provides no resulting performance statistics. Its Hurst calculation is explicitly described as approximate, and the strategy may be sensitive to lookback and timeframe choices. The text also identifies ranging markets, low liquidity, and the complexity of combining components as risks. The risk controls are described in the source, but their practical effectiveness is not demonstrated by reported results.

Key ideas

• The Hurst estimate is used to distinguish conditions treated as trend-persistent from those treated as mean-reverting.
• Long entries require a cross above the 61.8% Fibonacci level with daily Hurst above 0.5.
• Short entries require a cross below the 38.2% level with daily Hurst below 0.5.
• The source defines stop and profit levels, position sizing, and limits on trade frequency.
• The Hurst calculation is approximate, and no backtest performance results are reported.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.