This Long-Only strategy uses the Hurst Exponent to classify Cryptocurrencies into two behavioral regimes: Mean-Reverting and Trending. Based on this classification, for Mean-Reverting assets, the RSI indicator is used to generate buy signals, while the MACD is the foundation for the Trending assets.

Signals are generated daily using close prices, and target portfolio weights are assigned uniformly among the assets with buy signals. Before rebalancing, the strategy computes the Normalized Euclidean Distance between the current weights and the new target weights. If this distance falls within a no-trade zone, defined by an optimal threshold δ, the strategy keeps the current weights to avoid unnecessary turnover.

When rebalancing is triggered, it is performed through a weighted average between current and target weights, ensuring partial adjustments rather than full reallocation. As a result, the strategy never performs full portfolio turnover, which helps minimize transaction costs and slippage over time.

This strategy uses a Simple Moving Average (SMA) to determine when to buy or sell. When the current price is above the SMA, the strategy buys the asset. When the price falls below the SMA, it exits the position.

The SMA is calculated by averaging prices over a specific time window, helping to identify the overall trend direction. This simple approach works well for capturing longer-term price movements while filtering out short-term noise.