The fractal scaling properties of the heartbeat time series are studied in different controlled ergometric regimes using both the improved Hurst rescaled range (R/S) analysis and the detrended fluctuation analysis (DFA). The long-time "memory effect" quantified by the value of the Hurst exponent H>0.5 is found to increase during progressive physical activity in healthy subjects, in contrast to those having stable angina pectoris, where it decreases. The results are also supported by the detrended fluctuation analysis. We argue that this finding may be used as a useful new diagnostic parameter for short heartbeat time series.