Thursday, 28 February 2013

An example of Simple Kurtosis, Skewness and Mean Asset Selection Filter for Equities

On this chart, you can roughly find what sort of equities you can invest.

Well, I've few more methods to further classify them... :-)


I input 100 stocks into this simple system. After filtering them out and further combining the results with the mean reversion strategy, 5 stocks are selected. They are Stock 3, 28, 55, 60, 67. (Please note: the calculations for Kurtosis, Skewness and Mean have been modified in this example.)

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