Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Skewness as a Trend Signal
Seong Lee
edited Oct 2, 2013

Hello all,

Here's an algorithm that uses skewness as a trend indicator. Read more about it here

I used a linear regression curve to determine the mean and if the skewness deviated by greater than the limits defined by this article, it will go long or short, depending.

  • If skewness is greater than the upper limit, go long
  • If skewness is lower than the lower limit, go short

The returns vary with the limits used and the number of days used to compute the average so feel free to play around with it! Also, the use of a simple moving average rather than a linear regression curve may prove to be interesting as well.

Feedback always welcome.

-Seong

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

2 responses
Tom Starke
Oct 3, 2013

Hi Seong,

I had my own play with skewness because it seems such an obvious thing to do. However, it never gave me any meaningful results. Interestingly, the same guy in the article you quoted took back his claims a little while later here, saying that his parameter was just a lucky coincidence. From my own tests I would agree with that.

Seong Lee
Oct 3, 2013

Tom,

Thanks for pointing that out, intuitively it made a bit of sense to me but still have a lot to learn!

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.