symbol-selection-statistical

Symbol selection for mean-reversion and momentum strategies requires statistical screening using Hurst exponent analysis, half-life estimation, and GARCH volatility modeling. This Skill computes short-term Hurst metrics (<0.45 for mean-reversion, >0.55 for trend), mean-reversion half-life, and GARCH fit quality to identify assets with clear regime separation and robust volatility dynamics across equities, futures, FX, and cryptocurrencies.

The Hurst exponent measures market behavior on a scale of 0 to 1, with values below 0.45 indicating mean-reverting price patterns ideal for range-trading strategies, and values above 0.55 indicating trending behavior. This Skill calculates both short-term and long-term Hurst metrics to classify assets and filter those compatible with your trading regime.

Yes. This Skill integrates HMM-based regime persistence analysis to detect predator-prey Markov regimes, measuring regime duration and stability. It scores assets on regime persistence and other statistical dimensions, enabling you to select symbols with well-defined regime separation suitable for regime-aware trading strategies.

GARCH fit quality scoring evaluates whether a GARCH volatility model adequately captures an asset's risk dynamics. This Skill computes GARCH diagnostics as part of its weighted composite scoring, ensuring selected symbols have volatility patterns that GARCH models can reliably forecast for downstream risk management.

The Skill applies to asset universes across equities, futures, FX, and cryptocurrencies at intraday to daily horizons. It accepts price series as input and outputs selection scores, Hurst metrics, half-life estimates, regime persistence statistics, and GARCH diagnostics via a configurable weight schema.

This Skill provides a weighted composite scoring workflow that integrates Hurst exponent, half-life, GARCH fit quality, and regime persistence into a single selection score. You define the weight schema to prioritize metrics matching your strategy, then run the pipeline on your price series to rank and filter compatible symbols.