Price & Market BehaviorExtended setResearchNew

Coskewness proxy rank

Updated dailyData needs: mediumlong onlyshort only

In plain terms

Trade a stock when its market co-movement proxy reaches its own historical extremes.

How it works

Internal stock own-history hypothesis using the original double-window rolling-centered cross-product proxy. It is not the single-window coskewness estimator or a cross-sectional asset-pricing premium.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Spy prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

Related families

Coskewness PremiumPrice & Market Behavior

Stocks that crash hardest when the market crashes (negative coskewness) are compensated with a higher risk premium. Conversely, stocks that act like insurance during market crashes underperform on average. Rank stocks by their 1-year coskewness with SPY.

Explore Coskewness proxy rank on alphactor.ai

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