Volatility / Risk Premium#454tier 3experimental liveNew

`realized semivariance asymmetry`

cadence: Dailydata: lowlong onlyshort onlylong short

2020

Bollerslev, Li & Zhao (2020) JFQA; Patton & Sheppard (2015) REStat.

What it checks

Not all volatility is the same. This family separates upside and downside volatility, then tests whether downside-heavy stocks earn a premium.

Mechanism

Daily returns decompose realized variance into upside and downside semivariance. Downside-heavy volatility can earn compensation, while upside-heavy volatility often behaves like speculative pressure.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

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Signal rule

Compute 21d/63d upside-minus-downside semivariance share. Long downside-dominated names, short upside-dominated names, T+1 entry, hold 21/63d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Paper window: Daily equity data

Risk-premium compensation for bad-volatility exposure.

Example tickers where this is likely to fire

SPY AAPL NVDA XOM

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

realized skew xsMacro

Stocks with negative realized skewness (left-tail risk, fat downside) trade at a discount and offer a return premium going forward. Conversely positive-skew "lottery" stocks (right-tail upside) are overpriced and underperform (Amaya-Christoffersen-Jacobs-Vasquez 2015 JFE). Realized_skew is rolling 63d skew of daily returns; long when own-history percentile ≤ 0.20 (most negative), short when ≥ 0.80 (lottery).

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realized semivariance asymmetry