I currently implement an indicator that calculates Skew and Kurtosis based on the VWAP instead of a traditional average but am looking to develop a fully automated strategy.
Usually, spikes in kurtosis find good tops and bottoms while skew provides direction. Does anyone have experience with these parameters and/or want to help develop this concept further?
Usually, spikes in kurtosis find good tops and bottoms while skew provides direction. Does anyone have experience with these parameters and/or want to help develop this concept further?