symbol-selection-statistical

What problem does it solve?

Selecting assets for predator-prey Markov trading systems requires advanced statistical metrics beyond simple screens.

Core Features & Use Cases

• Hurst exponent analysis (short-term <0.45) for mean-reversion and long-term >0.55 for trend.
• Half-life of mean reversion to gauge trading horizon.
• GARCH fit quality scoring to ensure volatility model adequacy.
• Regime persistence via HMM to assess regime duration and stability.
• Use case: combine metrics to select assets with clear regime separation and robust volatility modeling.

Quick Start

Define calculate_hurst_dfa, calculate_half_life, score_garch_fit, and calculate_regime_persistence. Run on a price series to obtain selection scores and regime metrics.