The Kurtosis Gate filter is a pass/block gate on excess kurtosis of simple bar returns over a rolling window ((m_4 / s^4 - 3)). When kurtosis meets your compare condition against a threshold, the filter passes; otherwise it blocks. It never fires a buy or sell by itself.
Use it when you want to allow other signals only while fat-tail risk stays below a ceiling (default: excess kurtosis < 3).
When to use it
- Block entries when recent returns show extreme fat tails
- Prefer calmer higher-moment regimes before scaling risk
- Pair with volatility or skew gates for distribution shape
What you’ll set in the app
Add Kurtosis gate under filters.
- Window — return bars in the sample (default 20; minimum 5)
- Compare — kurtosis >, <, ≥, ≤, or ≈ (default <)
- Threshold — e.g.
3excess kurtosis (default)
Warm-up history or zero return stdev blocks the gate. Disabled passes.
Tips
- The metric is excess kurtosis (normal ≈ 0), not raw fourth moment.
- There is no buy/sell side—combine with directional rules for trade direction.
- Pair with Skew Gate when asymmetry also matters.
Example
Entry filters: Kurtosis gate, window 20, kurtosis < 3. A breakout long only passes when excess kurtosis stays below 3.