Kurtosis Indicator Explained

Rolling Kurtosis measures the tail-heaviness of recent price changes. High kurtosis means the window's movement came in bursts — mostly quiet bars punctuated by violent ones. Low kurtosis means movement was evenly distributed. Same volatility, very different markets.

How It Works

• Fourth-moment statistic of the window's returns.
• High values: burst-and-drift character, fat tails.
• Near-normal values: smooth, evenly distributed movement.

How to Trade It

Kurtosis picks your risk model: in high-kurtosis regimes, widen stops or cut size — moves arrive as gaps that skip through tight stops. Mean-reversion systems also fare worse when the tape moves in violent jumps; gate them on modest kurtosis.

Building It in Setup.Cash

Add Kurtosis in the strategy builder — the length input controls its sensitivity — and use its value in any entry, exit, or filter condition. You can also combine it with other tools in the Indicators Lab or via the AI indicator generator. Pairs with Skew for the direction of those tails. For the full category overview, see the volatility & statistics library guide.

Volatility indicators qualify trades rather than generate them — backtest your system with and without this filter and compare the drawdowns.