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MetaStock
- Kurtosis
Indicator
rev. 01/06/97
The Kurtosis is a
market sentiment indicator. The MetaStock formula
for the Kurtosis is as follows:
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Mov(Mov(Mo(3)-Ref(Mo(3),-1),66,E),3,S)
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The Kurtosis is
constructed from three different parts. The
Kurtosis, the Fast Kurtosis(FK), and the Fast/Slow
Kurtosis(FSK).
The Kurtosis(K)
portion of this calculation is
mo(3)-ref(mo(3),-1). Which is today's Kurtosis -
yesterday's Kurtosis.
The Fast
Kurtosis(FK) is mov(K,66,E)
mov(mo(3)-ref(mo(3),-1,66,E). Which is the
Kurtosis smoothed with a 66 period exponential
moving average.
The Fast/Slow
Kurtosis(FSK) is the complete formula
mov(mov(mo(3)-ref(mo(3),-1),66,E),3,S). Which is
the FK smoothed with 3 period simple moving
average.
**You may want to experiment with different time
periods to optimize the results. For example, to
calculate a 4 period Kurtosis, a 50 period FK and
a 10 period FSK, use the following formula:
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mov(mov(mo(4)-ref(mo(4),-1),50,E),10,S)
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