Who this is for — Anyone who wants numbers, not just «it feels skewed». Skew quantifies whether asymmetry pulls toward big wins or big losses.
Skew (asymmetry coefficient) indicates the direction of imbalance in the return distribution. Complements mean and standard deviation — does not replace them.
In plain terms — Curve tilted right (few big hits) or left (few disasters).
Reading
| Skew | Typical meaning |
|---|---|
| > 0 | Right tail — few very large wins (trend) |
| < 0 | Left tail — few very large losses (mean rev. without stop) |
| ~ 0 | More balanced extremes — not a safety guarantee |
Operational use
- Portfolio: combine strategies with complementary skew
- Strongly negative skew → strict stops, prudent size
- Pair with fat tails — skew misses rarest events
Typical mistake — Watching only skew ignoring σ and drawdown — «ok» numbers with hidden tail.
Example — Breakout: skew +0.8, 38% win rate — many −1R stops, few +5R; psychologically hard but math ok.
Summary card
- Function: asymmetry direction.
- Tool: R histogram + sample skew.
- Portfolio: mix different skews.
Gold path — Edge module. Index: Gold path.