volatility targeting

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Detecting Crashes with Fat-Tail Statistics Detecting Crashes with Fat-Tail Statistics
37 min read Keywords:  fat tails, crash detection, LPPLS, extreme value theory, DFA, Hurst, Taleb, Sornette, Bouchaud, bitcoin, finance, rust, revenue, profit, momentum, volatility targeting

We built fatcrash, a Rust+Python toolkit with 19 crash detection methods: LPPLS, DFA, EVT, Hill, Kappa, Hurst, GSADF, momentum/reversal, price velocity, and 4 neural network methods. Tested on 96 drawdowns across BTC, SPY, Gold, 23 forex pairs, and equity crises with honest precision/recall/F1 metrics. Plus: which methods transfer to revenue and profit data.