Structure Measurement
Measure the price path: variance ratio and kurtosis by scale — answer whether there is exploitable structure in this asset on this timeframe.
What it does
ct_medir_estrutura measures the price path of a series: variance ratio (below 1 = anti-persistent, above 1 = persistent) and kurtosis by scale. Reports overall, by volatility tercile and by temporal blocks.
The question it answers
Is there exploitable structure in this asset, on this timeframe?
If the answer is no, there is no possible edge — any setup is an illusion. This is the foundation step in the doctrine method (see doctrine).
When to use it
- Before designing any strategy on a new asset/timeframe pair.
- To compare regimes across time periods (e.g., pre-2020 vs. post-2020 BTC).
- As a sanity check before optimizing ML hyperparameters — a featureless series wastes compute.
Continue to the survival test once you confirm structure exists.