Taylorsan Realised Volatility

2022年1月6日

This is a fairly simple indicator providing realised (historical) volatility for any ticker

It world by following the usual routine way of calculating daily volatility.

ie 30 day std dev of price, annualised.

The default annualisation is 252 days (ie, trading days).

Change the parameters to suit for other assets e.g. for crypto change to 365

Also included a simple moving average for smoothed trend.

Remember volatility happens to both the upside and downside. Also remember 'risk happens slowly and all at once', so as such moves to the downside tend to be sharper and hence where most of the volatility shows up.

Also consider it's not the level that matters, it's more the 'zone' or 'bucket'. For instance, for the S&P 500:

Volatility under 20 is considered very attractive and broadly bullish
Volatility between 20 and 30 is considered investible, but probably choppy.
Volatility above 30 is considered un-investable.

It's the direction of the move from one bucket to another that you should be observing. e.g. a move from 35 to sub 20 for the S&P would mean a great return.

2024年8月22日

リリースノート

Fairly simple indicator providing realised volatility

Follows the routine way of calcultating daily volatility. ie 30 day std dev of price, annualised.

Default annualisation in 252 periods (trading days). Change the parameters to suit e.g. for crypto to 365.

Also included a simple moving average for trend.