How much daily returns swing around their average, scaled to a yearly figure.
Volatility = std(daily return) × √252A US equity index typically runs at 15–20% annualized volatility; bitcoin often runs above 60%. Timing strategies that spend part of the time in cash usually show lower volatility than buy-and-hold on the same asset, which is one of the main reasons they exist.
| Strategy | Annualized Volatility |
|---|---|
| STAT-11 Cointegration Basket | 2.5% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | 5.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | 5.5% |
| ADX-01 ADX Trend Filter | 5.8% |
| VOL-01 Volatility Breakout | 6.0% |
| Strategy | Annualized Volatility |
|---|---|
| MACRO-02 Risk-On/Risk-Off Switch | 18.0% |
| MACRO-03 Flight to Quality | 17.2% |
| FACTOR-05 Multi-Factor Composite | 15.0% |
| RISK-01 Drawdown Control | 14.8% |
| MR-11 Williams %R Reversion | 13.6% |