Individual skill

volatility

Volatility strategy. Trades mean reversion based on percentile ranking of historical volatility (HV). Suitable for any OHLCV data.

agent/src/skills/volatility/SKILL.md

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Repository stars (not skill ratings): 37,971
Repository last updated: Nov 8, 2026
License: MIT

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# Volatility Strategy

## Purpose

Uses percentile ranking of historical volatility (HV) to capture volatility mean reversion: build positions in low-volatility regimes while waiting for volatility expansion, and exit or short in high-volatility regimes to capture contraction.

## Signal Logic

1. **Compute HV**: annualized standard deviation of returns over the past `hv_window` days
2. **Percentile ranking**: percentile position of HV within the past `lookback` days (0-100)
3. **Signal generation**:
   - Percentile < `low_pct` → go long (volatility is low, waiting for expansion)
   - Percentile > `high_pct` → exit / go short (volatility is high, waiting for contraction)
   - Middle region → keep the current position