Volatility
How widely returns swing around their average, as an annual percentage.
Formula
Volatility = Standard deviation of daily returns × √252
How to read it
Higher means a bumpier ride. A broad US stock index has typically run near 15–20% a year; a single stock often far more.
How to use it
Sets position size, stop distance and expectations: a 30%-volatility stock moves about twice as much as a 15% one.
Limitations
Treats up and down moves alike and changes with the market regime.
In Kereon
Portfolio. Sample standard deviation of the daily returns of today's weights held constant, × √252.
Strategies. Standard deviation of the backtest's daily equity returns × √252.
Investing · price record. Sample standard deviation of daily returns × √252. HV 20, 60 and 252 use daily log returns over that many sessions.
Charts · Compare. Sample standard deviation of each series' daily returns over the window, × √252.
Charts · Superchart. HV: the standard deviation of log returns over 20 bars × √(bars in a year), with the bars per year measured from the bars' own timestamps — 252 on daily bars, far more intraday — so an intraday chart's figure is still an annual one.
Also called: volatility, volatility (annual), volatility, annualized, expected volatility, std annualized, hv, historical volatility, portfolio vol / benchmark vol, realized volatility, realized volatility.