Knowledge center · Validation & statistics
Annualized Volatility
How much daily returns swing, scaled to an annual basis.
Formula
Volatility = std(daily return) × √252
Interpretation
The denominator behind Sharpe — higher volatility means a given return was earned (or lost) with bigger day-to-day swings.
What good looks like
Lower volatility for the same or better return is strictly preferable; the strategy's number is usually below buy-and-hold's if the signal is reducing time in market during rough patches.
What bad looks like
Volatility at or above buy-and-hold with a lower return means the signal added risk without adding return.
Typical range
15%–35% annualized for individual equities, versus roughly 15%–20% for a broad index like SPY.
How OmniSignal uses it
Read together with time-invested — a signal that's only in the market part of the time should usually show lower volatility than buy-and-hold.
References
Standard annualized volatility, the basis of the Sharpe ratio
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