volatility-mean-reversion

What problem does it solve?

This Skill helps you create a systematic trading signal that exploits volatility mean reversion by distinguishing low-volatility regimes from high-volatility regimes.

Core Features & Use Cases

• Historical volatility (HV) calculation: Computes annualized HV from rolling return standard deviation over a configurable window.
• HV percentile ranking: Converts HV into a 0–100 percentile using a rolling lookback so the signal adapts to changing market conditions.
• Regime-based signal logic: Generates long when HV is in the low-percentile tail, short/exit when HV is in the high-percentile tail, and neutral otherwise (supports crypto with 365 annualization).

Quick Start

Use the volatility-mean-reversion skill on your OHLCV DataFrame with a close-price column to output a signal series where 1 means long, -1 means short, and 0 means neutral.