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Volatility scan

Low-Volatility Leaders Screener

This scan finds stocks whose 20-day historical volatility is below 25% and whose RS rating is above 70: calmer than most, yet stronger than most.

Run this scan in the live demoFree, no sign-up. The demo uses made-up sample data.

The exact rule

Type this in Chalni: historical volatility below 25 and rs rating above 70

  1. HV(20) < 25
  2. RS rating(126) > 70

Find US stocks where 20-day historical volatility (%) is below 25; and the RS rating (126 days, 1–99) is above 70.

Formula view
hist_vol_pct(20) < 25
AND rs_rating(126) > 70
Example chart: Low-volatility leadersDaily candles of a made-up sample stock with Lower panel: Historical volatility % (20 days), dotted line at 25. The shaded day is the day the scan fired.
  • Lower panel: Historical volatility % (20 days), dotted line at 25
  • Shaded day: the scan fired
Example from Chalni's made-up sample market, not a real stock. It shows the most recent time this scan fired in the sample US market, picked whether or not the trade worked.

What it means

Finance research has found the "low-volatility anomaly": calmer stocks have often given returns similar to or better than wild ones, with smaller drops along the way. Adding relative strength keeps only the calm stocks that are also going up.

Historical volatility here is the yearly-scaled standard deviation of daily returns over the last 20 days. Below 25% is calm for a single stock.

How traders use it

  • A good list for investors who want steady winners.
  • Size by volatility: calmer stocks allow bigger positions for the same risk.
  • Check again often. Volatility can change fast around news.

Watch out for

  • Calm periods end. Volatility often jumps in market sell-offs.
  • Low volatility alone can mean a dull stock. The RS rule tries to fix that.

Test it before you trust it

Every scan in Chalni sits an exam. First it runs on older data, the practice: each time it picks a stock, the stock is held for 10 trading days and 0.2% is paid in costs. Then it runs on newer data it has never seen, the exam. A scan that only works in practice has just memorised the past.

See the practice and exam results for this scan in the demo (on sample data; real data comes at launch).

Questions

What is historical volatility?

A measure of how much a stock's price has moved, based on the standard deviation of daily returns, shown as a yearly percentage.

Do low-volatility stocks perform better?

Research shows they have often done about as well as, or better than, high-volatility stocks with less risk, but not in every period.

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