20-day volatility: what it was followed by

Data as of 2026-10-16

What an extreme 20-day volatility reading was historically followed by, measured across the stocks this site covers.

How to read this. These figures are measured only on instruments currently covered by this site — a set of companies that survived. Signals that appear to have ‘worked’ on the downside are conditioned on these names having recovered; a company that fell and never came back would not be here to measure. Read every number below as a property of this surviving sample, not a universal rule, and never as advice.

All figures are ‘excess’ returns — measured relative to each instrument’s own historical drift, not relative to the market. This is not alpha and not a market-beating claim; it isolates the signal from the instrument’s background trend. Measured from the first day each signal appeared (not its most extreme point), so it reflects what was knowable in real time.

Overbought / high extreme

Across 1116 past episodes where a stock was at a high extreme on this signal, the 1115 with a complete 20-session forward window beat the stock’s own trailing drift by 0.30 percentage points on average (50% of those 1115 beat drift).

the stock forward excess return vs its own drift after high-extreme 20-day volatility readings, by horizon.
horizon	excess vs own drift	beat-drift rate	episodes with a complete horizon
1 session	+0.26%	49%	1116
5 sessions	+0.07%	49%	1116
20 sessions	+0.30%	50%	1115

Oversold / low extreme

Across 3256 past episodes where a stock was at a low extreme on this signal, the 3252 with a complete 20-session forward window lagged the stock’s own trailing drift by 0.72 percentage points on average (46% of those 3252 beat drift).

the stock forward excess return vs its own drift after low-extreme 20-day volatility readings, by horizon.
horizon	excess vs own drift	beat-drift rate	episodes with a complete horizon
1 session	+0.01%	47%	3256
5 sessions	-0.23%	48%	3256
20 sessions	-0.72%	46%	3252

By instrument

Each instrument’s own history on this signal (where it has enough episodes to characterise):