Historical volatility regimes

This mask transforms one rule into 5 rules. It adds to your rules a volatility constraint.

Let's for example say that your rule is: close > sma(close, 20).
The mask will generate 5 rules from the above rule:
Rule 1: Original rule + security volatility must be lower than 10%.
Rule 2: Original rule + security volatility must be between 10% and 30%.
Rule 3: Original rule + security volatility must be between 30% and 60%.
Rule 4: Original rule + security volatility must be between 60% and 100%.
Rule 5: Original rule + security volatility must be higher than 100%.

The volatility that is used in this mask is the annualized volatility. It is the standard deviation of the logarithmic daily returns divided by the square root of (1 / 252). 252 is the estimated number of trading days in a year.

This mask is used by the example provided in the following article:
Rules performance for different volatility regimes

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