A Bar-Range Volatility Signal for Trend Breakouts

Summary

This strategy derives a bar-range measure from high and low prices, with an option to express the range as a percentage of close. It compares the absolute current measure with a lagged simple moving average and uses the comparison to choose a long or short position; an option reverses those directions. The listed defaults include a 16-period average and a one-bar lookback. Published settings describe a one-month hourly BTC futures test using 15-minute base data, but give no performance results.

The accompanying explanation interprets unusually large range readings as possible trend starts and recommends filtering signals with volume or other measures, tuning smoothing, and adding stops. It also warns that range alone can be noisy, miss context, and confuse short-term moves with longer trends. The prose and code do not agree on the signal rule: the explanation assigns a long signal when current volatility exceeds its average, while the code assigns a short position in that case. In addition, the default code measures raw high-low range rather than percentage change, so the normalized measure is optional.

Key ideas

• The indicator compares absolute bar range, optionally normalized by close, with a lagged simple moving average.
• The defaults specify a 16-period average and a one-bar lookback.
• The code’s direction assignment is opposite to the prose description when current volatility exceeds its average.
• The default setting uses raw high-low range, while percentage normalization is optional.
• The document warns that range signals can be noisy and provides no backtest performance results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.