A Volume-Confirmed Breakout System with ATR Risk Controls

Summary

This long-only breakout strategy enters when price exceeds a prior high over a configurable lookback, or a prior rolling all-time high. The reference excludes the current bar. Entries may require a closing-price break and can be filtered by an uptrend, defined through price and two exponential moving averages, and by volume above a multiple of its moving average.

Position quantity is derived from a chosen equity risk fraction and an initial stop set using average true range. Exits combine a reward-multiple target with an optional ATR trailing stop, optional exit below the short moving average, and an optional partial profit target. The script exposes these settings and displays the levels and filter states on a chart. The author describes it as a test with further work needed, and provides no results or validation. Its rules and defaults are therefore a starting point for research, not evidence of a reliable edge; backtests also depend on market data and execution assumptions.

Key ideas

• The entry requires a break above a previous high or rolling high, with an optional close confirmation.
• Trend and above-average volume filters can restrict which breakouts qualify.
• Position size uses an equity risk budget divided by the ATR-based distance to the initial stop.
• Exits can combine an ATR trail, fixed reward multiple, moving-average condition, and partial target.
• The document reports no backtest performance and characterizes the script as unfinished.

Tags

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