ATR-Based Volatility Breakouts with Direction and Date Filters

Summary

This strategy places stop entries at a distance from the current close based on average true range. It calculates the average of true range over a configurable lookback, multiplies it by a breakout factor, and places potential orders above or below price. Long and short trading can be enabled separately, and a date window limits when orders may be active. Position size is derived from account equity and a configurable percentage. The published defaults use a five-period lookback, a 0.75 ATR multiplier, long trading enabled, and short trading disabled.

The document explains the approach and its sizing controls but provides no performance results from the stated Bitcoin futures test. It describes the method as volatility-adaptive, though the visible code uses a simple moving average of true range and does not show separate stop-loss or take-profit logic. ATR distances can be inadequate during sharp market moves, and equity-based sizing can create large losses if set too high. The suggested improvements include testing alternative lookbacks and adding a trend filter; no such filter appears in the supplied source excerpt.

Key ideas

• The strategy places breakout stop orders at a multiple of average true range from the close.
• Long and short entries can be enabled independently, and orders are restricted to a configurable date range.
• Position size is based on account equity and a user-set percentage.
• The document provides no backtest performance evidence and the visible code does not define separate stops or targets.
• ATR-based distances and equity-percentage sizing still require careful risk controls.

Tags

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