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ATR Volatility Breakouts with EMA and RSI Filters

Article Strategy library · Author: ianzeng123
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Summary

This strategy sets breakout thresholds using the highest high and lowest low over a prior-bar lookback, adjusted by a multiple of ATR. It takes long trades when the close exceeds the upper threshold, is above a 50-period EMA, and RSI is above its threshold; short trades use the corresponding lower threshold and bearish filters. The source specifies a 14-period ATR and RSI, a 20-bar lookback, and a 1.5 ATR breakout multiplier. Exits use ATR-based stops and a target set at twice the stop distance.

The document describes fixed account-risk sizing, but the source instead sets order quantity as a fixed percentage of equity, so the sizing description and implementation do not align. The listed backtest covers one month of 10-minute ETH/USDT data and reports no outcome metrics. The text identifies delayed signals, false breakouts in sideways markets, and parameter sensitivity as limitations, and recommends further testing across market conditions.

Key ideas

  • Breakout thresholds are based on prior highs and lows adjusted by ATR, excluding the current bar.
  • Long and short entries require price to clear the threshold and align with EMA trend and RSI momentum filters.
  • The source places ATR-based stops and targets at twice the stop distance.
  • The described risk-based sizing conflicts with the source's fixed equity-percentage order sizing.
  • The document warns about ranging markets, indicator lag, and parameter sensitivity.

Tags

BreakoutTrend followingMomentumVolatilityRisk management

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