Daily Volatility Breakouts with Next-Session Exits

Summary

This document describes a long-only breakout method that scales a prior daily range by a coefficient and adds it to the prior close to set a threshold. When the current high exceeds that level, the strategy enters a long position. The code exits at the next daily boundary or if price falls below a log-price stop derived from the previous low and the entry threshold. The published coefficient is configurable, and the source uses daily signals with hourly base data.

The stated test spans about a year of BTC/USDT futures data, but no returns, drawdowns, or other performance evidence are supplied. The narrative frames the approach as trend following and discusses failed breakouts, gaps, and frequent turnover. However, the source’s condition and exit timing should be checked against actual bar behavior before interpreting it as a next-day holding rule; the prose and implementation are not fully aligned. The method is long-only in the shown code, and its results may be sensitive to gaps, fees, and the chosen coefficient.

Key ideas

• A breakout threshold is formed from the prior close and a scaled prior daily range.
• The strategy enters long when the current high exceeds the calculated threshold.
• The source exits at a daily boundary or when price breaches a stop based on the prior low and threshold.
• The published BTC/USDT test settings do not include performance statistics.
• The written description and source timing should be reconciled before evaluating the holding rule.

Tags

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