Percentile-Ranked Volatility Squeezes for Trend-Filtered Breakouts
Summary
This long-only daily strategy searches for a low-volatility base and then buys a price breakout. It ranks Bollinger Band width against its trailing distribution and defines a squeeze as a low percentile reading. A close above the prior range high must occur soon after a squeeze, with volume above its recent average and price above a long-term simple moving average. The percentile approach is intended to adapt the squeeze threshold to each symbol’s own volatility history.
Position size is calculated from a chosen fraction of equity and an ATR-based initial stop distance, with size capped at account equity. A fixed ATR stop limits failed breakouts, while a wider chandelier-style trailing stop seeks to retain extended moves; there is no profit target. The document reports AAPL backtests across multiple periods and risk settings, a slippage stress case, and results for NVDA and MSFT, including a weaker result for MSFT. These are self-reported historical tests on US equities, not forecasts; the author notes that outcomes depend on the symbol and that the system trades infrequently. Independent testing is needed to assess costs, parameter sensitivity, and generalization.
Key ideas
- A low percentile rank of Bollinger Band width defines a volatility squeeze relative to its own history.
- A recent squeeze must be followed by a range-high close with above-average volume and an uptrend filter.
- Position size scales with equity risk and ATR stop distance, subject to an equity cap.
- An initial ATR stop and a chandelier trail manage exits without a fixed profit target.
- Reported historical results vary by symbol and remain limited evidence rather than a forecast.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.