Stock Breakouts Filtered by Trend and Volume with ATR-Based Exits

Summary

This stock strategy enters long when a confirmed close exceeds the prior lookback high and short when it falls below the prior lookback low. Optional filters require price to be on the appropriate side of a simple moving average and breakout volume to exceed a multiple of its moving average. Signals are evaluated on completed bars; the description says orders fill at the next bar’s open. Share quantity scales with current equity and a configurable allocation percentage, subject to whole-share rounding and a minimum of one share.

After entry, an ATR-based stop trails in the favorable direction, with an optional fixed ATR profit target and a time-based exit if neither bracket level closes the trade. The description explains the rationale for these rules but provides no backtest results demonstrating profitability. It also warns that equity-based share sizing does not model short-sale margin requirements, so short trades may exceed broker buying power. Fees, slippage, parameter choices, and execution assumptions remain relevant when evaluating the backtest.

Key ideas

• Breakouts use closes beyond prior lookback highs or lows and can be filtered by trend and volume averages.
• The script evaluates signals on confirmed bars and is described as submitting orders for the next bar’s open.
• ATR trailing stops, optional fixed ATR targets, and a bar-count exit govern trade closure.
• Share sizing allocates a chosen fraction of equity and rounds to whole shares with a one-share minimum.
• The document reports no strategy results and notes that its sizing does not account for short-sale margin requirements.

Tags

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