Volatility Breakouts with Range, Trend, and Volume Filters

Summary

This strategy trades breaks above or below the prior range, whose size must fall within a configurable band relative to ATR. It can enter after a closing breakout or place stop orders at the range boundaries. Long and short trades can be enabled separately, and direction is filtered by the chart’s trend EMA and an SPY market regime EMA. Optional ATR expansion and relative volume checks further restrict entries.

Stops are placed at the opposite side of the range, which is frozen when a position opens. Exit choices include a fixed risk multiple, a partial exit at a risk-based target with a trailing remainder, or a trail-only exit. Trailing stops use an EMA or an ATR distance, and optional exits respond to a trend break or opposite signal. The script provides configurable inputs and chart signals, but the supplied material reports no backtest results or evidence of profitability. Outcomes will depend on the instrument, timeframe, execution assumptions, and chosen settings.

Key ideas

• The strategy defines its breakout boundaries from the previous bars, excluding the current bar.
• Range size, trend, market regime, ATR expansion, and relative volume can filter entries.
• Initial stops sit across the frozen breakout range, with optional risk-multiple targets and trailing exits.
• The document provides implementation logic but no performance results.

Tags

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