Volatility Compression Breakouts with Volume and ATR Risk Controls

Summary

The system looks for a volatility squeeze by ranking Bollinger Band width against its trailing distribution, then seeks an upside breakout above the prior range. A recent squeeze must coincide with above-average volume and price above a long-term moving average. The entry design therefore combines relative volatility, breakout, participation, and trend conditions rather than relying on an absolute band-width threshold.

Position size is intended to limit equity risk using the distance to an ATR-based initial stop, with a chandelier-style trailing exit to retain gains during extended moves. The script comments cite AAPL daily backtest figures across selected windows and risk settings, while also describing a severe drawdown from full-equity sizing. These are author-reported results, not independently validated evidence; the provided source is truncated before the full execution and exit logic, and the claims are specific to one stock and historical sample.

Key ideas

• Bollinger Band width is ranked against its own trailing history to identify relatively quiet periods.
• The entry requires a recent squeeze, a close above the prior range, above-average volume, and price above a long-term average.
• ATR stop distance informs fixed-fractional position sizing, while a trailing exit is intended to capture extended moves.
• The script comments report AAPL historical results, but the source is incomplete and the figures are not independently validated.

Tags

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