Volatility Expansion Breakouts with ATR-Based Risk and Targets

Summary

This strategy seeks breakouts after volatility contracts. It compares the current ATR with a longer moving average of ATR, treating a ratio below a configurable threshold as compression and a ratio above another threshold as expansion. While compression is detected, it records the current bar's high and low as breakout levels. During expansion, a close crossing above or below those levels triggers a long or short entry, provided there is no open position. An optional New York session filter can restrict trading hours.

Risk is set from ATR multiplied by a configurable factor, with a minimum distance based on the instrument's tick size; the profit target is a configurable multiple of that risk. The script is labeled for MNQ and includes fixed contract sizing, commission settings, chart visuals, and a dashboard for volatility state and trade statistics. The supplied document ends during its explanatory text and contains no backtest report or performance evidence, so the rules and displayed statistics do not establish profitability.

Key ideas

• The strategy defines compression and expansion by comparing ATR with a longer average of ATR.
• It records highs and lows during compression and enters when expanding volatility coincides with a close crossing a recorded level.
• An optional session filter and one-position-at-a-time condition constrain entries.
• Stop and target distances use ATR-based risk and a configurable reward-to-risk multiple.
• The document contains no backtest results to evaluate the strategy's performance.

Tags

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