Volatility Expansion Entries with Momentum and ATR-Based Exits

Summary

This strategy seeks directional moves when volatility expands. It compares current ATR with its 20-bar average, checks whether price is above or below its close from 20 bars earlier, and enters in the corresponding direction when the volatility filters pass. The stated settings include a 14-bar ATR, a 0.5 expansion multiplier, and a 1.0 minimum-volatility filter, though the code’s comparisons make the meaning of these thresholds less straightforward than the prose suggests.

Stops and profit targets are set using current ATR, at one ATR of risk and two ATRs of reward. The script also describes a 42-bar holding limit, plus commission and slippage assumptions. However, its exit condition applies only once the holding period has been reached, so the code does not appear to use the stop and target as ordinary exits throughout the trade. No performance results or market-specific validation are supplied; the proposed logic should be checked carefully before interpreting it as a tested strategy.

Key ideas

• The entry logic combines an ATR-based volatility condition with a 20-bar price momentum check.
• Long and short signals follow the direction of the close relative to its value 20 bars earlier.
• The stated stop and target distances are one ATR and two ATRs, respectively.
• The script includes a 42-bar time condition, but the coded exit condition may not behave as the overview describes.
• The document provides no evidence of strategy performance across markets or time periods.

Tags

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