Volatility Expansion Break Out

 Compression-to-Expansion Momentum Strategy
This strategy is designed to detect volatility expansions following periods of compression and combine that with price momentum confirmation to enter trades during explosive breakout phases. It’s based on the idea that low volatility clusters are often followed by high volatility moves, making it ideal for breakout traders who seek to enter early in strong moves.

Volatility Logic:
Current Volatility (volNow):
Calculated using the ATR (Average True Range) over a short-term window (default: 14)

Base Volatility (volBase):
Smoothed using a longer SMA of ATR (default: 20) to represent the average volatility during compression phases

Expansion Signal:
Triggered when current volatility exceeds the base by a factor (default: 0.5×)
→ This defines the breakout condition

Entry Conditions:
Bullish Breakout Entry:
When:

Volatility expands (current ATR > base × threshold)

Price shows upward momentum for 2 consecutive candles

Position is flat or short (in which case the short is closed)

Bearish Breakout Entry:
When:

Volatility expands

Price shows downward momentum

Position is flat or long (in which case the long is closed)

 Flip Logic:

Built-in auto flip mechanism: If a position in the opposite direction is open during a new breakout signal, it is closed immediately and flipped to the new direction.  

Visual Aids:

Orange line: Current volatility (ATR-based)  Gray line: Volatility compression average These provide a visual reference for how volatility behaves around entry signals.  

Strategy Parameters:

Volatility Length: Short-term ATR for real-time responsiveness  Compression Window: Smoothing window to define base volatility  Pyramiding: Allows 2 active positions for scaling in  Commission: Modeled at 0.05% per trade.  

Recommended Use:

Works best on 15m, 1h, or 4h charts for breakout-prone markets like crypto, indices, or high-volume stocks. Ideal for detecting strong trend initiations after prolonged low-volatility zones.  

Final Notes:

Volatility-based breakout strategies can capture early-stage momentum moves but may produce false signals in range-bound or fakeout-prone markets. It's highly recommended to backtest with asset-specific settings and consider combining with additional filters.  Note: Different assets may require specific parameter adjustments. Users are responsible for optimizing the strategy settings for the asset they trade. Please ensure you fine-tune the parameters according to your trading pair.