StockSharp.Strategies.0220_Volatility_Breakout.py 5.0.1

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dotnet add package StockSharp.Strategies.0220_Volatility_Breakout.py --version 5.0.1

NuGet\Install-Package StockSharp.Strategies.0220_Volatility_Breakout.py -Version 5.0.1

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<PackageVersion Include="StockSharp.Strategies.0220_Volatility_Breakout.py" Version="5.0.1" />
                    

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paket add StockSharp.Strategies.0220_Volatility_Breakout.py --version 5.0.1

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#r "nuget: StockSharp.Strategies.0220_Volatility_Breakout.py, 5.0.1"

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#:package StockSharp.Strategies.0220_Volatility_Breakout.py@5.0.1

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#addin nuget:?package=StockSharp.Strategies.0220_Volatility_Breakout.py&version=5.0.1
                    

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#tool nuget:?package=StockSharp.Strategies.0220_Volatility_Breakout.py&version=5.0.1
                    

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Volatility Breakout Strategy (Python Version)

The Volatility Breakout strategy seeks strong directional moves when price escapes from its average range. By measuring the distance from a simple moving average using the Average True Range, the algorithm defines breakout thresholds that scale with volatility.

Testing indicates an average annual return of about 97%. It performs best in the crypto market.

A buy order is triggered when the close rises above the SMA by more than Multiplier times the ATR. A sell signal appears when the close falls below the SMA by the same distance. Positions remain open until an opposite breakout occurs or a protective stop is hit.

This technique caters to intraday traders who thrive on momentum surges. Using ATR-based thresholds helps filter out noise so only significant moves generate trades.

Details

Entry Criteria:
- Long: Close > SMA + Multiplier * ATR
- Short: Close < SMA - Multiplier * ATR
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when an opposite breakout triggers or stop-loss hits
- Short: Exit when an opposite breakout triggers or stop-loss hits
Stops: Yes, stop-loss at Multiplier * ATR from entry.
Default Values:
- Period = 20
- Multiplier = 2.0m
- CandleType = TimeSpan.FromMinutes(5)
Filters:
- Category: Breakout
- Direction: Both
- Indicators: SMA, ATR
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: No
- Risk Level: Medium

There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

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Version	Downloads	Last Updated
5.0.1	210	8/7/2025
5.0.0	293	7/20/2025

Refactor strategy reset handling