Volatility Breakout Strategy

Feb 20, 2022

This is a strategy used by Larry R. Williams called Volatility Breakout.

By identifying a strong uptrend that exceeds 'a certain level' on a daily basis as a breakout signal, enter long position, take advantage of long at the the next day's open.

'a certain level (Entry Price)' is calculated by { close[1] + 'k' * high[1]-low[1] }, and applied logarithmic calculation.

Stop loss level is calculated by half of the previous day's Low and Entry Price.

Strategy exit always at UTC+0.

And expressed day session with the background color.

Thanks and hope this helps you.



(kor)
이건 Larry R. Williams가 사용하는 변동성 돌파 전략입니다.

특정 수준을 넘는 강한 상승세를 돌파 신호로 파악하여 매수하고, 장시간이 종료될때에 빠르게 수익을 실현하는 전략입니다.

"특정 레벨(진입가)"은 close[1] + 'k' * high[1]-low[1]로 계산되며 로그 계산을 적용했습니다.

손절 레벨은 전일 저가 및 진입 가격의 절반으로 계산됩니다.

전략은 항상 UTC+0에서 종료합니다. ( 한국 기준 오전 9시 )

그리고 배경색으로 일일세션을 표현했습니다.

트뷰에 오픈소스의 래리윌리엄스 변동성전략이 없는것 같아 간단하게나마 만들어 보았습니다. 도움이 되었으면 좋겟워요..

Feb 20, 2022

Release Notes

day session bug at minutes timeframe fixed

Feb 21, 2022

Release Notes

Sorry.. there was a bug in using day timeframe's price.
i fixed it.

Feb 21, 2022

Release Notes

small bug fix

Feb 22, 2022

Release Notes

1. Add Short position

2. Add trend identification

if turn on 'Apply previous inertia' option:

If the downtrend was stronger on the previous day,
this is an option that allows only short positions to enter.

inertia is uptrend : 'long entry - long sl' > 'short sl - short entry'
inertia is downtrend : 'long entry - long sl' < 'short sl - short entry'

Feb 22, 2022

Release Notes

added information for k

Jul 6, 2022

Release Notes

Fixed an issue that did not apply to Nifty 50