Historical Volatility Breakout (C#). StockSharp

Author: StockSharp
N: 1394
v5.0.1 (7/30/2025)
Downloads: 84

This breakout method uses historical volatility to set dynamic thresholds. When price moves beyond a reference level by more than the current volatility, it indicates a potential trend.
The strategy compares price to levels derived from standard deviation and a simple moving average. Breakouts above or below those levels trigger trades.
Exits occur when price crosses back through the moving average or the stop hits.

  • Entry Criteria: Price breaks above or below HV-based level.
  • Long/Short: Both directions.
  • Exit Criteria: Price crosses MA or stop.
  • Stops: Yes.
  • Default Values:

    • HvPeriod = 20
    • MAPeriod = 20
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)

  • Filters:

    • Category: Breakout
    • Direction: Both
    • Indicators: HV, MA
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium