Volume Breakout (C#)

Volume Breakout

The Volume Breakout strategy observes the Volume for rapid expansions. When readings jump beyond their average range, price often starts a new move.

Testing indicates an average annual return of about 103%. It performs best in the stocks market.

A position opens once the indicator pierces a band derived from recent data and a deviation multiplier. Long and short trades are possible with a stop attached.

This system fits momentum traders seeking early breakouts. Trades close as the Volume falls back toward the mean. Defaults start with AvgPeriod = 20.

Details

• Entry Criteria: Indicator exceeds average by deviation multiplier.
• Long/Short: Both directions.
• Exit Criteria: Indicator reverts to average.
• Stops: Yes.
• Default Values:
  • AvgPeriod = 20
  • Multiplier = 2
  • CandleType = TimeSpan.FromMinutes(5)
  • StopLossPercent = 2 Avg and StdDev are the average and the standard deviation of the last AvgPeriod volume values, the current one included. The stop is a fixed StopLossPercent of the entry price, watched between candles as well; 0 disables it. The band is the average plus Multiplier standard deviations: volume above it on a rising candle goes long and on a falling candle goes short, and a position closes once volume falls back below its average. An entry signal against an open position reverses it.
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: Volume
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Short-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium