Strategies / Volatility / Volatility Breakout

Volatility Breakout: Riding Unusually Wide Bars

When a bar is at least 0.9 times as wide as the 72-bar average daily range, the system follows its direction: long on an up bar, short on a down bar. It takes profit at 1.9 times the average daily range or leaves after 9 bars. An opposite signal flips the position.

VolatilityLong & shortSwingDAX 401 hour

1.39Profit factor

6,346Net profit EUR

50.74%Win rate

475Trades

-1,049Max drawdown

13.36Avg trade

Best run of 23. DAX 40, 1 hour, spread 3, from run pf:2026-09-24-DAX40-1h.tsv:2.

Entry rules, long

Members only
The bar closes at or above its open

Entry rules, short

Members only
The bar closes below its open

Exit rules

Members only
Close after 9 bars in the trade
An opposite signal reverses the position
No stop loss

Test conditions

Period	Up to 2026-09-25
Instrument	DAX 40, 1 hour
Spread	3 points
Contracts	1
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-09-25

Parameters

positionSize Size per point	1
rangePeriod Bars in the average of the previous day's range	72
atrPeriod ATR length (1 is the bar's own true range)	1
volatilityFactor Share of the average daily range a bar must reach	0.9
targetFactor Target as a multiple of the average daily range	1.9
maxBarsInTrade Time exit after this many bars	9

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
DAX 40Best run	1 hour	1.39	475	50.74	6,346 EUR	-1,049
Dow Jones	1 hour	n/a	174	55.17	5,386 EUR	-1,917
Silver	10 min	n/a	113	42.48	2,862 USD	-1,813
Brent Crude	30 min	n/a	163	47.85	2,437 EUR	-1,330
Dow Jones	15 min	n/a	89	46.07	2,231 EUR	-1,223
Dow Jones	10 min	n/a	74	50.00	2,177 EUR	-832
DAX 40	30 min	n/a	327	47.09	1,738 EUR	-1,161
US Crude Oil	15 min	n/a	151	45.70	1,457 EUR	-665
Silver	5 min	n/a	52	38.46	1,391 USD	-1,040
Silver	2 min	n/a	2	100.00	1,027 USD	-259
FTSE 100	30 min	n/a	220	42.73	978 EUR	-792
Nikkei 225	3 min	n/a	15	66.67	945 USD	-540
Silver	3 min	n/a	3	66.67	859 USD	-482
DAX 40	5 min	n/a	146	39.04	707 EUR	-610
Nasdaq 100	3 min	n/a	20	55.00	623 EUR	-409
Nikkei 225	2 min	n/a	7	57.14	600 USD	-415
S&P 500	15 min	n/a	128	50.78	588 EUR	-193
DAX 40	10 min	n/a	135	44.44	556 EUR	-378
Dow Jones	2 min	n/a	10	30.00	452 EUR	-346
Gold	3 min	n/a	9	55.56	97.10 EUR	-43.40
S&P 500	2 min	n/a	13	53.85	94.96 EUR	-47.31
S&P 500	1 min	n/a	7	57.14	76.58 EUR	-64.92
Gold	1 min	n/a	2	100.00	22.30 EUR	-14.60

Charts

Results by run

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.

// ============================================================
// Volatility Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long & short
// Timeframe tested: 1 hour
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // size per point
rangePeriod = 72          // bars in the average of the daily range
atrPeriod = 1             // ATR length, 1 = this bar's true range
volatilityFactor = 0.9    // bar range must reach this share of the average daily range
targetFactor = 1.9        // target as a multiple of the average daily range
maxBarsInTrade = 9        // time exit after this many bars

// --- Indicators ---
// On Monday use the range from two days back, since Sunday has no real range.
IF OpenDayOfWeek = 1 THEN
  dayRange = DHigh(2) - DLow(2)
ELSE
  dayRange = DHigh(1) - DLow(1)
ENDIF

avgDayRange = Average[rangePeriod](dayRange)
atrValue = AverageTrueRange[atrPeriod](close)
targetDistance = avgDayRange * targetFactor
wideBar = atrValue >= volatilityFactor * avgDayRange
barsInTrade = BarIndex - TradeIndex

28 more lines: the entry and exit rules.

Read this first

Known weaknesses

There is no stop loss. A trade can only end at the target, after 9 bars, or on a reversal signal.
Several runs have tiny samples, such as 2 trades on Gold 1 minute and 2 on Silver 2 minutes, so their profits say little.
The target is passed as points even though it is a price distance. On instruments where one point is not one price unit, the real target differs from the formula.
Only the DAX 40 1 hour run has a recorded profit factor (1.39); the rest are sweep results.

Indicators used

ATR

How to load it

Copy the code with the copy button above the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Questions

About this strategy

Is it ProOrder ready?

Yes, it runs unattended and sizes in per point units. Check the target distance on your instrument first, because of how the points conversion works.

Which markets were tested?

DAX 40 1 hour was the headline run with 6,346.40 EUR over 475 trades. All 22 other runs in the table were positive, including Dow Jones 1 hour at 5,386.40 EUR and Silver 10 minutes at 2,861.50 USD.

What was the risk at 1 contract?

The DAX 40 1 hour run had a max drawdown of 1,049.20 EUR at 1 contract with a 3 point spread.

Why the 1 hour chart?

The entry compares one bar to a whole day of range. On 1 hour bars that happens often enough for 475 trades while still filtering small moves.

ATR Band

Uses the same indicator.

10.31 PF · 53 trades

Buy After Price Fall

Best run on the same market, DAX 40.

1.88 PF · 312 trades

Dual MA Long Trend

A similar profit factor.

1.39 PF · 241 trades

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs