Volatility Breakout: att rida ovanligt breda barer

// ============================================================
// 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