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Strategies / Volatility / Volatility Clustering Confluence

Volatility Clustering Confluence

The system measures volatility of volatility as the ratio of 13-bar to 26-bar ATR, and looks for spikes with a z-score above 1.0. It trades with the candle when a spike coincides with volatility clustering or a distant prior close.

VolatilityLong & shortSwingSilver4 hours
2.01Profit factor
20,089Net profit USD
42.53%Win rate
261Trades
-4,754Max drawdown
76.97Avg trade

Best run of 4. Silver, 4 hours, spread 2, from run pf:2026-10-12-SILVER-4h.tsv:2.

Entry rules, long

  2. An ATR(14) spike is ATR above 1.5 times its 11-bar average.
  3. Confluence also needs clustering (2 or more ATR(14) spikes in the prior 11 bars) or a critical point.
  4. A critical point is a prior close more than 2 standard deviations from its 14-bar average, with prior ATR(14) above 1.1 times its 14-bar average.
  5. On confluence, a green candle (close above open) triggers a buy.

Entry rules, short

Exit rules

  2. An opposite confluence signal reverses the position.

Test conditions

PeriodUp to 2026-10-12
InstrumentSilver, 4 hours
Spread2 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
SilverBest run4 hours2.01 26142.5320,089 USD-4,754
USD/JPY30 minn/a 2,81643.50133,150 USD-84,780
SilverDailyn/a 11141.4415,627 USD-8,145
EUR/USD4 hoursn/a 29842.9514,252 USD-13,658

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volatility Clustering Confluence
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long & short
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

fastatr = AverageTrueRange[13](close)
slowatr = AverageTrueRange[26](close)
vovix = fastatr / slowatr
vavg = Average[81](vovix)
vstd = STD[81](vovix)

47 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. 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".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

ATRSMAStandard Deviation
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Volatility Clustering Confluence in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 4 market and timeframe combinations. The best run was Silver, 4 hours, with a profit factor of 2.01 over 261 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,754 USD at the tested position size, against a net result of 20,089 USD.

Does it trade long, short or both?

It trades both long and short.

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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.comStatsDocs