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Strategies / Breakout / Volatility Expansion Breakout

Volatility Expansion Breakout

The system marks the high and low of each bar where ATR(20) is compressed against its 40-bar average. It buys when the close crosses above the stored high, or sells short when it crosses below the stored low, once volatility expands.

BreakoutLong & shortSwingSilver4 hours
4.53Profit factor
181,950Net profit USD
34.06%Win rate
458Trades
-5,481Max drawdown
397Avg trade

Best run of 8. Silver, 4 hours, spread 2, from run pf:2026-10-05-SILVER-4h.tsv:3.

Entry rules, long

  1. The ATR(20) divided by its 40-bar average is above 1.02.
  2. A stored high from a bar with the ratio below 0.95 exists and was also present on the previous bar.

Entry rules, short

  1. The ATR(20) divided by its 40-bar average is above 1.02.
  2. A stored low from a bar with the ratio below 0.95 exists and was also present on the previous bar.

Exit rules

  2. The profit target is 2.0 times the stop distance from the entry.

Test conditions

PeriodUp to 2026-10-05
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 tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
SilverBest run4 hours4.53 45834.06181,950 USD-5,481
SilverDailyn/a 14040.0012,178 USD-3,501
Brent CrudeDailyn/a 4843.754,279 EUR-1,509
US Crude OilDailyn/a 11636.213,846 EUR-2,141
DAX 4015 minn/a 3,03333.232,632 EUR-2,268
S&P 500Dailyn/a 17136.841,239 EUR-401
Gold4 hoursn/a 51734.24929 EUR-402
S&P 5004 hoursn/a 48833.40859 EUR-834

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

ONCE bh = 0
ONCE bl = 0
ONCE bhset = 0
ONCE blset = 0

myAtr = AverageTrueRange[20](close)
avgatr = Average[40](myAtr)

34 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

ATRSMA
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Volatility Expansion Breakout 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 8 market and timeframe combinations. The best run was Silver, 4 hours, with a profit factor of 4.53 over 458 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,480 USD at the tested position size, against a net result of 181,950 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