Volatility Breakout Patterns

Keltner Channel Breakout

Tags: volatility, breakout, keltner, trend, momentum Functions: keltner Description: Treats a breakout above the upper Keltner Channel as a strong trend signal and enters long. Exits when price falls below the channel midline. Code:

upper, middle, lower = keltner(high, low, close, 20, 2.0)

# Breakout Entry
long_cond = close > upper

# Exit: trend reversal below the channel midline
exit_cond = close < middle

emit(long_cond, entry(context["ticker"], "LONG", Weight(1.0), label="KC_BREAK"))
emit(exit_cond, exit_position(context["ticker"]))

Volatility Squeeze (BB vs Keltner)

Tags: volatility, squeeze, bbands, keltner, expansion Functions: bollinger_bands, keltner Description: Enters when Bollinger Bands expand and break above the upper band after a squeeze period (BB inside the Keltner Channel). Code:

bb_up, bb_mid, bb_low = bollinger_bands(close, 20, 2.0)
kc_up, kc_mid, kc_low = keltner(high, low, close, 20, 1.5)

# Squeeze Condition: BB lies inside KC
squeeze_on = (bb_up < kc_up) & (bb_low > kc_low)

# Breakout Condition: Price breaks BB Upper AND Squeeze was ON recently
was_squeeze = squeeze_on.shift(1) | squeeze_on.shift(2)
breakout = (close > bb_up) & was_squeeze

long_cond = breakout
exit_cond = close < bb_mid

emit(long_cond, entry(context["ticker"], "LONG", Weight(1.0), label="VOL_SQUEEZE"))
emit(exit_cond, exit_position(context["ticker"]))

ATR Trailing Stop System

Tags: risk_management, atr, trailing_stop, chandelier_exit Functions: atr Description: Chandelier Exit logic using 3x ATR. Dynamically sets a stop loss based on ATR at entry, trailing the highest high. Code:

atr_val = atr(high, low, close, 14)
multiplier = 3.0

# Calculate Trailing Stop Level (Highest High - ATR * Mult)
# Note: For full trailing logic in vectorized, we need a custom loop or adjust intent with stop_loss
# Here we use the simplified Intent Stop Loss feature which supports ATRMultiple

# Simple MA Entry
long_cond = close > sma(close, 50)

# Entry with ATR Trailing Stop attached
emit(long_cond, entry(context["ticker"], "LONG", Weight(1.0),
               stop_loss=ATRMultiple(multiplier), # Dynamic ATR Stop
               label="ATR_TRAIL"))

# Standard Exit signal (optional, as SL handles downside)
exit_cond = close < sma(close, 50)
emit(exit_cond, exit_position(context["ticker"]))