START WITH OUR STRATEGY

Volatility Breakout Pro is your low-maintenance and low-stress day trading strategy. Trades are opened and closed within the same session and therefore avoids the risk of having open positions overnight. This strategy beats the market by taking advantage of a momentum pattern. Once support or resistance is broken, it is highly probable that the trend continues in the same direction.

Volatility Breakout Pro qualifies as a Tier 3 strategy.

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FEATURES

  • Day trading strategy designed to close positions at the end of the day or earlier; no overnight risk
  • Waits until the market makes decisive move and initiates a trade in the same direction
  • Users can customize time period in which breakout move must occur
  • Although originally designed for futures, it can be effectively applied to other markets with clearly defined trading sessions (e.g., stocks)
  • Smart predictive filter takes trades when the market outlook is promising
  • Customizable breakout levels, targets, stops and filter criteria
  • Possibility to backtest and optimize the strategy to your needs and markets
PERFORMANCE

The section shows 3 performance results of sample backtests along with the configurations used. It also shows a results of a portfolio test which combines the results of the 3 individual backtests. The portfolio tests were performed using Trust Folio, a must-have tool for the algorithmic trader.

Backtest 1
NQ Futures (5mins, RTH): 01.01.2010 – 01.11.2019

Download strategy configuration here
Starting balance: $20000.00 Max drawdown ($) $2090.00
Ending balance: $42105.00 Total trades: 1008
Total net profit: $22105.00 Winning trades: 596
Profit factor: 1.33 Losing trades: 412
Sortino ratio 2.58 Percent profitable: 59.13%

Backtest 2
FGBL Futures (5mins, German Equity Trading Hours): 01.01.2010 – 01.11.2019

Download strategy configuration here
Starting balance: $20000.00 Max drawdown ($) $2970.00
Ending balance: $20300.00 Total trades: 355
Total net profit: $10300.00 Winning trades: 182
Profit factor: 1.21 Losing trades: 173
Sortino ratio 0.95 Percent profitable: 51.27

Backtest 3
IBM (5mins, RTH): 01.01.2010 – 01.11.2019

Download strategy configuration here
Starting balance: $20000.00 Max drawdown ($) $4420.00
Ending balance: $59340.00 Total trades: 952
Total net profit: $39340.00 Winning trades: 620
Profit factor: 1.47 Losing trades: 332
Sortino ratio 2.38 Percent profitable: 65.13

TrustFolio Portfolio Test: ES, NQ, BUND (01.01.2010 – 01.11.2019)

Shows the combined performance when strategy is applied to all three symbols.

Starting balance: $20000.00 Max drawdown ($) $5440.00
Ending balance: $91745.00 Total trades: 2315
Total net profit: $71745.00 Winning trades: 1401
Profit factor: 1.36 Losing trades: 917
Sortino ratio 3.59 Percent profitable: 65.13

Equity graph

Yearly returns (%)

Yearly returns ($)

Monthly returns (%)

HOW IT WORKS

Filter function to only trade when statistics are in your favor
opportunity to trade long and short
clearly defined price levels
trades are only entered at a user-specified time of the day
trades are held until the end of the day or until profit target or protective stops are hit