StockSharp.Strategies.0039_HV_Breakout

Historical Volatility Breakout (C# Version)

This breakout method uses historical volatility to set dynamic thresholds. When price moves beyond a reference level by more than the current volatility, it indicates a potential trend.

Testing indicates an average annual return of about 154%. It performs best in the stocks market.

The strategy compares price to levels derived from standard deviation and a simple moving average. Breakouts above or below those levels trigger trades.

Exits occur when price crosses back through the moving average or the stop hits.

Details

• Entry Criteria: Price breaks above or below HV-based level.
• Long/Short: Both directions.
• Exit Criteria: Price crosses MA or stop.
• Stops: Yes.
• Default Values:
  • HvPeriod = 20
  • MAPeriod = 20
  • StopLossPercent = 2.0m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: HV, MA
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium