Volatility Expansion Breakout

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Short term volatility breakout strategy that works well on indices

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Pine Script Source

//@version=5
strategy("Volatility Expansion Breakout",
     overlay=true,
     initial_capital=100000,
     default_qty_type=strategy.percent_of_equity,
     default_qty_value=1)

// === Inputs ===
htf = input.timeframe("60", "Higher Timeframe")
emaLen = input.int(200, "HTF EMA Length")
atrLen = input.int(14, "ATR Length")
atrMult = input.float(2.0, "ATR Trail Multiplier")
rangeLen = input.int(20, "Breakout Range Length")

// === Higher Timeframe Bias ===
htfClose = request.security(syminfo.tickerid, htf, close)
htfEMA = request.security(syminfo.tickerid, htf, ta.ema(close, emaLen))

bullBias = htfClose > htfEMA
bearBias = htfClose < htfEMA

// === Volatility ===
atr = ta.atr(atrLen)
atrRising = atr > atr[1]

// === Breakout Levels ===
rangeHigh = ta.highest(high, rangeLen)
rangeLow  = ta.lowest(low, rangeLen)

// === Entries ===
longCondition = bullBias and atrRising and close > rangeHigh[1]
shortCondition = bearBias and atrRising and close < rangeLow[1]

if longCondition
    strategy.entry("Long", strategy.long)

if shortCondition
    strategy.entry("Short", strategy.short)

// === Trailing Stop ===
longTrail = close - atr * atrMult
shortTrail = close + atr * atrMult

strategy.exit("Long Exit", from_entry="Long", trail_price=longTrail, trail_offset=atr*atrMult)
strategy.exit("Short Exit", from_entry="Short", trail_price=shortTrail, trail_offset=atr*atrMult)