VolatilityCompressionBreakout

VolatilityCompressionBreakout trades expansion after a volatility compression. It combines ATR and Bollinger-width ranks with a local support or resistance breakout, then applies signal-time participation and acceptance filters.

Visual overview

The illustrations are schematic, not market data. Exact thresholds, confirmation rules, and risk parameters come from the active strategy config.

Decision flow

1. Require baseContext and detect compression from ATR/BB ranks.
2. Resolve a long or short breakout from local range or support/resistance state.
3. Check expansion, volume, candle body, distance, and optional MTF/trade-flow alignment.
4. Build a stop outside structure with ATR and percent fallbacks.
5. Use VCB_TARGET_R_MULT for the target and MAX_LOSS_VALUE for sizing.

Entry codes are VCB_LONG_COMPRESSION_BREAKOUT and VCB_SHORT_COMPRESSION_BREAKOUT. With VCB_EXIT_ON_OPPOSITE_BREAKOUT=true, an opposite setup exits through VCB_OPPOSITE_BREAKOUT_EXIT.

Configuration keys

The keys are grouped by purpose. Common runtime, AI, ML, shared indicator, and position-sizing keys keep the same meaning across the built-in strategies.

Group	Keys	Purpose
Fees	FEE_PERCENT	Include the configured trading fee in position and reward-to-risk calculations.
Runtime and decision services	ENV, INTERVAL, MAKE_ORDERS, CLOSE_OPPOSITE_POSITIONS, BACKTEST_PRICE_MODE, AI_ENABLED, AI_MODE, MIN_AI_QUALITY, ML_ENABLED, ML_THRESHOLD	Select the runtime mode and candle interval, control order placement, and enable optional AI or ML decisions.
Shared indicators and levels	MA_FAST, MA_MEDIUM, MA_SLOW, OBV_SMA, ATR, ATR_PCT_SHORT, ATR_PCT_LONG, BB, BB_STD, MACD_FAST, MACD_SLOW, MACD_SIGNAL, LEVEL_LOOKBACK, LEVEL_DELAY	Set the periods used to build shared market context, local levels, and signal filters.
Compression	VCB_MAX_ATR_PCT_RANK, VCB_MAX_BB_WIDTH_RANK, VCB_REQUIRE_BOTH_COMPRESSION_FILTERS	Set the maximum ATR and Bollinger-width ranks and choose whether both must show compression.
Expansion	VCB_MIN_RANGE_EXPANSION_RANK, VCB_MIN_VOLUME_REL20, VCB_MIN_BREAKOUT_BODY_ATR, VCB_REQUIRE_BOTH_EXPANSION_FILTERS	Require enough range expansion, relative volume, and breakout candle body.
Breakout geometry	VCB_MIN_BREAKOUT_DISTANCE_ATR, VCB_MIN_BREAKOUT_DISTANCE_ATR_LONG, VCB_MIN_BREAKOUT_DISTANCE_ATR_SHORT, VCB_MAX_BREAKOUT_DISTANCE_ATR, VCB_ENTRY_MAX_ATR_PCT_RANK, VCB_ENTRY_MAX_ATR_PCT_RANK_LONG, VCB_ENTRY_MAX_ATR_PCT_RANK_SHORT, VCB_MIN_ACCEPTANCE_CLOSES, VCB_REQUIRE_DIRECTIONAL_BODY	Limit breakout distance and entry volatility and require enough accepted closes and an optional directional body.
Context alignment	VCB_REQUIRE_MTF_ALIGNMENT, VCB_REQUIRE_TRADE_FLOW_ALIGNMENT	Require higher-timeframe or trade-flow context to agree with the breakout.
Target, stop, and exit	VCB_STOP_ATR_BUFFER_MULT, VCB_STOP_BUFFER_PCT, VCB_FALLBACK_STOP_ATR_MULT, VCB_TARGET_R_MULT, VCB_EXIT_ON_OPPOSITE_BREAKOUT	Set structural and fallback stops, target distance, and opposite-breakout exit behavior.
Risk and side policy	MAX_LOSS_VALUE, LONG.*, SHORT.*	Set the loss budget and configure each direction and its minimum reward-to-risk ratio.