ATR Breakout

Overview

ATR Breakout triggers trades when price moves beyond a multiple of ATR (Average True Range) from a moving average, indicating a volatility breakout. Unlike BB Squeeze which detects compression-then-expansion, ATR Breakout detects the expansion itself.

The hypothesis: ATR directly measures “true” price movement including gaps, potentially catching breakouts that Bollinger Bands miss.

How It Works

1. Calculate ATR — 14-period Average True Range (includes high-low range and gaps)
2. Set Breakout Threshold — Price must move > N × ATR from 20-period MA
3. Volume Confirmation — Volume >= 2.0x average
4. Enter Position — SHORT if price breaks below, LONG if above
5. Risk Management — SL based on ATR multiple, TP at fixed %, 48h max hold

Configurations Tested

Config	ATR Multiple	Direction	Win Rate	PF	PnL
A1	1.5x	SHORT	52.3%	1.08	+$31
A2	2.0x	SHORT	49.1%	0.94	-$47
A3	2.5x	SHORT	46.8%	0.87	-$112
A4	3.0x	SHORT	44.2%	0.79	-$189
B1	1.5x	LONG	48.1%	0.88	-$98
B2	2.0x	LONG	45.6%	0.81	-$167
…	…	…	…	…	…

Best result (A1): +$31 — marginally profitable but nowhere near BB Squeeze’s +$794.

12 configurations tested across ATR multiples (1.5x to 3.0x) and both directions. None came close to BB Squeeze performance.

Why It Was Shelved

1. No configuration outperformed BB Squeeze — Best case: +$31 vs BB Squeeze’s +$794 (25x worse)
2. Higher false signal rate — ATR breakout triggers on any large move, including noise. BB Squeeze’s compression-first requirement filters out most false breakouts
3. Less precise timing — BB/KC squeeze pinpoints the exact moment of compression release. ATR just measures “big move happened” without context
4. Direction problem — SHORT configurations were marginal, LONG configurations all negative (same structural issue as other LONG strategies)

Lesson Learned

Breakout detection without compression context is just noise detection.

The key insight: what makes BB Squeeze work isn’t detecting the breakout — it’s detecting the compression before the breakout. ATR measures volatility expansion but can’t distinguish between meaningful expansion (from a squeeze) and random large candles.

This is why BB Squeeze uses the Bollinger-inside-Keltner condition: it specifically identifies the quiet-before-the-storm pattern that precedes directional moves.

Comparison with BB Squeeze

Aspect	ATR Breakout	BB Squeeze
Detection	Expansion only	Compression → Expansion
False signals	High (any big candle)	Low (requires prior squeeze)
Best PnL	+$31	+$794
Signal quality	Low	High
Complexity	Simple	Moderate

Status: SHELVED

Not actively traded. Tested January 2026 on 577 coins with 2+ years of data. All 12 configurations archived. May be revisited if combined with BB Squeeze as a confirmation signal.