The Volatility Compression Breakout screener is designed to identify periods of low volatility followed by potential market breakout opportunities. It aims to capture moments when the price consolidates within a narrow range, indicating a decrease in volatility, and anticipates a subsequent expansion in price movement. This indicator can be applied to any financial instrument and period.
You can also use the indicator to display the breakout on your price chart: VOLATILITY COMPRESSION BREAKOUT
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compressionPeriod =20 compressionMultiplier = 1.5 emaPeriod = 50 signal=0 atr =AverageTrueRange[14] keltnerMiddle = KeltnerBandCenter[compressionPeriod] keltnerUpper = keltnerMiddle + (compressionMultiplier * atr) keltnerLower = keltnerMiddle - (compressionMultiplier * atr) // Calculer l'écart type stdDev = STD[compressionPeriod](close) // Calculer le filtre de tendance ema = ExponentialAverage[emaPeriod](close) // Déterminer les conditions de rupture breakoutUp =(high > (keltnerUpper + stdDev)) and close > ema and close[1] <= ema[1] breakoutDown = (low < (keltnerLower - stdDev)) and close < ema and close[1] >= ema[1] // Tracer des formes de répartition if breakoutUp THEN signal=1 endif if breakoutDown THEN signal=2 endif F=signal=1 or signal=2 SCREENER[F] (signal as "signal") |
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