Strategy test · breakout

Does Volatility expansion work?

Range expansion after contraction. Tested on every popular stock and coin, with real trading costs taken off.

The short answer

After costs, it kept money on 16 of the 30 stocks and coins we test.

It gave a signal 1,652 times and worked 465 of them (28%). On average each trade lost -0.01R.

Instrument	Kept a trade	Hit rate	Worked	Signals
SOL Solana	+0.19R	35%	30	86
BAC Bank of America	+0.19R	39%	18	46
ADA Cardano	+0.19R	40%	34	86
LINK Chainlink	+0.13R	31%	21	67
AVAX Avalanche	+0.13R	28%	23	82
GME GameStop	+0.12R	32%	13	40
BTC Bitcoin	+0.09R	30%	26	88
DOGE Dogecoin	+0.08R	32%	26	81
LTC Litecoin	+0.06R	32%	26	82
RIVN Rivian	+0.06R	32%	13	41
COST Costco	+0.06R	27%	13	49
ETH Ethereum	+0.05R	29%	23	78
SHOP Shopify	+0.04R	32%	13	40
SNOW Snowflake	+0.03R	24%	10	42
F Ford	+0.03R	31%	15	48
XRP XRP	+0.02R	27%	25	92
PLTR Palantir	-0.04R	24%	12	50
UBER Uber	-0.06R	27%	11	41
AMC AMC Entertainment	-0.10R	28%	11	40
NFLX Netflix	-0.13R	25%	10	40
JPM JPMorgan Chase	-0.14R	23%	11	48
AAPL Apple	-0.14R	26%	11	43
WMT Walmart	-0.15R	20%	8	41
NVDA NVIDIA	-0.16R	25%	11	44
SMCI Super Micro Computer	-0.20R	26%	11	42
CRWD CrowdStrike	-0.25R	14%	6	43
TSLA Tesla	-0.25R	24%	11	46
VOO Vanguard S&P 500 ETF	-0.27R	19%	8	43
SPY S&P 500 ETF	-0.33R	19%	8	43
DIS Disney	-0.36R	18%	7	40

How we tested

Up to 5 years of daily prices for each stock and coin.
Every time the strategy leaned up or down, we took a pretend trade that way. Stop 1.5 ATR away, target 2.25 ATR away, closed after 10 trading days if it hit neither. ATR is how much the price usually moves in a day.
Worked means it reached the target before the stop. If both were touched on the same day, we count it as a loss.
Costs come off every trade: 0.02% a round trip for stocks, 0.2% for crypto.
Kept a trade is in R, the amount risked. +0.10R means 10 cents kept for every dollar risked, on average, after costs.
Strategies that fired fewer than 40 times on a stock are left out: that few is luck.

Re-run every day. Past results do not promise future ones. This is software output, not financial advice.

Other breakout strategies

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Orenth runs all 34 strategies on any stock or coin, and says so when none of them has an edge.

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Analysis software, not financial advice. Every figure here is measured from historical price data and can stop describing the future at any moment. Day trading loses money for the large majority of retail participants, and this tool's own measurements agree with that. Never risk money you cannot afford to lose.
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Analysing

Fetching data, running 34 strategies, and back-testing each one against this instrument's own history.