Price & Market BehaviorCore researchlive in production

Volatility Breakout

Updated dailyData needs: lowlong onlyshort onlylong short

In plain terms

Trend-follow Donchian channel breakouts, but the breakout must be at least 1.5×ATR (volatility-sized) — the original Turtle Traders rule.

How it works

Different from breakout_volume (which keys off volume confirmation): ATR breakout uses Average True Range to size the breakout magnitude in units of recent realized vol. A 1.5×ATR break above the 20-day high is the canonical Donchian / Turtle entry — Curtis Faith's "Turtle Traders" edge on trend names. Long when close > N-day high + k×ATR, hold M days, exit on close < N-day low (Donchian stop). Symmetric short variant for downtrending names.

Live results

9 times picked on its own · 1285 times inside a blend (1166 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 1285 such blended picks (1166 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

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