Volatility breakout
Marks one-minute closes that break outside the recent volatility band on heavy volume: +1 up, -1 down.
For each one-minute bar, the indicator takes the mean and standard deviation of the last `window` closes and sets a band `num_std` deviations either side of that mean. It marks a bar when its close is beyond the band and its volume exceeds `vol_mult` times the average volume over the same window: +1 above the upper band, -1 below the lower band. The bar being tested counts in its own window, so it moves the band and the volume average it is measured against.
How to read it
- Markers sit on the candles where the indicator fires. No line or band is drawn, so judge each marker against the candles just before it.
- A +1 marker is a close above the upper band on heavy volume. A -1 marker is a close below the lower band on heavy volume.
- Most episodes last one bar. A move that stays outside the band leaves a short run of markers, and the first window minus one bars show nothing while the band fills.
What it outputs
- Breakout
- Marks a bar whose close is outside the volatility band on above-average volume. +1 means above the upper band, -1 below the lower band.
When it fires
The close lands outside the band set by the last window closes, and the bar's volume is above vol_mult times the window's average. +1 is a sudden heavy-volume stretch above the normal range; -1 is one below it. It is a single-bar event, not a trend.
Settings
- window
- Bars in the band and the volume average. Longer gives a steadier band that reacts slowly to a change in volatility. Shorter lets the band shrink in a quiet spell, so small moves qualify. At 1 the band collapses onto the close and nothing fires.
- num_std
- Band width in standard deviations. Raising it demands a bigger move outside the band, so fewer markers. Lowering it toward 0 narrows the band so small moves qualify. Negative values flip the test, so many high-volume bars count as +1.
- vol_mult
- The marked bar's volume must exceed this multiple of the window's average volume. Raising it keeps only heavy-volume breaks, so fewer markers. At 1 any above-average bar qualifies. At 0 or below, volume no longer filters anything.
Pitfalls
- The tested bar is inside its own window, so a close can sit at most sqrt(window - 1) standard deviations from the mean. At the default num_std of 2, windows of 5 or fewer bars can never fire.
- It compares the close only, so a spike that runs through the band and closes back inside is not marked.
- It checks nothing after the marked bar. At default settings it marked about 4.5% of SPY one-minute bars in September 2026, roughly 30 separate episodes per day of 960 bars, so it is frequent, not rare.