Volatility breakout scorer
Sums four breakout ingredients into one score, which sits at zero on most one-minute bars.
VolatilityBreakoutScorer adds four terms into one score: ATR below 70% of its slow average, ATR rising bar to bar, Bollinger band width rising bar to bar, and the close in the top 30% of its Donchian channel. Each term is zero unless its condition holds, and the rise terms reach full weight only at a 15% ATR jump or a 20% band-width jump in one bar. The terms are weighted 0.5, 1.2, 0.8 and 0.5 and summed with no overall cap, so the value is a weighted tally of ingredients, not the probability its docstring describes.
How to read it
- The line sits in its own pane below the price and is zero on most bars, when none of the four ingredients is present.
- A rise means one or more ingredients are present. It follows volatility, not price: its correlation with the close was -0.02 in the SPY check.
- Judge the size against its own history: over a month of SPY one-minute bars it stayed under 0.06.
What it outputs
- Breakout score
- Weighted sum of the four ingredients. Zero on most bars; in the SPY check it reached only about 0.06 at most.
Pitfalls
- Despite the name, nothing requires a squeeze before the expansion. The terms are added on the same bar, so a rise in ATR alone lifts the score.
- The docstring's 1.5 to 2.5 breakout bands are never reached on the SPY sample, so the scale looks mis-set or the docstring is out of date.
- Thresholds and weights are hard-coded and the indicator has no params. The six inputs have no defaults and must be wired, so rewiring them is the only way to change its behaviour.