Volatility Pulse with Dynamic Exit

Volatility Pulse with Dynamic Exit
Overview
This strategy, Volatility Pulse with Dynamic Exit, is designed to capture impulsive price moves following volatility expansions, while ensuring risk is managed dynamically. It avoids trades during low-volatility periods and uses momentum confirmation to enter positions. Additionally, it features a time-based forced exit system to limit overexposure.

How It Works

A position is opened when the current ATR (Average True Range) significantly exceeds its 20-period average, signaling a volatility expansion.

To confirm the move is directional and not random noise, the strategy checks for momentum: the close must be above/below the close of 20 bars ago.

Low volatility zones are filtered out to avoid chop and poor trade entries.

Upon entry, a dynamic stop-loss is set at 1x ATR, while take-profit is set at 2x ATR, offering a 2:1 reward-to-risk ratio.

If the position remains open for more than 42 bars, it is forcefully closed, even if targets are not hit. This prevents long-lasting, stagnant trades.

Key Features
✅ Volatility-based breakout detection
✅ Momentum confirmation filter
✅ Dynamic stop-loss and take-profit based on real-time ATR
✅ Time-based forced exit (42 bars max holding)
✅ Low-volatility environment filter
✅ Realistic settings with 0.05% commission and slippage included

Parameters Explanation

ATR Length (14): Captures recent volatility over ~2 weeks (14 candles).

Momentum Lookback (20): Ensures meaningful price move confirmation.

Volatility Expansion Threshold (0.5x): Strategy activates only when ATR is at least 50% above its average.

Minimum ATR Filter (1.0x): Avoids entries in tight, compressed market ranges.

Max Holding (42 bars): Trades are closed after 42 bars if no exit signal is triggered.

Risk-Reward (2.0x): Aiming for 2x ATR as profit for every 1x ATR risk.

Originality Note
While volatility and momentum have been used separately in many strategies, this script combines both with a time-based dynamic exit system. This exit rule, combined with an ATR-based filter to exclude low-activity periods, gives the system a practical edge in real-world use. It avoids classic rehashes and integrates real trading constraints for better applicability.

Disclaimer
This is a research-focused trading strategy meant for backtesting and educational purposes. Always use proper risk management and perform due diligence before applying to real funds.