NNFX Squeeze (Volatility Breakout)

Category: volatility, momentum

A volatility breakout indicator that compares Bollinger Band width (Standard Deviation) against Keltner Channel width (ATR) to identify 'squeezes' and momentum releases.

Formula

\text{Squeeze} = \begin{cases} \text{High} > \text{SMA} \implies 1 & \text{if } (k_1 \cdot \sigma) > (k_2 \cdot \text{ATR}) \\ \text{Low} < \text{SMA} \implies -1 & \text{if } (k_1 \cdot \sigma) > (k_2 \cdot \text{ATR}) \\ 0 & \text{otherwise} \end{cases} \text{ where } \sigma = \text{StdDev}, \text{ ATR} = \text{Average True Range}

Inputs

• inpPeriod (default: 20)
• inpDevMultiplier (default: 1)
• inpAtrMultiplier (default: 1)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.