Squeeze Break (John Carter)

Category: volatility, momentum

Identifies market consolidation (squeeze) and subsequent volatility breakouts by comparing Bollinger Bands and Keltner Channels, combined with a momentum oscillator.

Formula

\text{Squeeze} = (BB_{upper} < KC_{upper}) \land (BB_{lower} > KC_{lower}) \\ \text{Breakout} = (BB_{upper} \ge KC_{upper}) \lor (BB_{lower} \le KC_{lower}) \\ \text{Momentum} = \text{Close}_{current} - \text{Close}_{n} \\ \text{Hist} = \pm ( |BB_{upper} - KC_{upper}| + |BB_{lower} - KC_{lower}| )

Inputs

• BollPeriod (default: 20)
• BollDev (default: 2.0)
• KeltnerPeriod (default: 20)
• KeltnerMul (default: 1.5)
• MomentumPeriod (default: 12)
• AlertOn (default: true)

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