Nexfin Volatility Breakout Indicator

This indicator draws the breakout channel used by the Nexfin Volatility Breakout engine: the highest high and lowest low of the lookback window, widened by a multiple of the Average True Range so that ordinary noise does not qualify. Every bar that closes beyond the widened level is marked with an arrow.

A green arrow marks a buy, a red arrow marks a sell. Signals are evaluated on completed bars, so an arrow that has printed does not move or disappear on the next tick. Every historical signal is drawn, not only the most recent one, so you can scroll back and study how the rule behaved in past conditions.

Trend filter, enabled by default

Signals are checked against a moving average on a higher timeframe, and only those aligned with it are drawn. In a downtrend you see sell arrows and no buy arrows. This is intended behaviour, and it is why the chart can show the channel with few arrows on it during a counter-trend period. The period, method and timeframe are configurable, and the filter can be switched off to see every raw breakout.

Session filter, disabled by default

Restricts signals to a time window, with optional background shading of that window.

Levels and panel

Suggested stop and target levels for the latest signal are drawn as rays that start at the bar the signal printed on and extend forward, so a level always shows which signal produced it. The information panel reports the channel levels, the distance to a breakout in both directions, the trend state and the signal counts, and sizes itself to its contents.

Signal statistics

The panel counts the signals this configuration produced on the chart in front of you, and reports how they resolved against the stop and target the indicator itself suggests. Change an input, switch symbol or timeframe, and the numbers are recomputed for what you are now looking at.

It reports how often the setting fires, expressed as signals per year, the win count and loss count, and the expectancy in R implied by the stop and target you configured. Below thirty resolved signals no headline percentage is shown at all, only the count, because a rate measured on a handful of signals cannot separate a good setting from a poor one. Next to the win rate it prints the break-even rate for that reward-to-risk, and colours the row by the expectancy rather than by the win rate: at 1:2, a setting that wins 40% of the time is ahead before costs, and the panel shows it in green. A last line adds up the result of every resolved signal, after the spread, into one total in R.

This is not a backtest. There is no position sizing, no compounding and no slippage. It answers one question: of the signals on this chart, how many reached the suggested target before the suggested stop.

Spread charged, not assumed

A second line charges your broker's current spread against every signal, scaled to price and applied at that signal's own risk, and prints the expectancy again net of it. A figure quoted before costs is not an answer, and a disclaimer under one does not turn it into an answer.

Stability check

Switch it on and the same rule is measured again with both structural inputs moved twenty percent in each direction, and the worst of those neighbours is reported next to your own result. A setting that only works at exactly its own numbers is reported as a spike rather than a plateau. The check also declines to give a verdict when too few of the neighbouring settings produced enough signals to judge, instead of quietly passing.

It is off by default, because each perturbation is a full re-scan of the history.

Same-bar outcomes

When one bar contains both the suggested stop and the suggested target, bar data cannot say which came first. The minute bars inside are read to settle it where that history exists. What stays ambiguous is excluded and counted separately, and the panel also prints a worst-case rate that scores every excluded signal as a loss, so you see the range rather than one number that hides a choice.

Alerts

Popup, push and email alerts, all disabled by default.

Try it first

Download the free demo and run it in the Strategy Tester's visual mode. Load enough history, watch the chart and the panel update bar by bar, and change one input at a time to see its effect. The demo runs in the tester, not on a live chart.

Technical

Any symbol, any timeframe. No DLL calls, no web requests, no external files.

Support: please use the comments section of this product, or send a message through the site.