Constructing ATR-filtered breakout entries

The long setup, the buy-stop, and the per-share risk bound are specified as separate rules. A setup is a bar that jointly satisfies a close crossing above a long simple moving average, average true range at a lookback high, and a wide-range expansion test. The long is not taken on that close. Entry waits on a later trade through a buy-stop, and size waits on a check against the per-share risk bound.

The volatility and trend setup

The long setup is complete only when a close crosses above a 100-period simple moving average, 14-period average true range is at a 14-bar high, and the current bar range exceeds 1.5 times the recent average range. That last test is the required wide-range bar. The average-true-range filter admits a setup only when current average true range is at a short-window high, so low-range names are withheld.

Wide-range-bar and rising-volume flags can be listed as extra confirmation columns without being required to generate the setup.

A buy-stop that may expire unused

The long is not taken on the setup close. A buy-stop is placed 0.50 above the setup-bar high and fills only if a later bar trades through that level. Because the fill may occur on a later bar, one recoding cancels an unused setup after a fixed number of bars so a stale buy-stop cannot remain live. That bar limit is the setup timeout.

A setup can expire with no trade if price recrosses below the moving average before any bar exceeds the buy-stop threshold.

The per-share risk bound and trailing stop

The specified risk bound is a fixed 2-dollar per-share initial stop that is also applied as a trailing stop after the position is open. The per-share risk bound is set before entry and is used to accept or reject size once stop distance is known. The trailing stop starts as that per-share bound and then follows price so the long exits when a later bar trades through the updated level.

When average true range at the entry bar exceeds the fixed dollar stop, a later open can gap through that stop even on an up bar, so the stop distance is a volatility-relative size check made before the order is accepted.

Universe screens need unadjusted history

Candidate scans add a universe screen before the setup test, including a mid-price band, a minimum recent dollar range, and a minimum average daily volume. Hardcoded price and volume thresholds applied to split-adjusted history can admit symbols that never traded in the intended band, so unadjusted series are required for a valid historical test of those filters.

Scanner flags and strategy orders

The same rules can be packaged as a scanner or chart alert that only flags new setups and as a strategy object that submits the buy-stop and the per-share stop for historical testing.