Hourly breakouts gated by absolute tick volume

What had to be true before an order

The testers treated bar activity as an absolute tick count rather than a comparison with the prior bar. They asked whether a breakout was only worth acting on above a fixed activity floor.

That reading is absolute-tick-volume: the raw tick count inside a completed bar, used as a stand-alone activity level. The floor itself is the volume-cutoff: a fixed tick-count that a bar must clear before a breakout of that bar is allowed to generate an order.

The first hourly scan

The first procedure used hourly Treasury-bond bars and omitted the night session because the testers did not intend to trade overnight.

Observed hourly tick counts ran from below 50 to above 300, and the testers scanned that range in steps of 50. In that scan, a move through the prior bar high or low was treated as more meaningful when the completed hourly bar exceeded 250 ticks.

The volume-bulge at the open and close

Opening and closing hours typically cleared the 250-tick floor because of concentrated open-and-close order flow. That routine surge of ticks in the first and last daytime bars is the volume-bulge.

The testers dropped the first and last daytime bars instead of giving those hours a separate cutoff.

Which clock hours may place stops

A second procedure asked whether clock hour mattered. After each hourly bar, stop orders sat for at most one hour. A fill then received a 1500-dollar money-management stop, and an unfilled order was canceled until the next day.

The one-hour wait is the fill-window: the limited interval after a signal bar during which the breakout order may be filled before it is canceled. The 1500-dollar attachment is a money-management stop: a fixed-dollar protective stop left working until it is hit, replaced, or restored.

After testing each clock hour separately, the testers carried only the 10:00, 12:00, and 1:00 breakouts forward and then concentrated on the 1:00 bar as the candidate to combine with the volume filter.

The combined 1:00 rule

Combining the 1:00-bar breakout with the same 50-to-300 tick cutoff grid, the testers treated 100 ticks as the relevant activity floor for that hour.

The combined rule inspected the 12:00 to 1:00 Treasury-bond bar at 1 p.m. Central Time. If tick volume exceeded 100, a buy-stop one tick above the high and a sell-stop one tick below the low were placed. That placement is an hourly-breakout: a stop one tick beyond the high or low of a finished one-hour bar, left live only until the next hour ends.

A fill before 2 p.m. canceled the opposite order and attached a 1500-dollar good-until-canceled money-management stop.

When a new 1:00 bar can reverse

If already long under that stop and the next 1:00 bar again exceeded 100 ticks, the protective stop was replaced by a two-contract sell-stop under the bar to reverse. That replacement is a position-reverse: the protective stop becomes a two-contract stop through the opposite side of a new qualifying bar so a fill flips the existing position.

If that reverse was not filled by 2 p.m., the original 1500-dollar stop was restored.