Volatility · Intermediate · Daily
Volatility Cone
How it works, and when it doesn't.
ORB breakouts with pre-market gaps and volume > 1.5x the 20-day average have a 68% continuation rate. The RF model identifies which combinations have the highest follow-through probability.
30d RV=22.3% at 100% pct — elevated range. GBM=77%. No edge. Cash.
Why it works
The first 30 minutes of trading establishes the day's opening range. Breakouts beyond this range — confirmed by above-average volume — tend to continue in the breakout direction for the remainder of the trading day. The Random Forest classifier identifies the highest-probability setups.
The signal logic
- Record first 30-minute high and low (opening range)
- Long: price breaks above opening range high
- Short: price breaks below opening range low
- Volume confirmation: must exceed 1.5x 20-day average
- RF classifier filters by gap size, pre-market volume, VIX level
When it fails
Low-volatility consolidation days produce 'fakeout' breakouts that immediately reverse.
- Best market
- High-volatility days with pre-market catalysts (earnings surprises, macro data)
- Worst market
- Low-volatility, low-volume days without directional catalysts
Backtest
| Sharpe ratio | 0.10 |
| Annual return | 0.5% |
| Worst drawdown | -17.3% |
| Trades in the backtest | 58 |
Backtest on daily bars, positions taken the bar after the signal (no look-ahead).
Volatility Cone, live.
Re-scored after every close.
The platform runs this and 32 other strategies against the live tape each day — with the evidence behind every number.