Automated Strategies

DailyFX Breakout on Volatility

Developer: FXCM

Since the North American trading hours have a high level of volatility, many traders find trading difficult during those hours.  The DailyFX Breakout on Volatility Strategy is designed to operate specifically in this high volatility environment.

After closely studying the trading trends of FXCM clients, the quantitative strategists from found that when volatility is high, breakout strategies are more likely to be successful.

This specific strategy is most effective when used with an appropriate “risk/reward” ratio as outlined in the article, “Here is How to Trade Forex Majors like the Euro During Active Hours” by David Rodriguez, Quantitative Strategist.


By default, the DailyFX Breakout on Volatility system buys and sells according to crosses of a 20-bar highest high or lowest low price.

A buy trade is created, at the open of the next bar, when the current price crosses above the 20-bar highest high.

A sell trade is created, at the open of the next bar, when the current price crosses below the 20-bar lowest low.

The strategy also filters trades, and will only enter a new trade if the volatility level is above a defined threshold.

The strategy will only have one trade open at any given time.   If an existing DailyFX Breakout on Volatility trade is open, and due to price movements a new signal is created in the opposite direction, the strategy will close the first trade and open a new trade provided the above trading logic is met.

*Volatility level: This number provides an indication of current implied volatility levels in relation to the past 90 days of trading. We look at third-party FX Options pricing and derive the Implied Volatility expectation from those sources. We then compare the current value to the values from the preceding 90 days of trading and report this percentile. Past performance is not indicative of future results, but we have found that implied volatilities tend to remain high or low for extended periods of time. As such, we believe it is helpful consider current implied volatility levels in relation to its medium-term range.

Special Note: The DailyFX Breakout on Volatility Strategy uses real time volatility data from the DailyFX servers as a factor in trading decisions.  However, the real time volatility data is not saved on the DailyFX servers.  Which means that any back tests of this strategy will mistakenly use only the current volatility percentage. None of the historical percentages are used to calculate back tested trades, which results in any back test being inaccurate.  Users are invited to forward test the strategy, which will include the real time volatility data, by using a free practice demo account.


The following inputs are available in the strategy’s parameters window and can be defined by the app user:

  • Trade amount in Lots: trade size
  • Highest High Bars Back: The number of bars back used to calculate the highest high
  • Lowest Low Bars Back: The number of bars back used to calculate the lowest low
  • Volatility Level: Volatility value threshold that must be met before trade entry.  Entering a higher number will cause the strategy to wait for more volatility before entering a new trade

Users of this strategy can be start, stop, restart and modify from the control panel within the Marketscope charting software.  Users who wish to trade this strategy on more than one currency pair at a time, will need to create an individual instance of the strategy for each currency pair they wish to trade.

Risk Disclaimer

The application displayed on this page does not take in to consideration your individual personal circumstances and trading objectives. Therefore it should not be considered as a personal recommendation or investment advice. Past performance is not indicative of future results.

There is no guarantee that the systems, trading techniques, trading methods, and/or indicators will result in profits or not result in losses.


This Strategy is only compatible with FXCM Trading Station Desktop software. Additionally, an FXCM account is required (including free FXCM demo accounts).

You must have Microsoft .NET Framework 4 installed on your computer. This software is included in the EA installation file.

Please remember that past performance is not an indicator of future success.