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Variance Ratio Breakout
NewFreeKeltner breakouts only when variance ratios say momentum pays
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- Language
- QuaScript
- Engine
- Native C++, incremental on live ticks
- Rendering
- Canvas
- Placement
- Price overlay
- Settings
- 7
- Plots
- 4
- Lines of code
- 51
- Source
- presets/strategy/variance_ratio_breakout.qs
About
Takes breakouts only when they statistically tend to continue. The Lo-MacKinlay variance ratio at the holding period compares the variance of q-bar returns with q times the one-bar variance: above one, moves extend; below one, they reverse. Breakouts of a volatility-scaled channel are traded only when the ratio says momentum pays, and held for about the holding period. Entry: close beyond the Keltner channel with VR(q) above the threshold. Exit: ATR stop, a target of `reward` R, or a time stop after twice the holding period. Risk: 1 % per trade. Method: Lo and MacKinlay (1988).
What it draws
Price overlay · counted from the engine's plot table and the script's draw calls
Series
- Line3 visible · 1 helperChannel highChannel lowChannel mid
- Band fills (render.band calls)1
Signal marks
No bar marks.
Drawings and chart effects
- Dashboard tables1 created
How it runs
From source to the live chart, for this script
- 1Compile
The QuaScript compiler checks the 51-line script (43 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.
- 2Place
The header sets
overlay = true, so everything is drawn on the price chart, on the same scale as the candles. - 3Compute
The script runs once per bar, oldest to newest. 1
persistvariable keeps state (objects, counters) across bars. - 4Stay live
On the terminal the script keeps one live engine session: a tick rolls the forming bar back to its checkpoint and re-executes only that bar, and new bars are appended, so history is never rerun while the market moves. The live result is identical to a full run.
- 5Render
The results are handed to the chart: series on Canvas.
- 6Tune
7 settings in 3 groups appear in the chart's settings dialog. Changing one reruns the engine with the new value.
Rendering
This script draws on Canvas
The browser's modern GPU API. The chart uploads every line, band and mark of the script as GPU buffers and draws them in one pass, so dense heatmaps and dozens of series stay smooth while you pan and zoom. Without WebGPU support the chart's GPU layer falls back to WebGL 2, then Canvas 2D.
GPU drawing through WebGL 2, available in every current browser. Used for chart-native profiles and for series that ask for it with backend = "webgl". Fast for large numbers of bars and wide fills.
The browser's 2D drawing API. Text-heavy and object-style output (dashboard tables, zones, tags, segments), candle colors and backgrounds are painted by the QuaScript layer, a Canvas 2D surface over the chart. Series use Canvas when the script's header does not ask for a GPU.
- • 4 plotted series
- • 1 band fill call
- • 1 dashboard tables (QuaScript layer)
Settings
7 settings, grouped as in the chart's settings dialog
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Holding period (bars) | Integer | 8 | 2 – 60 | holding_period_bars |
| Estimation window | Integer | 200 | 50 – 3000 | estimation_window |
| Minimum variance ratio | Number | 1.1 | 0.8 – 3, step 0.01 | minimum_variance_ratio |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Channel length | Integer | 20 | 5 – 200 | channel_length |
| Channel width (ATR) | Number | 2 | 0.5 – 5, step 0.1 | channel_width_atr |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Stop (ATR) | Number | 1.8 | 0.5 – 8, step 0.1 | stop_atr |
| Target (R) | Number | 2.5 | 0.5 – 10, step 0.1 | target_r |
Script
packages/quascript/presets/strategy/variance_ratio_breakout.qs
Header
strategy "Variance Ratio Breakout" {
overlay = true
capital = 100000
commission = 0.05
slippage = 1
sizing = risk_percent
max_leverage = 1
size = 1
pyramiding = 1
}- Total lines
- 51
- Code lines
- 43
- Comment lines
- 7
- Helper functions
- 0
- Loops
- 0
- Persistent variables
- 1
- Higher-interval feeds
- 0
- Engine plots
- 4
Built with
ta.atrta.keltnerhft.variance_ratioviz/premium
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