SQZMOM Breakout Strategy

📌 SQZMOM Breakout Strategy – Optimized for 15-Minute Intraday Trading
SQZMOM Breakout Strategy is a momentum and volatility-based algorithmic trading system, primarily built around the Squeeze Momentum (SQZMOM) indicator. It is specifically optimized for 15-minute timeframes to exploit intraday breakouts and trend continuations.

📊 Key Features:
✅ Breakout signals based on the Squeeze Momentum indicator
✅ Trend filter using 200-period WMA (visual only, not affecting entries)
✅ RSI filter to avoid trades in overbought/oversold zones
✅ Volume and ATR filters to confirm breakout quality
✅ Position sizing dynamically scales from 5% to 20% based on signal strength
✅ Trailing Stop Loss based on user-adjustable ATR multiple (default: 2.0 ATR)
✅ No fixed Take Profit: trades ride the trend using trailing stops

⚙️ Configurable Inputs:
Bollinger Band & Keltner Channel parameters

RSI thresholds (fixed at 40 to avoid early entries against momentum)

Trailing Stop distance defined by ATR Multiplier for Trailing Stop

All parameters are user-tunable for further optimization

🟢 When Does It Enter a Trade?
Long Entry:
SQZMOM fires bullish breakout + momentum increases + price above WMA200 + sufficient volume & ATR + RSI > 40

Short Entry:
SQZMOM fires bearish breakout + momentum decreases + price below WMA200 + sufficient volume & ATR + RSI < 40

Signal entries are deferred until all filters (especially RSI) align — no crossover logic is used

🎯 Trade Management:
Position Sizing: Adjusted according to momentum strength (val), from 5% to 20%

Exit Strategy: Trailing Stop only, no hard TP — lets profits run

TP/SL logic: Trailing SL moves dynamically with price, distance = ATR × multiplier

📚 Scientific & Practical Foundations:
The model is inspired by John Carter’s “TTM Squeeze” principle: volatility contraction followed by explosive momentum

Position sizing and ATR-based trailing logic follow Ernie Chan’s adaptive risk framework in Algorithmic Trading (2013)

RSI as a trend-quality gate is consistent with classic momentum confirmation rules