Significant volatility expansion (ATR rising >30%) accompanied by a price breakout and volume surge, signaling the start of a new trend.
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The Average True Range (ATR, 14-period) measures average daily price movement. Comparing today's ATR to the ATR five bars ago detects whether volatility is expanding -- the 1.3x threshold means today's ATR is at least 30% higher than it was five sessions back. This is a rising-volatility signal, not just a high-volatility one. The "close above prior high" filter adds bullish directional confirmation to the volatility expansion. Volume above 1.5x the 20-period average validates that the expansion is backed by real market participation. Three simultaneous conditions: volatility rising (ATR expansion), price breaking out (close above prior high), and conviction (elevated volume).
ATR Expansion Break is most powerful when it fires after an extended low-volatility compression phase -- the transition from contraction to expansion is where the largest moves originate. on the Daily chart, this signal can mark the beginning of multi-week trends. On 5-min and 1-hour charts, the same logic applies intraday. Key failure modes: (1) ATR expansion driven by a news catalyst (earnings, macro event) is inherently less reliable for technical continuation -- the information has already been priced in the expansion bar. (2) Volatility expansion without trend alignment fails frequently: a stock breaking to new highs after ATR expansion in an uptrend is very different from the same setup in a downtrend. (3) The 5-bar lookback for ATR comparison is relatively short -- in choppy markets, ATR fluctuates enough that brief spikes trigger the screen without representing genuine regime shifts. For sustained high-volatility candidates, see High ATR. For the volatility compression setup that precedes many ATR expansion breaks, see Low Volatility Compression and Bollinger Squeeze Break Bull.
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This screen finds stocks where the Average True Range (ATR) has increased more than 30% compared to five bars ago, price has closed above the prior high, and volume is above 1.5x the 20-period average. It detects the moment a stock transitions from low to high volatility regime with a directional breakout. Momentum traders and volatility traders use this to catch the early stage of a high-velocity move before the broader move fully develops. Common search phrases: "ATR expansion breakout", "volatility surge breakout stocks", "expanding range directional break".
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