Volume Thrust Breakout - SOLUSDT A momentum breakout strategy that combines: 1. Volume surge (2.2x+ average)
Symbol: SOL | Exchange: Binance
| Year | Return | Win Rate | Trades | Max DD | Sharpe |
|---|---|---|---|---|---|
| 2020 | +0.0% | 33.3% | 9 | 18.5% | 0.00 |
| 2021 | +49.3% | 47.1% | 34 | 41.0% | 1.20 |
| 2022 | +12.6% | 40.0% | 15 | 19.8% | 0.52 |
| 2023 | +59.0% | 50.0% | 40 | 29.2% | 1.46 |
| 2024 | +20.7% | 50.0% | 16 | 9.8% | 1.03 |
| 2025 | +39.5% | 57.1% | 21 | 14.3% | 1.43 |
See strategy fileSee strategy file"""
Strategy: volume_thrust_breakout_sol
====================================
Volume Thrust Breakout - SOLUSDT
A momentum breakout strategy that combines:
1. Volume surge (2.2x+ average)
2. Breakout above 20-bar high
3. Price above EMA-50 (trend filter)
4. Bullish bar confirmation
Entry:
- Volume ratio > 2.2x (20-bar average)
- Price breaks above 20-bar high
- Price above EMA-50 (uptrend)
- Bullish candle (close > open)
Exit:
- Max hold: 12 bars (2 days on 4h timeframe)
- Momentum loss: price drops below EMA-50
- Take profit: 10%
- Stop loss: 5%
Performance: 5/6 years profitable | Total: +88.3%
2020: -29.3% | 11% WR | 9 trades
2021: +13.1% | 40% WR | 30 trades
2022: +6.1% | 56% WR | 16 trades
2023: +31.4% | 43% WR | 37 trades
2024: +28.1% | 47% WR | 17 trades
2025: +39.1% | 55% WR | 20 trades
"""
import sys
sys.path.insert(0, "/root/trade_rules")
from lib import ema
def init_strategy():
return {
'name': 'volume_thrust_breakout_sol',
'subscriptions': [
{'symbol': 'SOLUSDT', 'exchange': 'binance', 'timeframe': '4h'},
],
'parameters': {
'take_profit_pct': 10.0,
'stop_loss_pct': 5.0,
'hold_bars': 12,
}
}
def process_time_step(ctx):
key = ('SOLUSDT', 'binance')
bars = ctx['bars'].get(key, [])
i = ctx['i']
positions = ctx['positions']
if not bars or i >= len(bars) or i < 50:
return []
closes = [b.close for b in bars]
highs = [b.high for b in bars]
opens = [b.open for b in bars]
volumes = [b.volume for b in bars]
# Calculate EMA-50
ema50 = ema(closes, 50)
if ema50[i] is None:
return []
# Calculate 20-bar volume moving average
volume_ma = sum(volumes[i-20:i]) / 20 if i >= 20 else 0
# 20-bar high (excluding current bar)
high_20 = max(highs[i-20:i]) if i >= 20 else 0
actions = []
has_position = key in positions
if not has_position:
# Entry: volume thrust breakout
if volume_ma == 0:
return []
vol_ratio = volumes[i] / volume_ma
# Volume surge (2.2x+ average)
if vol_ratio <= 2.2:
return []
# Breakout above 20-bar high
if closes[i] <= high_20:
return []
# Price above EMA-50 (uptrend)
if closes[i] <= ema50[i]:
return []
# Bullish bar
if closes[i] <= opens[i]:
return []
actions.append({
'action': 'open_long',
'symbol': 'SOLUSDT',
'exchange': 'binance',
'size': 1.0,
'take_profit_pct': 10.0,
'stop_loss_pct': 5.0,
})
else:
# Exit conditions
pos = positions[key]
bars_held = i - pos.entry_bar
# Max holding period: 12 bars
if bars_held >= 12:
actions.append({
'action': 'close_long',
'symbol': 'SOLUSDT',
'exchange': 'binance',
})
# Momentum loss: price below EMA-50 (after holding for at least 2 bars)
elif bars_held >= 2 and closes[i] < ema50[i]:
actions.append({
'action': 'close_long',
'symbol': 'SOLUSDT',
'exchange': 'binance',
})
return actions