Breakout Strength Index
Quick Reference
| Property | Value |
|---|---|
| Dimension | signal |
| Category | momentum |
| Version | v0.9.0 (Beta) |
| Output Column | breakout_strength |
Breakout strength index: (price - rolling_high) / (rolling_high - rolling_low) - degree of price displacement beyond range boundaries
Formula
(price - rolling_max(price, window)) / (rolling_max(price, window) - rolling_min(price, window))
CDM Inputs
| Column | CDM Table | Description |
|---|---|---|
price | cdm_* | CDM source table |
Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
window | integer [2, 500] | 20 | Window for rolling high/low calculation |
Output
Column: breakout_strength
Normalized breakout strength (positive = above range, negative = below range)
Market Intuition & Trading Rationale
Breakout strength index measures how far price has displaced beyond its recent trading range: (price - rolling_high) / (rolling_high - rolling_low). It's a normalized measure of range expansion — positive values mean price is above the recent high (bullish breakout), negative values mean below the recent low (bearish breakdown), and values between 0 and 1 mean price is within the range.
The normalization by the range width makes this comparable across instruments. A $1 breakout in a stock with a $10 range (0.1) is proportionally smaller than a $1 breakout in a stock with a $2 range (0.5). The feature captures the relative significance of the price move given the instrument's recent behavior.
Breakouts with high strength index values are more likely to persist than marginal breakouts. A breakout of 0.5 (price is 50% beyond the range) has much higher follow-through probability than a breakout of 0.05 (barely above the high). The strength index provides a continuous measure of breakout conviction rather than a binary "broke the high/low" signal.
Usage Cases
- Breakout conviction filter: Only trade breakouts where the strength index exceeds a threshold (e.g., 0.2). This filters out marginal breakouts that are likely to be false signals — the majority of range breaches reverse immediately.
- Mean reversion fade: When breakout_strength > 1.0 (price has moved an entire range width beyond the boundary), the move is extended. Consider fading the breakout — such extremes tend to mean-revert as profit-taking sets in.
- Trend initiation: The first bar with breakout_strength > 0 signals the start of a potential trend. Combine with volume confirmation — high breakout_strength + elevated volume = genuine breakout with institutional participation.
YAML Definition
name: breakout_strength_index
description: 'Breakout strength index: (price - rolling_high) / (rolling_high - rolling_low)
- degree of price displacement beyond range boundaries'
category: momentum
version: v0.9.0 (Beta)
dimension: signal
status: Pre-release
required_inputs:
- price
output_column: breakout_strength
output_description: Normalized breakout strength (positive = above range, negative
= below range)
parameters:
window:
type: integer
description: Window for rolling high/low calculation
required: false
default: 20
constraints:
min: 2
max: 500
formula: (price - rolling_max(price, window)) / (rolling_max(price, window) - rolling_min(price,
window))