Extracted algorithm research record
TTM Squeeze
Detects volatility compression and expansion to identify potential directional moves in futures markets.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 70.0/100. Neither is a performance result.
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Extraction warnings
No automated warnings are recorded in this snapshot. This does not establish that the extraction or system is sound.
Recorded market & execution profile
- Recorded markets
- ES, NQ
- Recorded timeframes
- 15M, 1H, 4H, D
- Recorded sessions
- RTH only
- Recorded regime
- ranging|trending
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| Bollinger Bands | {"deviation": 2.0, "period": 20} | close |
| Keltner Channels | {"multiplier": 1.5, "period": 20} | close |
| Momentum Histogram | {"fast_period": 12, "signal_period": 9, "slow_period": 26, "type": "MACD"} | Not specified |
| ADX | {"period": 14} | Not specified |
| VWAP | Not specified | Not specified |
| TICK | Not specified | Not specified |
| ATR | {"period": 14} | Not specified |
Extracted strategy rules
Recorded long-entry rules
- Squeeze ON 8+ bars
- Regime supports (ADX < 30)
- Release confirmed with 2+ bars of expanding momentum
- Price beyond compression range
- Price on correct side of VWAP
- $TICK/TRIN aligned (RTH only)
- Volume > 120% of average
- HTF trend supports direction
Recorded short-entry rules
- Squeeze ON 8+ bars
- Regime supports (ADX < 30)
- Release confirmed with 2+ bars of expanding momentum
- Price beyond compression range
- Price on correct side of VWAP
- $TICK/TRIN aligned (RTH only)
- Volume > 120% of average
- HTF trend supports direction
Recorded exit rules
- Tier 1: 50% of position, target 1.0x squeeze range width from entry, move stop to breakeven
- Tier 2: 30% of position, target 1.5-2.0x squeeze range width, trail stop to Tier 1 exit level
- Tier 3: 20% of position, trail with 2.0x ATR or below VWAP, let momentum exhaust naturally, target next major structural level
- Time-based exit: If momentum histogram starts shrinking within 5 bars of entry, cut position early
Recorded filters
- ADX filter: Check ADX(14) on the higher timeframe. Above 30 and rising = squeeze signals suspect
- Session filter: RTH only
- Volume filter: Release bar volume > 120% of 20-bar average
- Price discovery session filter: Immediately after major news events
- Stop loss
- 1.5x ATR from entry
- Take profit
- Tier 1: 1.0x squeeze range width, Tier 2: 1.5-2.0x squeeze range width, Tier 3: 2.0x ATR or below VWAP
- Position sizing
- Contracts = Account Risk ÷ (Stop Distance × Point Value)
Questions about this record
What entry rules are recorded for TTM Squeeze?
Long: Squeeze ON 8+ bars Regime supports (ADX < 30) Release confirmed with 2+ bars of expanding momentum Price beyond compression range Price on correct side of VWAP $TICK/TRIN aligned (RTH only) Volume > 120% of average HTF trend supports direction Short: Squeeze ON 8+ bars Regime supports (ADX < 30) Release confirmed with 2+ bars of expanding momentum Price beyond compression range Price on correct side of VWAP $TICK/TRIN aligned (RTH only) Volume > 120% of average HTF trend supports direction These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: ES, NQ. Timeframes: 15M, 1H, 4H, D. These are source-recorded labels, not verified execution behavior.