Larry Williams Volatility Breakout

NAS100, US500, USDJPY · 5m, 1m chart · strategy s09_lw_breakout · 5 variations

Each day, puts a buy order a set distance above the day's opening price (based on yesterday's range) and buys the Nasdaq if price climbs that far.

What it is about

Prices wander around the day's opening price. A move away from the open that is large compared with yesterday's range is unusual, and it suggests real buying pressure rather than noise. The well-known trader Larry Williams built a strategy on this: once price has moved that far, it tends to keep going for the rest of the day.

Because the distance is measured in yesterday's range, it adapts by itself. On calm days the trigger is close to the open, and on wild days it is further away. The stop is sized the same way.

The strategy places a buy order at the trigger level in advance, so no judgement is needed during the day. Buys only. Tests on gold failed in every version.

How it trades

Chart & market

NAS100 (a contract that follows the Nasdaq 100 stock index) on the 5-minute chart (variation C uses the 1-minute chart). Variation B also runs on USDJPY (US dollar / Japanese yen) and US500 (the S&P 500 index). A trading day runs from 18:00 to 17:00 New York time.

Setup

R = yesterday's range (its high minus its low). At the day's open, a buy stop order (an order that buys automatically if price rises to it) is placed at the open + 0.4 x R.

Entry

The first time price reaches the level, the trade opens: at the level, or at the candle's open if price jumped over it. One trade per day at most.

Stop loss

0.5 x R below the fill price. The entry candle itself can already hit it. This distance is 1R (the amount risked).

Exit

Base rule (A): once the trade is 1R in profit, the stop follows price 1R behind the best price reached and never moves back. Whatever is still open at the day's last candle (17:00 New York) is closed. B and C change this (see the variations).

Filters

Buys only. No other filter: the trigger level itself is the filter.

The trading day runs around the clock, so the order can fill during the Asian, London or New York hours. About 11 trades a month (roughly every other trading day); 7 a month for C. A trades usually last about 6 hours. B holds into the next day (about 28 hours). C's trades are often short (under an hour typical).

What to expect

A: about 55% wins, with winners (0.87R) slightly bigger than losers (0.76R). B: about 40-43% wins with larger winners (about 1.7R). C: only 26% wins, but winners average about 4.7R.
About 11 trades a month for A and B, about 7 for C.
Longest losing streaks in the backtest: 9 (A), 11 (B on NAS100 and US500), 16 (B on USDJPY), 17 (C).
Largest drop from a peak: 12.6R (A), 16.7R (B), 18.3R (C), 26.8R (B on USDJPY), 20.6R (B on US500).
Backtest totals at zero cost: +139.6R (A), +205.5R (B), +362.6R (C) on NAS100 since 2019; +240.3R (USDJPY) and +150.0R (US500) since 2018.

Risks and caveats

Buys only. The Nasdaq and the S&P 500 rose over most of the test years, which flatters a buying strategy.
B holds trades overnight, and the overnight financing (swap) is not included in its results. The broker's swap rate should be checked before going live.
C's profits are lumpy: 2021 alone made +117.0R of its +362.6R, and 2026 so far only +12.1R. C exists only in Python and needs 1-minute data.
USDJPY and US500 were picked after running every strategy on several new markets. Only the ones that did well were kept, which favours luck. Their data also comes from a different provider (HistData).
B on US500 lost 11.6R in 2025, and B on USDJPY lost a little in 2019 and was flat in 2020: single years can easily be red.

Where it comes from

A classic idea from trader Larry Williams. In the research (October 2026), 576 setting combinations were tested on the Nasdaq 100, and 93% of them made money in the 2019-2023 'train' period. The defaults come from that test, and 2024-2026 served as the unseen 'test' period.

Main variation: s09-C ★ Main

Live result

+1.1R

2 closed · 0 open · zero cost

Backtest total

+362.6R

681 trades · +0.53R a trade · win 26%

Backtest max drawdown

−18.3R

total ÷ drawdown 19.9

Years won

8/8

7.3 trades / month

Backtest R per year (zero cost), s09-C

The variations

Each variation is the same strategy with a different approach, trading its own paper account. Click one to see exactly what it changes.

s09-C1-minute break-of-structure entry★ Main

Uses the same daily level trade as A but does not buy at the level. After the level is touched, it waits up to 4 hours for a 1-minute 'break of structure': price pulls back, then breaks above the latest confirmed 1-minute swing high (a small peak with lower candles on both sides). The stop goes at the low of that last swing, which is much tighter than A's, so each R is a smaller price move. The trade closes when A's trade closes, or earlier at its own stop.

s09-ALevel entry, 1R trail, out by day end

The base rules: buy at the level, trail the stop 1R behind the best price once +1R, and close at the end of the trading day. It takes a modest profit from the day's push and does not hold overnight.

s09-BNo trail, hold one extra day

Removes the trailing stop and keeps the trade, with its original stop, until the close of the next trading day. A strong breakout day often carries on into the next one, so B gives the move more room and time.

s09-B-US500B on the S&P 500

Variation B's rules unchanged on US500, the S&P 500 stock index, chosen in the same new-market test. It is a close cousin of the Nasdaq version, on a broader and somewhat calmer index.

s09-B-USDJPYB on USD/JPY

Variation B's rules unchanged (no trail, hold one extra day) on the US dollar / Japanese yen exchange rate. It was added after the whole lineup was tested on new markets, where B held up well on USDJPY. It spreads risk away from the stock indices.

Variations side by side

Live result of all 5 together: +0.6R (zero cost).

			Live paper account (R, zero cost)				Backtest 2018 – today (R, zero cost)

s09-C★ MainLarry Williams volatility breakout	NAS100	1m	+1.1R	2	50%	–	+362.6R	+0.53R	8/8	7.3	26%	−18.3R
s09-ALarry Williams volatility breakout	NAS100	5m	−0.4R	4	75%	–	+139.6R	+0.13R	8/8	11.4	55%	−12.6R
s09-BLarry Williams volatility breakout	NAS100	5m	+1.7R	4	75%	–	+205.5R	+0.19R	7/8	11.4	43%	−16.7R
s09-B-US500Larry Williams volatility breakout	US500	5m	+1.5R	5	80%	–	+149.9R	+0.12R	8/9	11.6	41%	−20.6R
s09-B-USDJPYLarry Williams volatility breakout	USDJPY	5m	−3.3R	6	17%	1	+240.3R	+0.20R	8/9	11.3	40%	−26.8R

Main = the variation with the most backtest R per R of max drawdown (2018 – today, zero cost). It is picked on that history, so the live accounts are the real test.