Larry Williams Volatility Breakout: does it work?

None of these versions passed. Sample: Volatility breakout, daily, 18 crypto pairs: 8,256 completed trades over 2017-08-18 to 2025-03-14 (7.6 years); Volatility breakout, daily, 171 US stocks: 80,784 completed trades over 2016-09-15 to 2025-03-14 (8.5 years).

From his 1999 book, Williams' volatility breakout buys when price pushes a set fraction of yesterday's range above the open. It is often shown as a day-trade.

The rule we tested. A range breakout at 0.7 times the prior range, held into the next close-to-close return. The book's same-day open-to-close version needs intraday data, so this is an adaptation, not the exact day-trade. Run on 18 crypto pairs and a wider set of 171 US stocks.

• Volatility breakout, daily, 18 crypto pairs (18 crypto pairs (BTCUSDT, BNBUSDT, XRPUSDT, ADAUSDT, …)), 2017-08-18 to 2025-03-14, costs 0.10% to 0.17% per side: −61.6 pts/yr vs the benchmark across 8,256 completed trades, unadjusted p=1.000, BH-adjusted q=1.000: did not beat the benchmark.
• Volatility breakout, daily, 171 US stocks (171 US stocks (AAPL, NVDA, AVGO, ORCL, …)), 2016-09-15 to 2025-03-14, costs 0.05% per side: −15.2 pts/yr vs the benchmark across 80,784 completed trades, unadjusted p=1.000, BH-adjusted q=1.000: did not beat the benchmark.

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None of these versions passed. crypto pairs −61.6 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000); US stocks −15.2 pts/yr vs the benchmark (unadjusted p=1.000, BH-adjusted q=1.000). None cleared our Benjamini-Hochberg q<0.10 bar once counted alongside every other rule we tested. That covers the versions, costs and benchmark described here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

Failed: only the tested versions above. Not tested: The true same-day open-to-close day-trade; other range fractions; futures, where Williams traded it. A result for the tested version says nothing about these.

This is one line in a bigger check. The research desk has run 694 strategies, most against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs). After correcting for how many we tried (Benjamini-Hochberg, 777 tests), 0 passed. That does not prove no strategy works, and it says nothing about versions we did not test. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.

Is this financial advice?

No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.

See the full numbers on the Volatility family page, or the full method and every result.

Other rules we've tested

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• Guppy GMMA
• Cup and Handle

All the rules we tested

• See a full worked example (free, no account)
• Start lesson 1 of the course (free)
• Run your own version of this rule in the Backtest Lab (pass)