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Strategies / Breakout / 20 Day Breakout Long

20 Day Breakout Long

It buys when the close breaks above the highest high of the previous 20 bars and sells when it breaks below the lowest low of the previous 10 bars. Only one position is open at a time.

BreakoutLong onlySwingBrent CrudeDaily
1.73Profit factor
15,553Net profit EUR
45.68%Win rate
81Trades
-10,325Max drawdown
192Avg trade

Best run of 4. Brent Crude, Daily, spread 5, from run pf:2026-10-10-BRENT-D.tsv:2.

Entry rules, long

Exit rules

  1. The close falls below the lowest low of the previous 10 bars, closing the long.

Test conditions

PeriodUp to 2026-10-10
InstrumentBrent Crude, Daily
Spread5 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Brent CrudeBest runDaily1.73 8145.6815,553 EUR-10,325
GoldDaily1.61 20939.2320,556 EUR-9,823
US Crude OilDaily1.45 17845.5121,152 EUR-11,084
EUR/USDDaily1.39 18743.856,029 USD-3,253

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// 20 Day Breakout Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

18 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

Donchian Channel
Read this firstKnown weaknesses3 points
  • The best run has only 81 trades, which is a small sample to judge it on.
  • The maximum drawdown of 10,325 EUR is large next to the net profit of 15,553 EUR.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run 20 Day Breakout Long in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 4 market and timeframe combinations. The best run was Brent Crude, Daily, with a profit factor of 1.73 over 81 trades.

How large was the drawdown?

The best run had a maximum drawdown of 10,325 EUR at the tested position size, against a net result of 15,553 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Turtle Trade

Uses the same indicator.

2.42 PF · 6,324 trades

Hull Trend With ADX Filter

Best run on the same market, Brent Crude.

1.27 PF · 1,400 trades

Pitchfork Breakout with Median Stop

Also a breakout strategy.

1.73 PF · 170 trades

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.comStatsDocs