Strategies / Breakout / ADX Filtered Box Breakout

ADX Filtered Box Breakout

The strategy watches a 20-bar box while ADX(14) is below 18. It buys when the close crosses the box top, sells short on a cross of the bottom, and uses stops and targets sized to the box width.

BreakoutLong & shortSwingUSD/JPYDaily

1.44Profit factor

24,870Net profit USD

38.29%Win rate

491Trades

-3,100Max drawdown

50.65Avg trade

Best run of 8. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:49.

Entry rules, long

ADX(14) is below 18 and the box width is above 0.

Entry rules, short

Exit rules

A profit target sits 1.0 times the box width from the entry price.

Test conditions

Period	Up to 2026-10-12
Instrument	USD/JPY, Daily
Spread	1 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	1.44	491	38.29	24,870 USD	-3,100
Silver	4 hours	1.42	334	39.52	17,986 USD	-3,564
Dow Jones	Daily	n/a	210	36.19	16,537 EUR	-5,566
Nasdaq 100	4 hours	n/a	324	36.42	7,248 EUR	-3,568
Nasdaq 100	Daily	n/a	217	35.02	6,071 EUR	-4,086
Brent Crude	Daily	n/a	90	41.11	6,048 EUR	-2,967
Brent Crude	1 hour	n/a	840	35.36	5,361 EUR	-3,446
S&P 500	Daily	n/a	263	30.80	1,503 EUR	-583

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// ADX Filtered Box Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE boxup = 0
ONCE boxdn = 0

myAdx = ADX[14]

IF NOT OnMarket THEN
    boxup = highest[20](high)[1]
    boxdn = lowest[20](low)[1]
ENDIF
width = boxup - boxdn

16 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

ADXDonchian Channel

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run ADX Filtered Box Breakout 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 8 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.44 over 491 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,100 USD at the tested position size, against a net result of 24,870 USD.

Does it trade long, short or both?

It trades both long and short.

Turtle Trade

Uses the same indicator.

2.42 PF · 6,324 trades

Trend Surfer

Best run on the same market, USD/JPY.

1.04 PF · 10,813 trades

Volatility Compression Breakout

Also a breakout strategy.

1.44 PF · 447 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.com Stats Docs