Strategies / Breakout / Alternating Donchian Breakout With EMA Filter

Alternating Donchian Breakout With EMA Filter

The system tracks whether price has touched the 20-bar lower or upper band since the last open position. It buys after a prior lower-band touch when price reaches the upper band and closes above the 200-period EMA, and sells short in the mirror case.

BreakoutLong & shortSwingS&P 500Daily

2.15Profit factor

5,322Net profit EUR

48.06%Win rate

129Trades

-1,253Max drawdown

41.26Avg trade

Best run of 17. S&P 500, Daily, spread 1, from run pf:2026-10-12-USA500-D.tsv:22.

Entry rules, long

The low has touched the 20-bar lowest low at least once since the last position was held.
The close is above the 200-period exponential moving average.

Entry rules, short

The high has touched the 20-bar highest high at least once since the last position was held.
The close is below the 200-period exponential moving average.

Exit rules

The short stop is placed at the 20-bar highest high multiplied by 1.005, with a profit target derived from 1.5 times the risk.

Test conditions

Period	Up to 2026-10-12
Instrument	S&P 500, 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
S&P 500Best run	Daily	2.15	129	48.06	5,322 EUR	-1,253
USD/JPY	Daily	1.27	2,533	44.97	250,480 USD	-19,280
Silver	3 min	n/a	755	42.78	43,206 USD	-12,404
Nikkei 225	Daily	n/a	83	55.42	38,841 USD	-12,192
Nasdaq 100	4 hours	n/a	249	42.97	10,152 EUR	-6,342
FTSE 100	Daily	n/a	89	52.81	8,398 EUR	-2,958
US Crude Oil	5 min	n/a	784	40.05	6,492 EUR	-4,211
Nasdaq 100	3 min	n/a	405	42.72	6,302 EUR	-4,759
DAX 40	1 min	n/a	153	48.37	5,223 EUR	-2,319
Nasdaq 100	5 min	n/a	531	40.30	4,486 EUR	-3,328
Nasdaq 100	2 min	n/a	283	43.46	4,165 EUR	-3,998
Gold	3 min	n/a	519	43.35	2,946 EUR	-784
Gold	1 hour	n/a	733	42.84	2,290 EUR	-904
Gold	5 min	n/a	551	43.01	2,095 EUR	-1,063
Gold	30 min	n/a	987	41.03	1,902 EUR	-1,064
S&P 500	3 min	n/a	253	41.90	1,305 EUR	-1,276
Gold	4 hours	n/a	189	43.92	1,049 EUR	-821

Charts

Results by run

Top 10 of 17 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Alternating Donchian Breakout With EMA Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE prevhigh = 0
ONCE prevlow = 0

upper = highest[20](high)
lower = lowest[20](low)
ema = ExponentialAverage[200](close)

31 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

Donchian ChannelEMA

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 Alternating Donchian Breakout With EMA Filter 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 17 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 2.15 over 129 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,253 EUR at the tested position size, against a net result of 5,322 EUR.

Does it trade long, short or both?

It trades both long and short.

Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

Trend Filtered Breakout Long

Also a breakout strategy.

2.14 PF · 99 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