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Strategies / Pattern / Break of Structure Reversal

Break of Structure Reversal

The strategy buys when a bar moves above the prior 5-bar high and below the prior 5-bar low, and its close crosses back above that low. It mirrors this to sell short, with stops at the 10-bar extreme and targets at twice the risk.

PatternLong & shortSwingDAX 401 hour
n/aProfit factor
1,873Net profit EUR
34.10%Win rate
437Trades
-1,537Max drawdown
4.29Avg trade

Best run of 11. DAX 40, 1 hour, spread 3, from run sweeps:2026-10-11-DAX40-1h-opt.tsv:97.

Entry rules, long

  1. The bar's high is above the prior 5-bar high, and its low is below the prior 5-bar low.
  3. The 10-bar low is below the close.
  4. Signals start after the first 12 bars.

Entry rules, short

  1. The bar's low is below the prior 5-bar low, and its high is above the prior 5-bar high.
  3. The 10-bar high is above the close.
  4. Signals start after the first 12 bars.

Exit rules

  2. The target is twice the distance from the signal close to that stop level, measured from the entry fill.
  3. A repeat signal in the same direction moves the stop and target to new levels.
  4. An opposite signal closes the trade and reverses it.

Test conditions

PeriodUp to 2026-10-11
InstrumentDAX 40, 1 hour
Spread3 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
DAX 40Best run1 hourn/a 43734.101,873 EUR-1,537
Silver1 hourn/a 19829.808,826 USD-5,470
Nikkei 22510 minn/a 27832.375,639 USD-2,905
Nasdaq 1004 hoursn/a 11837.294,807 EUR-3,058
Dow Jones4 hoursn/a 3743.244,664 EUR-3,279
Dow JonesDailyn/a 633.333,718 EUR-2,096
Brent CrudeDailyn/a 580.002,564 EUR-313
Brent Crude4 hoursn/a 4443.182,484 EUR-1,393
US Crude OilDailyn/a 450.001,982 EUR-408
S&P 5004 hoursn/a 9832.65874 EUR-520
Nasdaq 1003 minn/a 22831.58801 EUR-723

Charts

Results by run

Top 10 of 11 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Break of Structure Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Pattern
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ph = highest[5](high)
pl = lowest[5](low)
swh = ph[1]
swl = pl[1]
rlow = lowest[10](low)
rhigh = highest[10](high)

32 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.
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 1,537 EUR is large next to the net profit of 1,873 EUR.

Questions

About this strategy

Can I run Break of Structure Reversal 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 11 market and timeframe combinations. The best run by trade count was DAX 40, 1 hour, with 437 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,537 EUR at the tested position size, against a net result of 1,873 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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Heikin Ashi Color Flip

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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