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Strategies / Breakout / Channel Breakout Trend Filter

Channel Breakout Trend Filter

Buys when the close breaks above the highest high of the prior 20 bars while it is above the 200-bar SMA. Sells when the close falls below the lowest low of the prior 20 bars.

BreakoutLong onlySwingNasdaq 100Daily
2.36Profit factor
16,383Net profit EUR
54.24%Win rate
118Trades
-3,761Max drawdown
139Avg trade

Best run of 27. Nasdaq 100, Daily, spread 3, from run pf:2026-10-05-NAS100-D.tsv:8.

Entry rules, long

  2. The close is above the 200-bar simple moving average.

Exit rules

  2. No stop loss or profit target is set.

Test conditions

PeriodUp to 2026-10-05
InstrumentNasdaq 100, Daily
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 tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily2.36 11854.2416,383 EUR-3,761
USD/JPYDailyn/a 10844.44895,210 USD-407,550
USD/JPY30 minn/a 1,69139.15459,610 USD-150,750
USD/JPY15 minn/a 1,76938.10282,510 USD-167,400
USD/JPY10 minn/a 1,80538.23262,690 USD-157,970
EUR/USDDailyn/a 10640.5762,655 USD-37,652
Nikkei 225Dailyn/a 11243.7538,348 USD-13,638
Silver4 hoursn/a 23540.4333,553 USD-17,397
Nikkei 2254 hoursn/a 24543.6722,767 USD-8,718
Nikkei 2251 hourn/a 88838.6319,470 USD-11,537
Nikkei 22530 minn/a 1,71039.3617,079 USD-8,176
Dow JonesDailyn/a 15143.0511,834 EUR-7,769
US Crude OilDailyn/a 11045.4511,029 EUR-4,909
Nasdaq 10030 minn/a 2,03740.6010,158 EUR-3,358
DAX 401 hourn/a 1,04341.519,980 EUR-3,653
Dow Jones1 hourn/a 39042.059,276 EUR-5,382
Nasdaq 1004 hoursn/a 32245.348,758 EUR-4,319
DAX 4030 minn/a 1,87938.488,557 EUR-3,067
DAX 40Dailyn/a 16646.398,167 EUR-5,458
Nasdaq 10015 minn/a 1,84639.007,925 EUR-2,805
GoldDailyn/a 12642.062,720 EUR-1,179
S&P 500Dailyn/a 15943.402,555 EUR-1,020
Gold4 hoursn/a 26841.792,146 EUR-1,097
Gold1 hourn/a 1,02738.951,979 EUR-1,049
S&P 5004 hoursn/a 31842.451,266 EUR-1,017
Gold30 minn/a 1,74637.631,170 EUR-825
Gold5 minn/a 1,77836.28740 EUR-513

Charts

Results by run

Top 10 of 27 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Channel Breakout Trend Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

upperband = highest[20](high)[1]
lowerband = lowest[20](low)[1]
matrend = Average[200](close)

9 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 ChannelSMA
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · Daily · older data 307.20 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 10,000 bars.

Nasdaq 100 · Daily

Bars available10,000
Net, standard 200,000-bar run16,383.30 EUR
Net, long run16,690.50 EUR
Net on the older data alone307.20 EUR
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 Channel Breakout Trend 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 27 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 2.36 over 118 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,761 EUR at the tested position size, against a net result of 16,383 EUR.

Does it trade long, short or both?

It only takes long 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