Strategies / Breakout / Channel Breakout With Volatility Stop

Channel Breakout With Volatility Stop

Buys when the close breaks above an upper channel band with a volatility stop below it and a strong momentum impulse, and sells short on the mirrored breakdown. Positions close when the close crosses back through the channel band or the volatility stop.

BreakoutLong & shortSwingUSD/JPYDaily

1.74Profit factor

1,704,300Net profit USD

36.04%Win rate

308Trades

-231,410Max drawdown

5,533Avg trade

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

Entry rules, long

The close is above a volatility stop that uses a 3-bar ATR multiplied by 1.5 and trails the close.
The impulse, the change in the 20 and 40 EMA difference scaled by 150, exceeds 3.7 times the 100-bar Wilder true range.
The same impulse also exceeds the 20-bar Bollinger band width, computed with 2 standard deviations.
A long is opened at market when all of the above conditions are true and no long position is open.

Entry rules, short

The close is below the volatility stop, which uses a 3-bar ATR multiplied by 1.5.
The impulse is below minus 3.7 times the 100-bar Wilder true range.
The same impulse is below minus the 20-bar Bollinger band width, computed with 2 standard deviations.
A short is opened at market when all of the above conditions are true and no short position is open.

Exit rules

A short is closed at market when the close crosses over the lower channel band or crosses over the volatility stop.

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	1.74	308	36.04	1,704,300 USD	-231,410
USD/JPY	4 hours	n/a	707	31.97	293,370 USD	-170,210
EUR/USD	4 hours	n/a	948	31.33	31,886 USD	-24,825
Silver	4 hours	n/a	600	31.50	17,362 USD	-11,710
GBP/USD	Daily	n/a	295	37.29	11,774 USD	-2,972
Brent Crude	Daily	n/a	105	40.00	7,052 EUR	-4,603
Gold	4 hours	n/a	675	32.15	1,142 EUR	-520
Gold	Daily	n/a	363	30.03	821 EUR	-745

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Channel Breakout With Volatility Stop
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE maxv = 0
ONCE minv = 0
ONCE uptrend = 1
ONCE vstop = 0
ONCE init = 0

xprice = ExponentialAverage[200](TypicalPrice)
xmove = ExponentialAverage[200](high - low)
xupper = xprice + xmove * 5
xlower = xprice - xmove * 5

myAtr = AverageTrueRange[3](close)

73 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

Keltner ChannelATREMATrue RangeWilder AverageStandard DeviationBollinger Bands

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 With Volatility Stop 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 1.74 over 308 trades.

How large was the drawdown?

The best run had a maximum drawdown of 231,410 USD at the tested position size, against a net result of 1,704,300 USD.

Does it trade long, short or both?

It trades both long and short.

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Uses the same indicator.

2.26 PF · 6,872 trades

Trend Surfer

Best run on the same market, USD/JPY.

1.04 PF · 10,813 trades

20 Day Breakout Long

Also a breakout strategy.

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See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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