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Strategies / Breakout / Donchian Breakout With ADX Filter

Donchian Breakout With ADX Filter

The system buys when the close clears the prior 30-bar high by 0.5 ATR, with ADX at 22 or above and the close above the 200-period EMA. It exits when the close falls below the prior 30-bar low or 20 bars after entry.

BreakoutLong onlyIntradayUSD/JPY30 min
n/aProfit factor
154,290Net profit USD
50.60%Win rate
1,259Trades
-128,710Max drawdown
123Avg trade

Best run of 19. USD/JPY, 30 min, spread 1, from run sweeps:2026-10-03-USDJPY-30m-opt.tsv:21.

Entry rules, long

  2. The close is at least 0.5 times the 14-period ATR above that high.
  3. ADX(14) is at least 22.
  4. The close is above the 200-period exponential moving average.

Exit rules

  2. The position closes 20 bars after the entry bar.

Test conditions

PeriodUp to 2026-10-03
InstrumentUSD/JPY, 30 minutes
Spread1 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 tested2026-10-03

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run30 minn/a 1,25950.60154,290 USD-128,710
USD/JPY1 hourn/a 91651.75153,110 USD-116,100
USD/JPY10 minn/a 1,16450.60119,480 USD-106,100
USD/JPY15 minn/a 1,17950.72116,380 USD-88,730
Nikkei 225Dailyn/a 8070.0031,366 USD-6,701
Silver4 hoursn/a 21457.9423,670 USD-8,243
EUR/USDDailyn/a 7948.1023,431 USD-20,878
Silver3 minn/a 1,01646.169,510 USD-4,434
Silver5 minn/a 1,06946.027,553 USD-6,439
Dow JonesDailyn/a 9365.596,701 EUR-3,479
DAX 40Dailyn/a 13160.316,185 EUR-2,643
Dow Jones1 hourn/a 28153.384,585 EUR-3,422
Nasdaq 100Dailyn/a 8850.004,478 EUR-3,215
Nasdaq 1001 hourn/a 89651.234,130 EUR-1,786
Brent Crude4 hoursn/a 12655.563,368 EUR-2,816
GoldDailyn/a 9456.381,502 EUR-809
Gold4 hoursn/a 26750.191,040 EUR-671
Gold5 minn/a 1,20147.29895 EUR-434
Gold3 minn/a 1,13847.54317 EUR-311

Charts

Results by run

Top 10 of 19 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Donchian Breakout With ADX Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE entrybar = -1

dchigh = highest[30](high)[1]
dclow = lowest[30](low)[1]
atrval = AverageTrueRange[14](close)
emaslow = ExponentialAverage[200](close)
adxval = ADX[14]

28 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 ChannelADXATREMA
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 128,710 USD is large next to the net profit of 154,290 USD.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Donchian Breakout With ADX 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 19 market and timeframe combinations. The best run by trade count was USD/JPY, 30 minutes, with 1,259 trades.

How large was the drawdown?

The best run had a maximum drawdown of 128,710 USD at the tested position size, against a net result of 154,290 USD.

Does it trade long, short or both?

It only takes long trades.

Related

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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