Strategies / Breakout / Fair Value Gap Volume Breakout

Fair Value Gap Volume Breakout

The strategy buys bullish fair value gaps and sells bearish ones when volume is at least 1.2 times its 20-bar average. Trades use a 1.5% stop and a 3% target, and a gap zone is ignored once price trades through its trigger level.

BreakoutLong & shortSwingGoldDaily

1.98Profit factor

1,728Net profit EUR

43.48%Win rate

115Trades

-260Max drawdown

15.03Avg trade

Best run of 13. Gold, Daily, spread 0.6, from run pf:2026-10-13-GOLD-D.tsv:7.

Entry rules, long

The zone is set by a bullish gap whose low is above the 25-bar highest high from 2 bars earlier.
The zone is intact until price trades below the trigger, which rises to the 25-bar midpoint when that is higher.
Volume must be above 1.2 times its 20-bar average, and no long position is open.

Entry rules, short

The zone is set by a bearish gap whose high is below the 25-bar lowest low from 2 bars earlier.
The zone is intact until price trades above the trigger, which falls to the 25-bar midpoint when that is lower.
Volume must be above 1.2 times its 20-bar average, and no short position is open.

Exit rules

Positions close at the stop or target, whichever is hit first.

Test conditions

Period	Up to 2026-10-13
Instrument	Gold, Daily
Spread	0.6 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	2026-10-13

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
GoldBest run	Daily	1.98	115	43.48	1,728 EUR	-260
Nasdaq 100	1 hour	n/a	657	36.83	10,499 EUR	-5,469
Silver	4 hours	n/a	429	37.53	9,838 USD	-5,640
DAX 40	15 min	n/a	1,764	38.72	8,436 EUR	-4,435
Nikkei 225	Daily	n/a	59	40.68	4,677 USD	-2,424
Nasdaq 100	3 min	n/a	1,651	36.95	4,237 EUR	-3,572
Gold	10 min	n/a	1,565	36.17	2,775 EUR	-1,072
Gold	1 hour	n/a	960	37.29	2,113 EUR	-1,074
Gold	4 hours	n/a	380	37.37	1,436 EUR	-515
Gold	5 min	n/a	1,451	37.70	1,415 EUR	-725
Gold	15 min	n/a	1,678	37.31	1,399 EUR	-884
Gold	3 min	n/a	1,500	36.87	983 EUR	-873
S&P 500	Daily	n/a	54	42.59	679 EUR	-431

Charts

Results by run

Top 10 of 13 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Fair Value Gap Volume Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE bullbroken = 0
ONCE bearbroken = 0
ONCE bulltrig = 0
ONCE beartrig = 0
ONCE bullset = 0
ONCE bearset = 0

upper = highest[25](high)
lower = lowest[25](low)
mid = (upper + lower) / 2

43 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 ChannelSMAVolume

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 Fair Value Gap Volume Breakout 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 13 market and timeframe combinations. The best run was Gold, Daily, with a profit factor of 1.98 over 115 trades.

How large was the drawdown?

The best run had a maximum drawdown of 260 EUR at the tested position size, against a net result of 1,728 EUR.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Breakout

Best run on the same market, Gold.

1.08 PF · 6,065 trades

Little Turtle Breakout

Also a breakout strategy.

1.99 PF · 105 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