The books... not free though
The idea is to buy a failed breakdown. When the 20 bar low sets a new low but the bar closes up, stays narrow and ends above SuperTrend(1.5, 18), the system goes long. It uses an 80 point stop and a 150 point target.
Best run of 32. S&P 500, 1 hour, spread 1, from run pf:2026-09-26-USA500-1h.tsv:1.
| Period | Up to 2026-09-26 |
| Instrument | S&P 500, 1 hour |
| Spread | 1 points |
| Contracts | 1 |
| 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 | 2026-09-26 |
| positionSize Contracts per trade | 1 |
| stopLossPoints Protective stop | 80 |
| takeProfitPoints Profit target | 150 |
| channelPeriod Bars for the channel high and low | 20 |
| superTrendMultiplier SuperTrend ATR multiplier | 1.5 |
| superTrendPeriod SuperTrend ATR length | 18 |
| maxRangeRatio Signal bar range must be under this share of the channel | 0.5 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| S&P 500Best run | 1 hour | 1.65 | 154 | 46.75 | 4,240 EUR | -720 |
| DAX 40 | 30 min | 1.24 | 600 | 40.50 | 7,070 EUR | -1,175 |
| USD/JPY | 10 min | n/a | 306 | 42.48 | 542,000 JPY | -184,280 |
| USD/JPY | 15 min | n/a | 293 | 40.61 | 390,400 JPY | -182,130 |
| USD/JPY | 1 hour | n/a | 242 | 39.67 | 271,270 JPY | -104,250 |
| USD/JPY | 2 min | n/a | 94 | 44.68 | 199,930 JPY | -49,800 |
| USD/JPY | 3 min | n/a | 151 | 38.41 | 126,000 JPY | -123,650 |
| EUR/USD | 4 hours | n/a | 88 | 42.05 | 14,520 USD | -5,774 |
| Silver | 10 min | n/a | 215 | 39.07 | 10,600 USD | -4,732 |
| Silver | 15 min | n/a | 221 | 38.01 | 8,200 USD | -5,276 |
| Dow Jones | 10 min | n/a | 677 | 37.96 | 4,877 EUR | -1,750 |
| DAX 40 | 15 min | n/a | 566 | 37.81 | 3,890 EUR | -2,092 |
| US Crude Oil | 30 min | n/a | 521 | 38.20 | 3,799 EUR | -1,706 |
| Gold | 15 min | n/a | 93 | 48.39 | 2,898 EUR | -785 |
| Dow Jones | 30 min | n/a | 313 | 38.98 | 2,888 EUR | -1,130 |
| Nasdaq 100 | 30 min | n/a | 489 | 37.63 | 2,863 EUR | -1,365 |
| Gold | 1 hour | n/a | 70 | 51.43 | 2,680 EUR | -800 |
| S&P 500 | 15 min | n/a | 203 | 40.39 | 2,563 EUR | -862 |
| Gold | 10 min | n/a | 91 | 47.25 | 2,485 EUR | -574 |
| Gold | 30 min | n/a | 96 | 45.83 | 2,440 EUR | -717 |
| S&P 500 | 5 min | n/a | 128 | 42.97 | 2,313 EUR | -877 |
| S&P 500 | 4 hours | n/a | 72 | 48.61 | 2,290 EUR | -674 |
| S&P 500 | 30 min | n/a | 201 | 39.80 | 2,052 EUR | -1,090 |
| Nasdaq 100 | 1 hour | n/a | 290 | 37.93 | 1,883 EUR | -1,126 |
| FTSE 100 | 2 min | n/a | 116 | 41.38 | 1,700 EUR | -652 |
| Gold | 5 min | n/a | 91 | 42.86 | 1,529 EUR | -938 |
| S&P 500 | 10 min | n/a | 174 | 38.51 | 1,444 EUR | -1,254 |
| FTSE 100 | 5 min | n/a | 165 | 38.79 | 1,426 EUR | -1,037 |
| GBP/USD | 3 min | n/a | 89 | 40.45 | 1,207 USD | -582 |
| S&P 500 | 1 min | n/a | 34 | 47.06 | 862 EUR | -430 |
| S&P 500 | Daily | n/a | 41 | 43.90 | 860 EUR | -562 |
| Gold | 4 hours | n/a | 44 | 43.18 | 850 EUR | -809 |
Charts
Top 10 of 32 runs. The full list is in the table above.
Above 1.0 made money, below 1.0 lost money.
The code
// ============================================================ // False Breakout SuperTrend // ProRealAlgos Strategy Library | prorealalgos.com // Type: Pattern // Direction: Long only // Timeframe tested: 1 hour // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade stopLossPoints = 80 // protective stop takeProfitPoints = 150 // profit target channelPeriod = 20 // bars for the channel high and low superTrendMultiplier = 1.5 // SuperTrend ATR multiplier superTrendPeriod = 18 // SuperTrend ATR length maxRangeRatio = 0.5 // signal bar range must be under this share of the channel // --- Indicators --- channelHigh = Highest[channelPeriod](high) channelLow = Lowest[channelPeriod](low) superTrendValue = SuperTrend[superTrendMultiplier, superTrendPeriod] smallBar = (high - low) / (channelHigh - channelLow) < maxRangeRatio
12 more lines: the entry and exit rules.
Setup
Questions
Yes, it runs as an automated long only system with a fixed stop and target at 1 contract.
Every market and timeframe row was profitable, including DAX 40 30 minutes (profit factor 1.24), USD/JPY on five timeframes, Silver and the Dow Jones. Gold 4 hours was the smallest winner at 850 EUR.
On S&P 500 1 hour the worst drawdown was 720.25 EUR. The average trade was 27.53 EUR.
S&P 500 1 hour gave the best profit factor, 1.65, over 154 trades. DAX 40 30 minutes, the only other row with a recorded profit factor, reached 1.24.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
