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Strategies / Breakout / Gaussian Channel Stochastic RSI Breakout

Gaussian Channel Stochastic RSI Breakout

The strategy buys when a Gaussian-filtered midline is rising, close is above the upper band and the Stochastic RSI %K is above %D. It exits when close crosses back under the upper band.

BreakoutLong onlyIntradayNasdaq 10015 min
n/aProfit factor
4,559Net profit EUR
22.26%Win rate
3,666Trades
-2,925Max drawdown
1.24Avg trade

Best run of 18. Nasdaq 100, 15 min, spread 3, from run sweeps:2026-10-04-NAS100-15m-opt.tsv:56.

Entry rules, long

  1. The Gaussian filter of the typical price, with 4-pole smoothing, is higher than on the prior bar.
  3. The Stochastic RSI %K, using RSI(14) over a 14-bar range, is above its %D line, both smoothed with 3-bar averages.
  4. Entries are only taken after the first 300 bars and when no long position is open.

Exit rules

  2. There is no stop loss or profit target.

Test conditions

PeriodUp to 2026-10-04
InstrumentNasdaq 100, 15 minutes
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 tested2026-10-07

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run15 minn/a 3,66622.264,559 EUR-2,925
USD/JPYDailyn/a 24922.09654,560 USD-380,150
USD/JPY4 hoursn/a 64525.12382,030 USD-159,130
USD/JPY30 minn/a 3,46424.19344,600 USD-169,980
USD/JPY1 hourn/a 2,41925.75338,770 USD-234,860
Silver4 hoursn/a 49324.1430,463 USD-14,987
Nikkei 225Dailyn/a 22524.4429,302 USD-8,262
Nasdaq 100Dailyn/a 25527.069,781 EUR-5,245
Dow Jones4 hoursn/a 19228.127,759 EUR-4,389
GBP/USDDailyn/a 24528.165,712 USD-5,661
Nasdaq 1001 hourn/a 2,27924.005,639 EUR-4,042
Brent CrudeDailyn/a 8326.515,476 EUR-5,001
Nasdaq 1004 hoursn/a 63426.185,075 EUR-2,629
DAX 401 hourn/a 2,04624.103,896 EUR-3,217
GoldDailyn/a 22329.603,157 EUR-809
Gold1 hourn/a 1,96125.552,198 EUR-1,050
Gold4 hoursn/a 51528.161,778 EUR-1,131
S&P 500Dailyn/a 31225.961,341 EUR-867

Charts

Results by run

Top 10 of 18 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Gaussian Channel Stochastic RSI Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE fa = 0
ONCE fb = 0
ONCE fc = 0
ONCE fd = 0
ONCE ga = 0
ONCE gb = 0
ONCE gc = 0
ONCE gd = 0
ONCE raw = 0

alpha = 0.0954202818890498
myX = 1 - alpha
coa = pow(alpha, 4)

IF BarIndex = 0 THEN
    trv = high - low
ELSE
    trv = max(high - low, max(abs(high - close[1]), abs(low - close[1])))
ENDIF

filt = coa * TypicalPrice + 4 * myX * fa - 6 * pow(myX, 2) * fb + 4 * pow(myX, 3) * fc - pow(myX, 4) * fd
fd = fc
fc = fb
fb = fa
fa = filt

filttr = coa * trv + 4 * myX * ga - 6 * pow(myX, 2) * gb + 4 * pow(myX, 3) * gc - pow(myX, 4) * gd
gd = gc
gc = gb
gb = ga
ga = filttr

hband = filt + filttr * 1.414

myRsi = RSI[14](close)
rsihi = highest[14](myRsi)
rsilo = lowest[14](myRsi)

17 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

True RangeRSIStochastic
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 2,925 EUR is large next to the net profit of 4,559 EUR.

Questions

About this strategy

Can I run Gaussian Channel Stochastic RSI 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 18 market and timeframe combinations. The best run by trade count was Nasdaq 100, 15 minutes, with 3,666 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,925 EUR at the tested position size, against a net result of 4,559 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