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Strategies / Breakout / Gaussian Filter Band Breakout

Gaussian Filter Band Breakout

Buys when a Gaussian-smoothed typical price is rising, the close is above a band built from smoothed true range, and Stochastic RSI %K is above %D. Exits when the close drops back under the band, or on a slope weakness signal while in profit.

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 17. Nasdaq 100, 15 min, spread 3, from run sweeps:2026-10-04-NAS100-15m-opt.tsv:51.

Entry rules, long

  1. The Gaussian-smoothed typical price is higher than on the previous bar.
  3. Stochastic RSI %K (RSI 14, stochastic 14, smoothed over 3 bars) is above %D, its 3-bar average.
  4. A buy is taken only when no long position is open.

Exit rules

  2. The filter slope drops below its 20-bar average minus the 20-bar standard deviation of the slope.
  3. That slope exit applies only while the trade is in profit and the close is below the current or previous upper band.

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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run15 minn/a 3,66622.264,559 EUR-2,925
USD/JPYDailyn/a 25022.00610,060 USD-380,150
USD/JPY4 hoursn/a 64924.96390,030 USD-159,130
USD/JPY30 minn/a 3,45924.20347,130 USD-169,980
USD/JPY1 hourn/a 2,42125.69330,950 USD-234,860
Nikkei 225Dailyn/a 22625.2231,356 USD-8,262
Silver4 hoursn/a 49424.2930,398 USD-14,987
Brent CrudeDailyn/a 8528.2411,228 EUR-5,001
Nasdaq 100Dailyn/a 25827.529,811 EUR-5,245
Dow Jones4 hoursn/a 19428.878,046 EUR-4,389
Nasdaq 1001 hourn/a 2,28224.015,612 EUR-4,042
Nasdaq 1004 hoursn/a 63626.104,980 EUR-2,629
DAX 401 hourn/a 2,04524.113,994 EUR-3,103
GoldDailyn/a 22429.463,142 EUR-809
Gold1 hourn/a 1,96925.602,234 EUR-1,050
Gold4 hoursn/a 51828.381,823 EUR-1,131
S&P 500Dailyn/a 31625.951,346 EUR-867

Charts

Results by run

Top 10 of 17 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

ONCE alpha = 0.0954202818890498
ONCE xx = 0.9045797181109502
ONCE fa = 0
ONCE fb = 0
ONCE fc = 0
ONCE fd = 0
ONCE ta = 0
ONCE tb = 0
ONCE tc = 0
ONCE td = 0
ONCE stoch = 0

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

src = TypicalPrice
filtn = pow(alpha, 4) * src + 4 * xx * fa - 6 * pow(xx, 2) * fb + 4 * pow(xx, 3) * fc - pow(xx, 4) * fd
fd = fc
fc = fb
fb = fa
fa = filtn

filttr = pow(alpha, 4) * truer + 4 * xx * ta - 6 * pow(xx, 2) * tb + 4 * pow(xx, 3) * tc - pow(xx, 4) * td
td = tc
tc = tb
tb = ta
ta = filttr

hband = filtn + filttr * 1.414

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

22 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

SMATrue RangeRSIStochasticStandard Deviation
Read this firstKnown weaknesses3 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.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Gaussian Filter Band 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 17 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