Strategies / Breakout / Keltner Dual Breakout SMA Exit

Keltner Dual Breakout SMA Exit

The system buys when close crosses above an upper Keltner band that is also above a slower band, and sells short on the mirror breakout. A long closes when close crosses under the 100-period SMA, and a short closes when it crosses over.

BreakoutLong & shortSwingUSD/JPYDaily

2.48Profit factor

3,147,460Net profit USD

40.88%Win rate

137Trades

-341,500Max drawdown

22,974Avg trade

Best run of 18. USD/JPY, Daily, spread 1, from run pf:2026-10-10-USDJPY-D.tsv:7.

Entry rules, long

Close is above the slower upper band, EMA(100) plus 2 times ATR(10).
A long signal reverses an open short.

Entry rules, short

Close is below the slower lower band, EMA(100) minus 2 times ATR(10).
A short signal reverses an open long.

Exit rules

A short closes when close crosses over the 100-period SMA, if no reversal signal fires that bar.

Test conditions

Period	Up to 2026-10-10
Instrument	USD/JPY, Daily
Spread	1 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	2026-10-10

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	2.48	137	40.88	3,147,460 USD	-341,500
USD/JPY	30 min	n/a	2,143	33.69	475,560 USD	-206,790
USD/JPY	15 min	n/a	2,124	32.63	458,310 USD	-169,190
USD/JPY	10 min	n/a	2,264	30.30	305,080 USD	-146,000
EUR/USD	Daily	n/a	142	41.55	113,977 USD	-55,905
Nikkei 225	Daily	n/a	133	37.59	51,917 USD	-17,105
Silver	4 hours	n/a	347	35.73	30,984 USD	-28,820
Nikkei 225	1 hour	n/a	1,173	31.80	16,988 USD	-9,656
GBP/USD	Daily	n/a	155	36.13	16,922 USD	-4,874
Nikkei 225	3 min	n/a	2,314	30.34	11,117 USD	-7,822
Nikkei 225	2 min	n/a	2,380	28.91	10,855 USD	-7,719
Nasdaq 100	Daily	n/a	129	38.76	9,288 EUR	-4,581
Gold	Daily	n/a	164	34.76	2,260 EUR	-1,262
Gold	30 min	n/a	2,186	33.99	1,674 EUR	-1,145
Gold	15 min	n/a	2,174	29.35	1,357 EUR	-955
Gold	10 min	n/a	2,220	28.38	1,323 EUR	-1,130
Gold	4 hours	n/a	369	33.06	1,315 EUR	-847
Gold	5 min	n/a	2,178	29.29	1,046 EUR	-783

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

// ==============================================================
// Keltner Dual Breakout SMA Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myAtr = AverageTrueRange[10](close)
basef = ExponentialAverage[20](close)
upf = basef + 2.0 * myAtr
lof = basef - 2.0 * myAtr
bases = ExponentialAverage[100](close)
ups = bases + 2.0 * myAtr
los = bases - 2.0 * myAtr
ma = Average[100](close)

19 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

Keltner ChannelEMAATRSMA

Longer historyRe-run on up to 1,000,000 barsUSD/JPY · Daily · older data 10.00 USD

USD/JPY had no history beyond the standard run, so both runs used 12,000 bars.

USD/JPY · Daily

Bars available	12,000
Net, standard 200,000-bar run	3,147,460.00 USD
Net, long run	3,147,470.00 USD
Net on the older data alone	10.00 USD

Read this firstKnown weaknesses2 points

The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Keltner Dual Breakout SMA Exit 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 was USD/JPY, Daily, with a profit factor of 2.48 over 137 trades.

How large was the drawdown?

The best run had a maximum drawdown of 341,500 USD at the tested position size, against a net result of 3,147,460 USD.

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

EMA 8 21 RSI Filtered Bracket

Best run on the same market, USD/JPY.

1.09 PF · 6,194 trades

Two-Day Range Midline Cross

Also a breakout strategy.

2.52 PF · 114 trades

Put your name on the ProRealAlgos waitlist to trade a tested portfolio instead of single strategies.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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