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Strategies / Breakout / Linear Regression Channel Breakout

Linear Regression Channel Breakout

The strategy buys when price crosses above a 100-period linear regression line of highs and sells short when it crosses below a 100-period line of lows. Each trade closes when price crosses back through the line that triggered it.

BreakoutLong & shortSwingGold4 hours
n/aProfit factor
1,332Net profit EUR
25.29%Win rate
2,005Trades
-811Max drawdown
0.66Avg trade

Best run of 2. Gold, 4 hours, spread 0.6, from run sweeps:2026-10-12-GOLD-4h-opt.tsv:54.

Entry rules, long

  1. Flat, and the close crosses above the 100-period linear regression line of highs.

Entry rules, short

  1. Flat, and the close crosses below the 100-period linear regression line of lows.

Exit rules

  2. A short closes when the close crosses above the 100-period linear regression line of lows.

Test conditions

PeriodUp to 2026-10-12
InstrumentGold, 4 hours
Spread0.6 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
GoldBest run4 hoursn/a 2,00525.291,332 EUR-811
Brent CrudeDailyn/a 36130.7524,126 EUR-12,854

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Linear Regression Channel Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

lrh = LinearRegression[100](high)
lrl = LinearRegression[100](low)

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

Linear Regression
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 811 EUR is large next to the net profit of 1,332 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 Linear Regression Channel 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 2 market and timeframe combinations. The best run by trade count was Gold, 4 hours, with 2,005 trades.

How large was the drawdown?

The best run had a maximum drawdown of 811 EUR at the tested position size, against a net result of 1,332 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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Big Candle Breakout

Also a breakout strategy.

n/a PF · 4,636 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