Strategies / Breakout / Previous Day Breakout

Previous Day Breakout Strategy

When price closes above the previous day high, the system goes long, and below the previous day low it goes short. It exits when price closes back through the middle of the previous day range, or at a 1% stop. Only one position is open at a time.

BreakoutLong & shortIntradayGold30 min

1.08Profit factor

1,594Net profit EUR

31.37%Win rate

3,742Trades

-963Max drawdown

0.43Avg trade

Best run of 16. Gold, 30 min, spread 0.6, from run pf:2026-09-15-GOLD-30m.tsv:3.

Entry rules, long

Members only
No position is open

Entry rules, short

Members only
No position is open

Exit rules

Stop loss 1% from entry
Members only
Close a short when price closes above the middle of the previous day's range

Test conditions

Period	Up to 2026-09-15
Instrument	Gold, 30 minutes
Spread	0.6 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	2026-09-15

Parameters

positionSize Contracts per trade	1
stopLossPct Protective stop, percent	1

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
GoldBest run	30 min	1.08	3,742	31.37	1,594 EUR	-963
DAX 40	1 hour	1.05	4,036	32.90	7,921 EUR	-7,129
DAX 40	30 min	n/a	4,004	30.72	6,913 EUR	-7,185
Nasdaq 100	15 min	n/a	1,883	31.12	4,378 EUR	-6,029
Nasdaq 100	5 min	n/a	673	31.50	2,690 EUR	-5,634
DAX 40	15 min	n/a	2,286	28.08	763 EUR	-7,442
Gold	5 min	n/a	801	28.59	594 EUR	-693
Gold	1 hour	n/a	3,922	31.87	535 EUR	-920
Gold	15 min	n/a	2,098	28.27	311 EUR	-1,059
S&P 500	15 min	n/a	1,855	31.91	-311 EUR	-1,678
S&P 500	5 min	n/a	691	29.96	-422 EUR	-1,744
DAX 40	5 min	n/a	932	25.54	-1,415 EUR	-5,577
S&P 500	30 min	n/a	3,529	32.22	-1,926 EUR	-2,886
Nasdaq 100	30 min	n/a	3,637	31.65	-2,040 EUR	-7,283
S&P 500	1 hour	n/a	4,022	31.53	-3,361 EUR	-3,589
Nasdaq 100	1 hour	n/a	4,126	29.96	-7,484 EUR	-10,644

Charts

Results by run

Profit factor by run

Above 1.0 made money, below 1.0 lost money.

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.

// ============================================================
// Previous Day Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 30 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1     // contracts per trade
stopLossPct = 1      // protective stop, percent of entry price

// --- Indicators ---
prevDayHigh = DHigh(1)
prevDayLow = DLow(1)
prevDayMid = (prevDayHigh + prevDayLow) / 2

26 more lines: the entry and exit rules.

Read this first

Known weaknesses

Profit factor on the best run is just 1.08, with an average trade of EUR 0.43 across 3,742 trades.
The win rate is 31.37%, and every tested run stayed near or below 33%.
Seven of the fifteen market runs lost money, including Nasdaq 100 1 hour at EUR -7,484.20.
Several profitable runs had drawdowns close to or above their profit, such as DAX 40 30 minutes (EUR 7,185.40 drawdown, EUR 6,913.00 profit).

How to load it

Copy the code with the copy button above 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.

Questions

About this strategy

Does it work in ProOrder?

Yes. It is a simple intraday system trading 1 contract with a 1% stop.

Which markets were tested?

Gold 30 minutes led with EUR 1,593.60 and profit factor 1.08. DAX 40 1 hour made EUR 7,921.20, while S&P 500 lost on every timeframe tested.

What drawdown should I plan for?

On Gold 30 minutes the max drawdown was EUR 963.10 at 1 contract. DAX 40 and Nasdaq 100 runs went much deeper.

Why 30 minute bars?

They confirm a break of the previous day level without waiting too long. Faster Gold charts made less and slower DAX 40 charts had bigger swings.

Triple Band Market Model

Best run on the same market, Gold.

2.27 PF · 203 trades

CCI Breakout

A similar profit factor.

1.08 PF · 6,065 trades

Breakout Regime Filter

Also a breakout strategy.

6.28 PF · 70 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.com Stats Docs