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Strategies / Breakout / Quantile Trigger Band Breakout

Quantile Trigger Band Breakout

Buys when the close rises above a trigger line, the 95% quantile of the last 20 closes minus the 20-bar standard deviation of closes. The long is closed when the close falls to or below that trigger.

BreakoutLong onlySwingDAX 404 hours
1.19Profit factor
13,332Net profit EUR
31.16%Win rate
1,643Trades
-3,230Max drawdown
8.11Avg trade

Best run of 13. DAX 40, 4 hours, spread 3, from run pf:2026-10-13-DAX40-4h.tsv:5.

Entry rules, long

  1. The trigger is the 95% quantile of the last 20 closes, including the current bar, minus the 20-bar standard deviation of closes.

Exit rules

  1. The long is closed at market when the close is at or below the trigger.

Test conditions

PeriodUp to 2026-10-13
InstrumentDAX 40, 4 hours
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 tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
DAX 40Best run4 hours1.19 1,64331.1613,332 EUR-3,230
Nikkei 225Dailyn/a 65631.8636,831 USD-15,637
SilverDailyn/a 65826.2931,297 USD-25,328
Nikkei 2254 hoursn/a 1,41329.1623,990 USD-9,849
Dow JonesDailyn/a 84932.6319,112 EUR-6,059
Nasdaq 100Dailyn/a 63930.6713,466 EUR-4,603
Nasdaq 1004 hoursn/a 1,62331.1211,903 EUR-4,131
DAX 40Dailyn/a 82332.936,692 EUR-4,591
US Crude Oil4 hoursn/a 1,20930.366,076 EUR-4,293
GoldDailyn/a 75028.672,653 EUR-1,044
Gold4 hoursn/a 1,66328.922,141 EUR-1,630
S&P 500Dailyn/a 87530.742,115 EUR-974
S&P 5004 hoursn/a 1,70230.381,413 EUR-784

Charts

Results by run

Top 10 of 13 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Quantile Trigger Band Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

stdev = STD[20](close)

top = highest[20](close)
cnt = 0
second = 0
found = 0
FOR myI = 0 TO 19 DO
    IF close[myI] = top THEN
        cnt = cnt + 1

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

Standard Deviation
Read this firstKnown weaknesses2 points
  • A profit factor of 1.19 leaves little room for costs beyond the spread.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Quantile Trigger 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 13 market and timeframe combinations. The best run was DAX 40, 4 hours, with a profit factor of 1.19 over 1,643 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,230 EUR at the tested position size, against a net result of 13,332 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