Strategies / Breakout / RSI Range Compression Breakout

RSI Range Compression Breakout

The idea buys when RSI(14) breaks above its prior 20-bar high after its range has compressed, with EMA(50) above its value 5 bars earlier and ADX(14) at or above 15. It sells short on the mirror-image break below its 20-bar low.

BreakoutLong & shortSwingUSD/JPYDaily

4.80Profit factor

172,490Net profit USD

20.23%Win rate

257Trades

-35,550Max drawdown

671Avg trade

Best run of 4. USD/JPY, Daily, spread 1, from run pf:2026-10-04-USDJPY-D.tsv:2.

Entry rules, long

EMA[50] is above its value 5 bars earlier and ADX[14] is at or above 15
Buys 1 contract at market when flat, with a stop 2 times ATR[14] from the fill; the long target formula is (close minus stop distance) times 2

Entry rules, short

EMA[50] is below its value 5 bars earlier and ADX[14] is at or above 15
Sells 1 contract short at market when flat, with a stop 2 times ATR[14] from the fill and a target at 2 times the stop distance

Exit rules

Entries are blocked while a trade is open, so only one position is held

Test conditions

Period	Up to 2026-10-04
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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	4.80	257	20.23	172,490 USD	-35,550
Silver	4 hours	n/a	393	36.90	11,438 USD	-7,196
FTSE 100	Daily	n/a	1	100.00	9,254 EUR	-3,643
DAX 40	4 hours	n/a	360	33.33	5,436 EUR	-2,588

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// RSI Range Compression Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE bss = 100000

myRsi = RSI[14](close)
rsihigh = highest[20](myRsi)
rsilow = lowest[20](myRsi)
rsirange = rsihigh - rsilow

ema = ExponentialAverage[50](close)

40 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

RSIEMAADXATR

Longer historyRe-run on up to 1,000,000 barsUSD/JPY · Daily · older data 0.00 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	172,490.00 USD
Net, long run	172,490.00 USD
Net on the older data alone	0.00 USD

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run RSI Range Compression 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 4 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 4.80 over 257 trades.

How large was the drawdown?

The best run had a maximum drawdown of 35,550 USD at the tested position size, against a net result of 172,490 USD.

Does it trade long, short or both?

It trades both long and short.

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See how ProRealAlgos combines strategies like this into one automated portfolio.

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