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Strategies / Breakout / Structure Breakout With Volume Filter

Structure Breakout With Volume Filter

Buys when the close breaks above the prior 10-bar high with RSI(14) above 55, an uptrend EMA alignment and volume 1.5 times its 20-bar average. Sells short on the mirror setup, and each trade has a 1.2% stop and a 2.0% target.

BreakoutLong & shortIntradayUSD/JPY15 min
1.17Profit factor
665,780Net profit USD
37.08%Win rate
1,378Trades
-152,310Max drawdown
483Avg trade

Best run of 23. USD/JPY, 15 min, spread 1, from run pf:2026-10-10-USDJPY-15m.tsv:1.

Entry rules, long

  1. The 21-period EMA is above the 50-period EMA, and the close is above the 21-period EMA.
  2. RSI(14) is above 55.
  4. Volume is above 1.5 times its 20-bar simple average.

Entry rules, short

  1. The 21-period EMA is below the 50-period EMA, and the close is below the 21-period EMA.
  2. RSI(14) is below 45.
  4. Volume is above 1.5 times its 20-bar simple average.

Exit rules

  2. Each trade has a stop 1.2% and a target 2.0% from the entry price.

Test conditions

PeriodUp to 2026-10-10
InstrumentUSD/JPY, 15 minutes
Spread1 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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run15 min1.17 1,37837.08665,780 USD-152,310
USD/JPY30 minn/a 1,59336.79438,310 USD-299,510
EUR/USDDailyn/a 6349.2128,449 USD-9,801
Nikkei 2252 minn/a 1,65336.5427,542 USD-8,462
Nikkei 2253 minn/a 1,70536.9516,269 USD-8,347
Nikkei 2251 minn/a 1,62235.2010,626 USD-8,343
Nasdaq 1001 hourn/a 1,05738.699,274 EUR-4,366
Nasdaq 1004 hoursn/a 49741.258,069 EUR-3,864
Silver4 hoursn/a 76738.076,963 USD-4,948
Nikkei 225Dailyn/a 7644.746,217 USD-2,110
Nasdaq 10030 minn/a 1,76636.306,125 EUR-4,796
Nasdaq 10015 minn/a 2,33236.756,012 EUR-4,368
US Crude Oil30 minn/a 3,75537.105,385 EUR-4,551
Nasdaq 1002 minn/a 1,63035.644,479 EUR-3,898
Gold30 minn/a 2,02436.962,382 EUR-792
Gold5 minn/a 1,22236.422,141 EUR-743
Gold10 minn/a 1,46037.741,458 EUR-834
Gold3 minn/a 1,22836.071,195 EUR-756
Brent CrudeDailyn/a 9741.241,133 EUR-630
Gold1 hourn/a 1,18636.76856 EUR-661
Gold4 hoursn/a 55938.28670 EUR-473
S&P 500Dailyn/a 5547.27551 EUR-404
GoldDailyn/a 9348.39509 EUR-367

Charts

Results by run

Top 10 of 23 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Structure Breakout With Volume Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

emafast = ExponentialAverage[21](close)
emaslow = ExponentialAverage[50](close)
myRsi = RSI[14](close)
volma = Average[20](volume)

18 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

EMARSISMAVolume
Read this firstKnown weaknesses2 points
  • A profit factor of 1.17 leaves little room for costs beyond the spread.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Structure Breakout With Volume Filter 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 23 market and timeframe combinations. The best run was USD/JPY, 15 minutes, with a profit factor of 1.17 over 1,378 trades.

How large was the drawdown?

The best run had a maximum drawdown of 152,310 USD at the tested position size, against a net result of 665,780 USD.

Does it trade long, short or both?

It trades both long and short.

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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