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Strategies / Breakout / Trend Filtered Breakout Long Short

Trend Filtered Breakout Long Short

It buys breakouts above the previous 55 bar high when the close is above its 200 period average, and sells short breakdowns below the 55 bar low when it is below. Exits use the 20 bar channel or the 200 period average.

BreakoutLong & shortSwingEUR/USDDaily
1.54Profit factor
8,763Net profit USD
40.33%Win rate
181Trades
-4,315Max drawdown
48.41Avg trade

Best run of 2. EUR/USD, Daily, spread 1.2, from run pf:2026-10-10-EURUSD-D.tsv:19.

Entry rules, long

  1. The close is above the highest high of the previous 55 bars and above its 200 period simple moving average.

Entry rules, short

  1. The close is below the lowest low of the previous 55 bars and below its 200 period simple moving average.

Exit rules

  2. The close rises above the highest high of the previous 20 bars or above its 200 period simple moving average, closing the short.

Test conditions

PeriodUp to 2026-10-10
InstrumentEUR/USD, Daily
Spread1.2 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
EUR/USDBest runDaily1.54 18140.338,763 USD-4,315
USD/JPYDaily1.75 2532.002,218 USD-2,079

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Trend Filtered Breakout Long Short
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

25 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

Donchian ChannelSMA
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Trend Filtered Breakout Long Short 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 was EUR/USD, Daily, with a profit factor of 1.54 over 181 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,315 USD at the tested position size, against a net result of 8,763 USD.

Does it trade long, short or both?

It trades both long and short.

Related

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Volume Confirmed Breakout

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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