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Strategies / Breakout / Trend Filtered Breakout Long

Trend Filtered Breakout Long

It buys when the close breaks above the highest high of the previous 55 bars and is above its 200 period average. It sells when the close falls below the lowest low of the previous 20 bars or below that average.

BreakoutLong onlySwingGoldDaily
2.14Profit factor
20,917Net profit EUR
40.40%Win rate
99Trades
-10,058Max drawdown
211Avg trade

Best run of 3. Gold, Daily, spread 0.6, from run pf:2026-10-11-GOLD-D.tsv:5.

Entry rules, long

Exit rules

  1. The close falls below the lowest low of the previous 20 bars or below its 200 period simple moving average, closing the long.

Test conditions

PeriodUp to 2026-10-11
InstrumentGold, Daily
Spread0.6 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
GoldBest runDaily2.14 9940.4020,917 EUR-10,058
USD/JPYDaily3.69 1136.361,978 USD-936
Brent CrudeDaily1.60 3933.336,796 EUR-4,864

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false
ONCE capital = 10000

19 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 best run has only 99 trades, which is a small sample to judge it on.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Trend Filtered Breakout Long 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 3 market and timeframe combinations. The best run was Gold, Daily, with a profit factor of 2.14 over 99 trades.

How large was the drawdown?

The best run had a maximum drawdown of 10,058 EUR at the tested position size, against a net result of 20,917 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Breakout

Best run on the same market, Gold.

1.08 PF · 6,065 trades

Alternating Donchian Breakout With EMA Filter

Also a breakout strategy.

2.15 PF · 129 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