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Strategies / Breakout / Trend Filtered Breakout Short

Trend Filtered Breakout Short

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

BreakoutShort onlySwingGBP/USDDaily
1.88Profit factor
7,397Net profit USD
35.56%Win rate
90Trades
-3,061Max drawdown
82.19Avg trade

Best run of 2. GBP/USD, Daily, spread 1.8, from run pf:2026-10-10-GBPUSD-D.tsv:7.

Entry rules, short

Exit rules

  1. 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
InstrumentGBP/USD, Daily
Spread1.8 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
GBP/USDBest runDaily1.88 9035.567,397 USD-3,061
EUR/USDDaily1.82 9038.895,901 USD-1,899

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Trend Filtered Breakout Short
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Short 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 90 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 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 GBP/USD, Daily, with a profit factor of 1.88 over 90 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,061 USD at the tested position size, against a net result of 7,397 USD.

Does it trade long, short or both?

It only takes short trades.

Related

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Uses the same indicator.

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Color Code Candle Flip

Best run on the same market, GBP/USD.

1.56 PF · 3,285 trades

Morning Range Breakout

Also a breakout strategy.

1.89 PF · 434 trades

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.comStatsDocs