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Strategies / Breakout / Trend Filtered Channel Breakout

Trend Filtered Channel Breakout

Buys when the close breaks above the prior 20-bar high while above the 200-period average, and sells short on the mirror breakdown. Each trade has a stop 2.0 times the 20-period average true range, and an opposite signal reverses it.

BreakoutLong & shortSwingUSD/JPYDaily
11.38Profit factor
1,624,450Net profit USD
2.85%Win rate
772Trades
-185,520Max drawdown
2,104Avg trade

Best run of 7. USD/JPY, Daily, spread 1, from run pf:2026-10-04-USDJPY-D.tsv:6.

Entry rules, long

  2. The close is above the 200-period SMA.

Entry rules, short

  2. The close is below the 200-period SMA.

Exit rules

  2. A long closes when the close falls below the lowest low of the prior 20 bars.
  3. A short closes when the close rises above the highest high of the prior 20 bars.
  4. Each trade has a stop 2.0 times the 20-period average true range from the entry price.

Test conditions

PeriodUp to 2026-10-04
InstrumentUSD/JPY, Daily
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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDaily11.38 7722.851,624,450 USD-185,520
Nikkei 225Dailyn/a 24232.2334,027 USD-21,728
US Crude OilDailyn/a 23831.0911,074 EUR-6,952
Nasdaq 100Dailyn/a 23630.517,525 EUR-6,318
GoldDailyn/a 26232.062,849 EUR-850
Gold4 hoursn/a 61929.561,201 EUR-811
Gold1 hourn/a 2,46926.931,087 EUR-1,008

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

entryhigh = highest[20](high)[1]
entrylow = lowest[20](low)[1]
exithigh = highest[20](high)[1]
exitlow = lowest[20](low)[1]
myAtr = Average[20](TR(close))
trendsma = Average[200](close)
stopdist = myAtr * 2.0

26 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 ChannelSMATrue Range
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 available12,000
Net, standard 200,000-bar run1,624,450.00 USD
Net, long run1,624,450.00 USD
Net on the older data alone0.00 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 Trend Filtered Channel 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 7 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 11.38 over 772 trades.

How large was the drawdown?

The best run had a maximum drawdown of 185,520 USD at the tested position size, against a net result of 1,624,450 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