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Strategies / Breakout / Turtle Breakout With RSI Filter

Turtle Breakout With RSI Filter

The system buys on a break above the prior 20-bar high when the close is above the 50-period EMA, RSI(14) is above 50 and ATR exceeds its 20-bar average. Shorts mirror these rules, with a stop 1.5 times the 14-period ATR from entry.

BreakoutLong & shortSwingUSD/JPYDaily
12.47Profit factor
1,540,180Net profit USD
2.66%Win rate
789Trades
-125,330Max drawdown
1,952Avg trade

Best run of 5. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:34.

Entry rules, long

  2. The close is above the 50-period EMA.
  3. RSI(14) is above 50.
  4. The 14-period ATR is above its 20-bar simple average.

Entry rules, short

  2. The close is below the 50-period EMA.
  3. RSI(14) is below 50.
  4. The 14-period ATR is above its 20-bar simple average.

Exit rules

  1. The stop loss is set 1.5 times the 14-period ATR from the entry price.
  3. A short closes when the close rises above the prior 10-bar highest high.

Test conditions

PeriodUp to 2026-10-12
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDaily12.47 7892.661,540,180 USD-125,330
Nikkei 225Dailyn/a 27832.0126,360 USD-9,017
Brent CrudeDailyn/a 12334.1516,497 EUR-6,901
US Crude OilDailyn/a 27532.368,422 EUR-6,909
DAX 401 hourn/a 3,08529.114,564 EUR-3,839

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Turtle Breakout With RSI Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

hh = highest[20](high)
ll = lowest[20](low)
exitlong = lowest[10](low)
myExitshort = highest[10](high)
myAtr = AverageTrueRange[14](close)
atrsma = Average[20](myAtr)
ema = ExponentialAverage[50](close)
myRsi = RSI[14](close)

21 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 ChannelATREMARSISMA
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 Turtle Breakout With RSI 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 5 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 12.47 over 789 trades.

How large was the drawdown?

The best run had a maximum drawdown of 125,330 USD at the tested position size, against a net result of 1,540,180 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