The books... not free though
A long-only breakout that buys when the bar's high tops the highest close of the last 2 bars. It exits on a stop of 6 price units or after 21 bars in the trade. It was tested on daily charts of indices, oil and Gold, plus Gold 4 hours.
Best run of 5. Dow Jones, Daily, spread 3, from run pf:2026-09-24-DOW30-D.tsv:2.
| Period | Up to 2026-09-25 |
| Instrument | Dow Jones, Daily |
| Spread | 3 points |
| Contracts | 1 |
| Starting capital | 1,000,000 |
| Costs | Spread only. Commissions and overnight financing are not included. |
| Bars | Up to 200,000 bars, fewer where the instrument has less history |
| Last tested | 2026-09-25 |
| positionSize Contracts per trade | 1 |
| channelPeriod Bars for the highest close | 2 |
| maxBarsInTrade Time exit bar count | 20.8 |
| pyramidDistance Add-on distance above entry | 5 |
| stopLossDistance Protective stop in price units | 6 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| Dow JonesBest run | Daily | 2.42 | 6,324 | 3.56 | 52,367 EUR | -6,958 |
| Brent Crude | Daily | n/a | 3,335 | 1.32 | 13,153 EUR | -6,372 |
| S&P 500 | Daily | n/a | 2,932 | 12.24 | 2,923 EUR | -954 |
| Gold | Daily | n/a | 2,288 | 13.81 | 2,684 EUR | -1,233 |
| Gold | 4 hours | n/a | 4,585 | 17.73 | 2,124 EUR | -1,509 |
Charts
The code
// ============================================================ // Turtle Trade // ProRealAlgos Strategy Library | prorealalgos.com // Type: Breakout // Direction: Long only // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade channelPeriod = 2 // bars for the highest close maxBarsInTrade = 20.8 // time exit, fires once 21 bars in the trade are counted pyramidDistance = 5 // add-on distance above entry, in price units stopLossDistance = 6 // protective stop, in price units ONCE barsInTrade = 0 // --- Indicators --- channelHigh = Highest[channelPeriod](close)
24 more lines: the entry and exit rules.
Setup
Questions
Yes. An add-on leg exists in the code but stays inactive because orders do not accumulate. The rewritten code was not compile-checked, so backtest it first.
All four other runs were positive. Brent Crude daily made EUR 13,152.6, while S&P 500 daily made EUR 2,922.5 and Gold daily EUR 2,683.8.
The Dow Jones daily best run had a max drawdown of EUR 6,957.7 against EUR 52,366.8 net profit over 6,324 trades.
The 21 bar time exit is meant to hold for about a month on daily charts, which gave the best result.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
