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Strategies / Breakout / Volume Confirmed Box Breakout Bracket

Volume Confirmed Box Breakout Bracket

The strategy buys when close breaks above the prior 20-bar high on above-average volume, and sells short on a break below the prior 20-bar low. Each trade uses a stop at 1.5 times the 14-bar ATR and a target 2 times that distance.

BreakoutLong & shortSwingNasdaq 1001 hour
n/aProfit factor
3,610Net profit EUR
34.15%Win rate
2,404Trades
-3,548Max drawdown
1.50Avg trade

Best run of 4. Nasdaq 100, 1 hour, spread 3, from run sweeps:2026-10-03-NAS100-1h-opt.tsv:25.

Entry rules, long

  2. Volume is above its 20-bar average.

Entry rules, short

  2. Volume is above its 20-bar average.

Exit rules

  2. The target is 2 times that stop distance from the fill price.
  3. An opposite breakout closes the trade and reverses it.

Test conditions

PeriodUp to 2026-10-03
InstrumentNasdaq 100, 1 hour
Spread3 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 tested2026-10-03

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run1 hourn/a 2,40434.153,610 EUR-3,548
Nikkei 225Dailyn/a 12843.7518,492 USD-7,758
Gold4 hoursn/a 1,23636.571,740 EUR-478
GoldDailyn/a 19938.191,379 EUR-549

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volume Confirmed Box Breakout Bracket
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

boxhigh = highest[20](high[1])
boxlow = lowest[20](low[1])
myAtr = AverageTrueRange[14](close)
avgvol = Average[20](volume)

31 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 ChannelATRVolumeSMA
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 3,548 EUR is large next to the net profit of 3,610 EUR.

Questions

About this strategy

Can I run Volume Confirmed Box Breakout Bracket 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 4 market and timeframe combinations. The best run by trade count was Nasdaq 100, 1 hour, with 2,404 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,548 EUR at the tested position size, against a net result of 3,610 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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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