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Strategies / Breakout / VWAP Lead Line Breakout Long

VWAP Lead Line Breakout Long

Buys when the average of two rolling VWAP lead lines rises, the close is above its upper Bollinger band, and a volume-based trend line confirms. Exits when both lead lines fall.

BreakoutLong onlySwingGold1 hour
1.32Profit factor
3,663Net profit EUR
37.91%Win rate
2,150Trades
-510Max drawdown
1.70Avg trade

Best run of 22. Gold, 1 hour, spread 0.6, from run pf:2026-10-12-GOLD-1h.tsv:6.

Entry rules, long

  1. The slow lead line uses 9- and 13-bar VWAPs, and the fast lead line uses 3- and 7-bar VWAPs.
  2. Both lead lines, built as midpoints of highest and lowest rolling VWAP values, rise compared with the prior bar.
  3. The 20-bar sum of volume times the change in close is above zero and above its 7-period EMA.
  5. Signals are only checked after 60 bars.

Exit rules

  1. Both the slow and fast lead lines fall compared with the prior bar, and the position is sold at market for 1 contract.

Test conditions

PeriodUp to 2026-10-12
InstrumentGold, 1 hour
Spread0.6 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
GoldBest run1 hour1.32 2,15037.913,663 EUR-510
USD/JPY1 hour1.15 2,50438.46771,400 USD-188,320
USD/JPY30 minn/a 3,58736.52465,970 USD-165,040
USD/JPYDailyn/a 8043.75462,280 USD-215,500
Nikkei 225Dailyn/a 5844.8335,090 USD-8,986
Nikkei 2251 hourn/a 1,09638.6916,759 USD-10,976
Nasdaq 100Dailyn/a 5251.9216,265 EUR-3,345
Nikkei 2254 hoursn/a 29938.8015,393 USD-11,972
Nasdaq 1004 hoursn/a 28944.2914,375 EUR-3,615
Dow JonesDailyn/a 4055.0011,607 EUR-3,734
DAX 4030 minn/a 1,52341.309,347 EUR-2,683
Brent CrudeDailyn/a 5052.008,297 EUR-6,792
Nasdaq 10030 minn/a 2,34837.616,720 EUR-4,244
DAX 401 hourn/a 66539.406,585 EUR-2,668
Nasdaq 1001 hourn/a 1,17140.916,511 EUR-5,338
DAX 40Dailyn/a 6147.543,958 EUR-3,928
S&P 500Dailyn/a 4757.453,645 EUR-620
Gold4 hoursn/a 55540.002,550 EUR-1,126
S&P 5004 hoursn/a 30045.002,217 EUR-839
FTSE 100Dailyn/a 5651.792,178 EUR-1,693
GoldDailyn/a 8336.141,876 EUR-997
Gold30 minn/a 3,78534.561,775 EUR-1,161

Charts

Results by run

Top 10 of 22 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// VWAP Lead Line Breakout Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

tpv = TypicalPrice * Volume

vol = summation[9](Volume)

49 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

VWAPIchimokuBollinger BandsEMASMAStandard DeviationVolume
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run VWAP Lead Line Breakout Long 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 22 market and timeframe combinations. The best run was Gold, 1 hour, with a profit factor of 1.32 over 2,150 trades.

How large was the drawdown?

The best run had a maximum drawdown of 510 EUR at the tested position size, against a net result of 3,663 EUR.

Does it trade long, short or both?

It only takes long trades.

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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