| <p align="center"><img src="docs/images/logo.png" alt="Prior Day Breakout logo" width="120"></p>
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| # Prior Day Breakout (MetaTrader 5 and MetaTrader 4)
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| A free Expert Advisor that trades the **previous-day high/low breakout** on **XAUEUR**: on a closed bar, the first close
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| above yesterday's high is a buy, the first close below yesterday's low is a sell, once per side per day, with the stop at
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| the other side of yesterday's range and a fixed target. Fixed 0.01 lot. Source for both editions, a Python statement of
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| the rule, the tests, and the honest backtest evidence, which is **thin**.
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| **Website:** [allanninal.dev/mql5 (Expert Advisors)](https://www.allanninal.dev/mql5/#eas) · [MT4 editions](https://www.allanninal.dev/mql5/#mt4) · [allanninal.dev](https://www.allanninal.dev)
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| · **Contact:** message me on [LinkedIn](https://www.linkedin.com/in/allanninal/).
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| 
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| > This EA promises no profit. Every number here is a backtest on broker history, not live trading, and the evidence is
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| > weak (see [What the backtest does and does not show](#what-the-backtest-does-and-does-not-show)).
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|
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| ## Get it on the MQL5 Market
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| | Edition | Platform | Price | Link |
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| |---|---|---|---|
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| | Prior Day Breakout | MT5 | free | <https://www.mql5.com/en/market/product/201959> |
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| | Prior Day Breakout MT4 | MT4 | free | MT4 edition: coming soon on the MQL5 Market |
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| | Prior Day Breakout Pro | MT5 | paid | <https://www.mql5.com/en/market/product/201963> |
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| | Prior Day Breakout Pro MT4 | MT4 | paid | MT4 edition: coming soon on the MQL5 Market |
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| The Market builds are the same code as the source in this repository. The Pro edition is a separate, paid product that is
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| **not** part of this repository (see [Free vs Pro](#free-vs-pro)).
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|
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| ## Contents
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| 1. [What it is and who it is for](#what-it-is-and-who-it-is-for)
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| 2. [Why it was built](#why-it-was-built)
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| 3. [How it works](#how-it-works)
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| 4. [What the backtest does and does not show](#what-the-backtest-does-and-does-not-show)
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| 5. [How it was tested](#how-it-was-tested)
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| 6. [Architecture](#architecture)
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| 7. [Inputs, presets, install and compile](#inputs-presets-install-and-compile)
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| 8. [Run the Python reference and the tests](#run-the-python-reference-and-the-tests)
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| 9. [Honest limits](#honest-limits)
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| 10. [Free vs Pro](#free-vs-pro)
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| 11. [Licence](#licence)
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|
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| ## What it is and who it is for
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| **What:** a mechanical, once-a-day breakout rule. Levels are the high and low of the previous trading day. A buy needs a
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| bar to close above the high, a sell a close below the low. The EA sends a market order at the next bar's open, puts the
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| stop at the other side of yesterday's range, the target at a fixed multiple of that distance (R), and closes whatever is
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| open at 23:00 server time. One position at a time. The panel shows the rule, the preset status, the levels, the last signal
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| and the open position.
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| **Live safety gate:** live, the EA opens orders only on the two **validated presets** (XAUEUR H1 with target 2 R, XAUEUR M15
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| with target 1 R). On any other symbol, timeframe or target the panel reads "not validated" and no orders are sent. The
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| Strategy Tester accepts any symbol, so the MQL5 Market validator can run it.
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| **For:** traders who want this exact rule automated and are willing to read the evidence below first. Also for developers
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| who want a small, tested EA example with a Python statement of its rule.
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| **Not for:** anyone looking for a proven edge. There is none shown here.
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| | | |
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| |---|---|
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| |  |  |
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| |  |  |
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| Image notes: the charts and equity curves are drawn from broker history and the Strategy Tester trade lists by a script, and
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| the input screens are generated from the `.set` values; they are illustrations, not terminal captures. MT4 versions are in
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| [`docs/images/mt4/`](docs/images/mt4).
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|
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| ## Why it was built
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| The motivations, stated with the evidence we actually have:
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| - **It came out of a screen, not out of a belief.** The rule was one of the combinations in a pre-registered strategy
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| screen (37 symbols, several timeframes, in-sample 2020-01 to 2023-06, out-of-sample 2023-07 to 2026-10). It was the only
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| combination that passed both the Python backtest and the MetaTrader 5 Strategy Tester, so the EA ships for that symbol
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| and those timeframes only.
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| - **Weak demand, stated plainly.** No demand research backs this specific rule. Breakout EAs are plentiful on the MQL5
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| Market, and this one exists because it passed the gates, not because buyers asked for it. It is a free, transparent
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| reference implementation.
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| - **Provable behaviour.** The rule is written down in [`tests/reference.py`](tests/reference.py) and compared with the EA's
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| own trades, entry for entry.
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| ```mermaid
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| mindmap
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| root((Prior Day Breakout))
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| Origin
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| Pre-registered screen, 37 symbols
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| One combination passed both gates
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| XAUEUR only
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| Design rules
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| Closed bars only, no repaint
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| Once per side per day
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| Flat at 23:00
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| Live only on validated presets
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| Proof
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| Python statement of the rule
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| Same entries as the EA, 612 of 612 and 690 of 690
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| Evidence is thin, stated plainly
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| ```
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| ## How it works
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| ### The rule, step by step
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| Times are the broker's server clock (the tests used UTC+2, UTC+3 in US summer time). `H` and `L` are the previous trading day's
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| high and low, taken from 1-minute bars of the latest earlier day that has bars (up to 7 days back).
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| 1. **Levels.** At the start of the day, `H = max(high)` and `L = min(low)` of the previous trading day.
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| 2. **Signal.** On each closed chart bar that opened at or after 01:00: a **buy** if `close > H` and no buy has fired today; a
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| **sell** if `close < L` and no sell has fired today. The side is used up even if the entry turns out to be disallowed.
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| 3. **Entry window.** The order is sent at the open of the next bar, only if that bar opens before 20:00 of the same day and
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| no position is open.
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| 4. **Fill and stop.** A buy fills at the ask, a sell at the bid. The stop is the other side of the range: `L` for a buy, `H`
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| for a sell. The stop distance is `sd = (fill - stop) x side`.
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| 5. **Skip.** The trade is skipped if `sd` is not positive or is under 8 times the entry spread, or if the stop would lose more
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| than 50% of equity at 0.01 lot, or if free margin is short.
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| 6. **Target.** `fill + side x R x sd`, with `R` the preset's target (2 on H1, 1 on M15).
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| 7. **Exit.** Target, stop, or flat at 23:00 server time (at the first tick after 23:00 if the market is closed then).
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| The lot is fixed: 0.01, or the broker's minimum lot when that is larger. After a restart the EA replays today's closed bars,
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| so a side that already fired today is not taken again.
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| ### Per-bar algorithm
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| ```mermaid
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| flowchart TD
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| A[New bar: look at the bar that just closed] --> B{Bar opened at or after 01:00?}
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| B -- no --> Z[Nothing]
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| B -- yes --> C[Levels: previous trading day high H and low L]
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| C --> D{Close above H and no buy yet today?}
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| D -- yes --> S1[Signal BUY, buy side used up]
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| D -- no --> E{Close below L and no sell yet today?}
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| E -- yes --> S2[Signal SELL, sell side used up]
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| E -- no --> Z
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| S1 --> F{Now before 20:00, same day, no position open?}
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| S2 --> F
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| F -- no --> Z
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| F -- yes --> G{Algo trading on, market open, preset validated?}
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| G -- no --> Z2[Skipped, reason on the panel]
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| G -- yes --> H2{Stop at least 8 x spread, loss under 50% of equity, margin ok?}
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| H2 -- no --> Z2
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| H2 -- yes --> I[Market order: stop at the other side, target R x stop]
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| ```
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| ### Day cycle
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| ```mermaid
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| stateDiagram-v2
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| [*] --> WaitingForSignal: new server day, levels read, sides reset
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| WaitingForSignal --> InTrade: signal and order sent at the next open
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| WaitingForSignal --> WaitingForSignal: bar closes inside the range
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| InTrade --> Flat: target or stop hit
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| InTrade --> Flat: 23:00 server time
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| Flat --> WaitingForSignal: the other side may still fire once
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| Flat --> [*]: day ends
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| WaitingForSignal --> [*]: day ends
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| ```
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| ### One trading day
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| ```mermaid
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| sequenceDiagram
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| participant D as New server day
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| participant E as EA
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| participant T as Terminal
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| participant B as Broker
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| D->>E: first bar of the day
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| E->>T: M1 history of the previous trading day
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| T-->>E: high H and low L
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| loop every closed bar from 01:00
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| E->>E: close vs H and L, once per side
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| end
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| E->>B: market order at the next open, stop at the far side, target R x stop
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| B-->>E: filled
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| alt target or stop first
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| B-->>E: position closed by the broker
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| else 23:00 server time
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| E->>B: close the position (waits for an open market)
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| end
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| ```
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| ## What the backtest does and does not show
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| All numbers are the **Strategy Tester run of the EA itself** (1-minute OHLC, XAUEUR, 0.01 lot, results in R where R is the
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| stop distance of each trade, spread and swap included, no commission), out of sample 2023-07-01 to 2026-10-09, settings
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| frozen on 2020 to mid-2023 data first. Source: [`tests/results/oos-summary.md`](tests/results/oos-summary.md).
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| | Preset | Target | OOS trades | Profit factor | net R | t | max drawdown (R) |
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| |---|---:|---:|---:|---:|---:|---:|
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| | XAUEUR H1 | 2 R | 612 | 1.37 | 39.3 | 2.91 | 6.9 |
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| | XAUEUR M15 | 1 R | 690 | 1.27 | 36.6 | 2.47 | 6.7 |
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| Reading them with care, as the screen's own write-up does:
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| - **One idea in two forms.** The two presets share most of their trades.
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| - **Chance-level evidence.** Of 392 judged units over 37 symbols, 8 passed nominally against 8.3 expected from chance alone,
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| and none survives the Holm multiple-testing correction (smallest adjusted p 0.33). XAUUSD with the same rule is just under
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| the bar; the FX pairs and crypto fail.
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| - **Mostly buys, in a gold rally.** Gold rose about 110% over the out-of-sample period. The buy side earned 35 to 37 R, the
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| sell side 1 to 2 R.
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| - **Small per-trade edge.** In-sample profit factors were only 1.05 to 1.09; win rate about 52%, average win 0.46 R,
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| average loss 0.36 R, about +0.06 R per trade, so costs matter and commission was not modelled.
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| ```mermaid
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| xychart-beta
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| title "Out-of-sample net R by side (backtest, gross of swap)"
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| x-axis ["H1 buys", "H1 sells", "M15 buys", "M15 sells"]
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| y-axis "R" 0 --> 40
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| bar [36.98, 3.93, 34.57, 2.82]
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| ```
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| Source: [`tests/results/quarterly-gross-r.json`](tests/results/quarterly-gross-r.json), the reference run (gross R, before swap, so
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| slightly above the net R in the table).
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| ```mermaid
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| xychart-beta
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| title "XAUEUR H1, target 2 R: gross R per quarter, out of sample"
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| x-axis ["23Q3", "23Q4", "24Q1", "24Q2", "24Q3", "24Q4", "25Q1", "25Q2", "25Q3", "25Q4", "26Q1", "26Q2", "26Q3"]
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| y-axis "R" -2 --> 10
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| bar [1.92, 2.05, 0.51, 3.04, 7.07, 4.82, 9.02, -1.48, 3.83, 2.31, 7.12, 0.53, 0.85]
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| ```
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| (26Q4 holds 3 trades, -0.68 R, and is left out of the chart.)
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| ## How it was tested
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| | Check | Result |
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| |---|---|
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| | Rule invariants on synthetic data, 60 runs, 1,931 trades ([`tests/check_reference.py`](tests/check_reference.py)) | PASS, 0 violations |
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| | Reference vs the EA in the MT5 Strategy Tester, XAUEUR H1, 2023-07 to 2026-10 | 612 of 612 entries identical (time and side) |
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| | Reference vs the EA in the MT5 Strategy Tester, XAUEUR M15 | 690 of 690 entries identical |
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| | Reference vs the EA, same exit minute | 521 of 612 (H1), 502 of 690 (M15): the tester builds its own tick path from M1 bars |
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| | Reference vs the research simulation the presets were selected with | 612 of 612 and 690 of 690 trades identical, exits and exit prices too (largest difference 0.0) |
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| | MT4 edition vs the simulation (MT4 Strategy Tester, every tick, fixed 25-point spread) | same trade counts (612 and 690); entries match on 99.84% and 99.86% |
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| | MT5 release check (memory, speed, non-repainting, validator-style runs) | PASS: 364 MB, 1 min 21 s for 52 M ticks, 142 signals identical on every tick and on 1-minute OHLC, 0 error lines |
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| | MT5 and MT4 editions compiled with MetaEditor (clean scratch folder, only this repository's files) | 0 errors, 0 warnings each |
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| | MT5 Market build | passed the MQL5 Market's automated product validation before publication (the Market's own check) |
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| Sources: [`tests/results/`](tests/results). Full tables, including the MT4 gate and the release check, are in
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| [`tests/results/oos-summary.md`](tests/results/oos-summary.md).
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| ```mermaid
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| xychart-beta
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| title "Entries compared: reference vs the EA (all identical)"
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| x-axis ["XAUEUR H1", "XAUEUR M15"]
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| y-axis "entries" 0 --> 800
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| bar [612, 690]
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| ```
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| ```mermaid
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| flowchart LR
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| M[M1 bars of the symbol<br/>server time, bid, spread] --> R[reference.py<br/>the rule in Python]
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| M --> TST[Strategy Tester<br/>EA with the debug log on]
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| TST --> L[TRD lines in the log<br/>entry time, exit time, side, prices]
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| L --> C{compare_trades.py<br/>same entry time and side?}
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| R --> C
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| C -- yes --> P[PASS]
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| C -- no --> F[list the differences, fix, rerun]
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| SY[synthetic random walks] --> K[check_reference.py<br/>rule invariants]
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| R --> K
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| K --> P2[PASS]
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| S5[PriorDayBreakout.mq5] --> MC5[MetaEditor 0 errors, 0 warnings]
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| S4[PriorDayBreakout.mq4] --> MC4[MetaEditor 4 0 errors, 0 warnings]
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| ```
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| **Not covered:** forward (live) trading, commission and slippage, and tick-level fills (the tests use 1-minute OHLC for MT5
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| and a fixed 25-point spread for MT4). The tester and live behaviour of the preset refusal on other symbols is by design and
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| was read, not run live. The reference is not a bit-for-bit copy of the tester's fills: only entries are compared exactly.
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| ## Architecture
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| ```mermaid
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| flowchart TB
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| subgraph MT5["mql5/Experts/PriorDayBreakout"]
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| E5[PriorDayBreakout.mq5<br/>the program]
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| C5[PriorDayBreakout.mqh<br/>rule, orders, panel, events]
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| P5[DbPanel.mqh<br/>cached labels, boxes, rows]
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| R5[DbPresets.mqh<br/>the two validated presets]
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| E5 --> C5
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| C5 --> P5
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| C5 --> R5
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| end
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| subgraph MT4["mql4/Experts/PriorDayBreakout"]
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| E4[PriorDayBreakout.mq4]
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| C4[PriorDayBreakout.mqh<br/>MT4 orders and clock]
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| PR4[DbPanel.mqh, DbPresets.mqh<br/>same text as MT5]
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| E4 --> C4
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| C4 --> PR4
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| end
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| subgraph TESTS[tests]
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| RF[reference.py]
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| CK[check_reference.py]
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| CT[compare_trades.py]
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| CK --> RF
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| CT --> RF
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| end
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| RF -. same rule .-> C5
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| ```
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| ```mermaid
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| classDiagram
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| class PriorDayBreakout {
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| +InpTargetR double
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| +InpMagic long
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| +InpSlippage int
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| +InpPanel bool
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| +InpLevels bool
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| +InpDebug bool
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| +OnInit()
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| +OnTick()
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| +OnTimer()
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| +OnTradeTransaction()
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| }
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| class Rule {
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| +PrevDay()
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| +Decide()
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| +ReplayToday()
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| +OnNewBar()
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| +ManageTimed()
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| }
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| class Orders {
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| +EntryLots()
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| +EntryBlocked()
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| +OpenTrade()
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| +MarketOpen()
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| }
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| class DbPresets {
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| +g_db_presets
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| +DbPresetValidated()
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| }
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| class DbPanel {
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| +Text()
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| +Box()
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| +Row()
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| +Section()
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| }
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| class reference {
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| +run()
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| }
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| PriorDayBreakout --> Rule
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| PriorDayBreakout --> Orders
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| PriorDayBreakout --> DbPresets
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| PriorDayBreakout --> DbPanel
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| reference ..> Rule : same rule, compared entry by entry
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| ```
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| ## Inputs, presets, install and compile
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| | Input | Default | Meaning |
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| |---|---|---|
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| | Target, x the stop distance (R) | 2.0 (1.0 on M15) | the preset's own value; live, other values are refused |
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| | Magic number | 26101801 | identifies this EA's position |
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| | Maximum slippage, points | 30 | order deviation |
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| | Show the panel | true | rule, preset status, levels, signal, position |
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| | Draw the previous-day high and low | true | dotted lines across the current day |
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| | Log every signal and trade (Experts tab) | false | prints signals and one `TRD` line per closed trade |
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| Preset files (inputs only): [`presets/`](presets) (MT5) and [`presets/mt4/`](presets/mt4). Load the file that matches the
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| chart's timeframe.
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| **Install from source.** Copy the `mql5/Experts/PriorDayBreakout` folder into `<terminal data folder>/MQL5/Experts/` (MT5) or
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| the `mql4/Experts/PriorDayBreakout` folder into `<data folder>/MQL4/Experts/` (MT4). Open `PriorDayBreakout.mq5` or `.mq4`
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| in MetaEditor and press Compile (F7). Both compile with 0 errors and 0 warnings. Keep the files of each edition together:
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| the program includes `PriorDayBreakout.mqh`, which includes `DbPanel.mqh` and `DbPresets.mqh` from its own folder.
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| **Run it.** Open an XAUEUR chart (a prefixed or suffixed name is fine) on H1 or M15, attach the EA, keep Algo Trading (MT5) or
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| AutoTrading (MT4) on. The tests used a server clock of UTC+2 (UTC+3 in US summer time); the 01:00 to 20:00 window follows
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| your server clock, so check that it matches. Minimum balance suggested by the Market listing: 1,500 USD at 0.01 lot
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| (recommended 3,000 USD); the out-of-sample backtest's largest drawdown at 0.01 lot was 673 USD and the largest single loss
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| 373 USD. These are backtest figures, not a limit on future losses.
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|
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| ## Run the Python reference and the tests
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|
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| ```bash
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| python3 -m venv .venv && . .venv/bin/activate && pip install -r requirements.txt
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| python3 tests/check_reference.py # synthetic data, no broker history needed; prints PASS or FAIL
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| ```
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| ```python
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| import sys; sys.path.insert(0, "tests")
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| from reference import run
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| # m1: pandas DataFrame indexed by server time with open, high, low, close (bid) and spread (price units)
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| trades = run(m1, tf_minutes=60, target_r=2.0) # one row per trade, gross of swap
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| ```
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| To repeat the entry comparison on your own data:
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| 1. Run the EA in the Strategy Tester with "Log every signal and trade" on, on your XAUEUR history.
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| 2. Export the symbol's M1 bars to a CSV with the header `time,open,high,low,close,spread` (server time, bid, spread in price units).
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| 3. `python3 tests/compare_trades.py <log file> <m1.csv> --tf 60 --target 2.0 --from 2023-07-01` lists the entries both share and
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| those only one of them has.
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| The broker price history and the EA's trade lists used for the published numbers are not in this repository.
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|
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| ## Honest limits
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|
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| - **No edge is shown.** The evidence is a single 3.3-year window in one gold regime, with 8 nominal passes where 8.3 were
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| expected by chance. Treat the EA as unproven automation.
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| - **Mostly buys.** The result depends on the buy side in a period of rising gold.
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| - **Costs.** Commission and slippage are not modelled; the swap is from the broker's sheet at the time; the test ticks are
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| 1-minute OHLC.
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| - **XAUEUR is offered by few brokers.** The EA refuses live orders on other symbols and timeframes (the tester accepts any).
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| - **Server clock.** The entry window and the 23:00 exit follow the broker's server time, not UTC.
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| - **Settings were chosen by in-sample profit factor only,** and no walk-forward test was run.
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| - **MetaTrader 4 has no economic calendar and a different tick model**; the MT4 edition's numbers come from its own tester
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| run on a fixed spread.
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| - No profit or accuracy claim is made.
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|
|
| ## Free vs Pro
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|
|
| | | Free: Prior Day Breakout | Paid: Prior Day Breakout Pro |
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| |---|---|---|
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| | Platforms | MT5 [201959](https://www.mql5.com/en/market/product/201959), MT4 coming soon | MT5 [201963](https://www.mql5.com/en/market/product/201963), MT4 coming soon |
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| | Price | free | paid (see the Market page) |
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| | What you get | the rule above, fixed 0.01 lot, XAUEUR H1 and M15 presets | the same rule with risk-based sizing, news modes, spread and Friday filters, as described on its Market listing |
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| | Source | this repository | not published |
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|
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| No need to buy the paid product to use the free one: the free EA is complete on its own.
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| Website: [allanninal.dev/mql5](https://www.allanninal.dev/mql5/#eas) ([MT4](https://www.allanninal.dev/mql5/#mt4)).
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|
|
| ## Licence
|
|
|
| Everything in this repository is © 2026 Allan Niñal under the
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| [PolyForm Noncommercial License 1.0.0](LICENSES/PolyForm-Noncommercial-1.0.0.md): source-available, free for personal and
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| other noncommercial use, not for commercial use. Each source file has an `SPDX-License-Identifier` line. Text:
|
| [`LICENSE`](LICENSE). The previous-day high/low breakout is a public idea; this is an independent implementation. The licence
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| applies to this source, not to anything you build or trade with the EA. Trading involves risk; the software is provided as is.
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|
|
| ---
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|
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| **Website:** [allanninal.dev/mql5](https://www.allanninal.dev/mql5/#eas) · [MT4](https://www.allanninal.dev/mql5/#mt4) · [allanninal.dev](https://www.allanninal.dev)
|
| · Questions: message me on [LinkedIn](https://www.linkedin.com/in/allanninal/).
|
