This is quite a robust and profitable system; this was tested on 15M data in Amibroker from Feb 2002 to present. Works well over lookback periods between 15 and 40, T/P settings work well between 20 and 100.
While the spread cannot be accounted for Amibroker, the parameters used here should render the spread of little account.
This will also work on daily bars, but you may wait a long time between trades.

Rules: (15M bars)
Long: Close of bar is above Highest High of n-Periods at previous bar.
Short: Close of bar is below Lowest Low of n-Periods at previous bar.
Optimum settings: n= 36 periods
Take profit: 30 pips (can use 20 to 100)
No stop loss, just take the reversal signal as your stop / exit.

Use the attached Price Channel indicator and set it to 36, with a Shift of "1" and attach it to your chart (ignore the middle line in the indicator). Wait until the bar closes and put in your trade.

If the close of the bar signals a trade, you may want to see if price retraces to get a better entry, but I have no way of testing whether this works to one's advantage. If price goes on a tear you may not get in.

Annual return: 76% (no MM)
Profit factor: 1.16
Equity curve nice and linear.

Attached Files

Price Channel.mq4 (3.0 KB, 325 views)