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I assume you're doing a portfolio backtest with "all symbols" selected in the Analysis window. 

[ATTACH=full]95499[/ATTACH]

Make sure you have symbol ^AORD in your database, with enough history.  If you don't, use AQ to download from Yahoo finance.

[ATTACH=full]95500[/ATTACH]

Then substitute your breakout code where I have bolded below.

SetForeign("^AORD");

MAPeriod = Optimize("op",2,2,100,1);

IndexFilterup = C > MA(C,MAPeriod);

RestorePriceArrays();

Buy = IndexFilterup AND BOut;