Android : Dialog setCancelable(true) Method Not Working

I had created an Dialog which is working fine. It is disappearing, if I press: "Click" outside Dialog , It never Cancelled .

Here is my code :

public void ShowConnectionStatus()

    {
        custom_connection_dialog = new Dialog(MyCuratioLogin.this,android.R.style.Theme_Translucent);
        custom_connection_dialog.getWindow().setBackgroundDrawable(new ColorDrawable(R.style.TransparentProgressDialog));
        custom_connection_dialog.requestWindowFeature(Window.FEATURE_NO_TITLE);
        custom_connection_dialog.setCancelable(true);
        custom_connection_dialog.setContentView(R.layout.custom_error_connection);
        custom_connection_dialog.getWindow().setFeatureInt(Window.FEATURE_CUSTOM_TITLE, Color.parseColor("#FFFFFF"));

        TurnAgain = (Button) custom_connection_dialog.findViewById(R.id.ButtonTryAgain);
        TurnAgain.setOnClickListener(this);
        custom_connection_dialog.show();

    }

Here is Style for Background TransparentProgressDialog

<style name="TransparentProgressDialog" parent="@android:Theme.Dialog">
        <item name="android:windowFrame">@null</item>
        <item name="android:windowBackground">@android:color/transparent</item>
        <item name="android:windowIsFloating">true</item>
        <item name="android:windowContentOverlay">@null</item>
        <item name="android:windowTitleStyle">@null</item>
        <item name="android:windowAnimationStyle">@android:style/Animation.Dialog</item>
        <item name="android:windowSoftInputMode">stateUnspecified|adjustPan</item>
        <item name="android:backgroundDimEnabled">true</item>
        <item name="android:background">@android:color/transparent</item>
    </style>

Please guide me the correct way to achieve my objective.