Keltner Breakouts with an SMA Slope and Session Filter

Summary

This intraday breakout strategy is presented for VN30F1M futures. It enters long when a bar closes above the upper Keltner band and short when it closes below the lower band. The channel is centered on an EMA and widened by an ATR multiple. An optional 200-period SMA slope filter allows longs when the SMA is rising and shorts when it is falling; traders can also restrict direction to long, short, or both.

Signals are confirmed at bar close, with entries described as occurring at the next bar’s open. A configurable time window limits entries, and open positions are closed when that session ends. Stop losses use fixed points from the average entry price, while a fixed-point take profit can be disabled; an opposite signal can reverse the position. The document describes default settings and intended session restrictions but supplies no backtest results or quantified evidence of performance. The time filter uses chart time values, so its suitability depends on the chart’s timezone and the futures session being traded.

Key ideas

• A close beyond the upper or lower Keltner band triggers a potential breakout entry.
• An optional SMA slope rule aligns long and short trades with the direction of the trend filter.
• Entries are intended for the next bar after confirmation, and a configurable intraday window limits trading.
• Fixed-point stops and optional fixed-point targets manage open positions; opposite signals can reverse them.
• The strategy description contains no performance data, and session timing depends on chart-time settings.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.