Keltner Channel Breakout Trading with an ATR-Based Band

Summary

This document explains a trend-following strategy based on an upgraded Keltner Channel. The channel uses the average of high, low, and close as its input, an exponential moving average as its center line, and average true range to set the upper and lower bands. A rising center line paired with a close above the upper band triggers a long entry; a falling center line and a close below the lower band trigger a short entry. Positions exit when price crosses back through the center line.

The article reports a backtest on BitMEX’s XBTUSD perpetual contract using hourly data from January 1 to July 27, 2019, with two ticks of slippage per side and twice the exchange fee. It describes the resulting equity curve as generally rising, with limited drawdown during a July pullback, while acknowledging that performance was not especially strong. The evidence is limited to the stated market and test period, and the document provides no numerical return or risk statistics.

Key ideas

• The upgraded channel uses an exponential moving average of typical price and ATR-based bands.
• A directional center line and a band breakout together determine entry direction.
• A close back across the center line serves as the exit condition.
• The reported test used hourly XBTUSD perpetual futures data and added slippage and fees.
• The described positive equity curve is specific to one historical test and is not a broad performance guarantee.

Tags

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