Keltner Channel Breakouts with Equity-Based Position Sizing

Summary

This script pairs Keltner Channel breakout entries with a position-size calculation based on a chosen percentage of account equity. The channel uses a configurable moving average, exponential by default, and bands derived from average true range, true range, or a smoothed high-low range. Stop entries are placed at the upper and lower bands when the bands are valid and the corresponding entry filter permits them. The script estimates risk per contract from the distance across the channel, divides the target account risk by that estimate, and rounds the resulting quantity to two decimal places.

The visible source sets a one-percent risk input, a 20-period channel, and a multiplier of two, while the strategy declaration also specifies commissions and margin assumptions. Despite its title, the provided excerpt ends at a section announcing conversion to a prop-firm business simulator; it does not show firm rules, evaluation limits, or the conversion logic. No backtest period or performance results are included. The quantity formula is an estimate based on channel width and closing price, so the excerpt does not establish realized loss limits or profitability under fills, gaps, and changing channel levels.

Key ideas

• The channel center is a configurable simple or exponential moving average, with bands based on selectable range measures.
• Stop entries are placed at the upper and lower Keltner bands when entry filters pass.
• Position size is estimated by dividing a target share of equity risk by an estimated per-contract risk based on channel width.
• The strategy declaration includes commission and margin assumptions, but no results are reported.
• The excerpt does not include the prop-firm simulation rules suggested by its title.

Tags

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