Momentum Entries and Keltner-Scaled Stochastic Exits

Summary

This script combines a simple momentum test with a stochastic position measure derived from a Keltner Channel. Momentum compares the current close with a prior close. The channel uses an EMA center and ATR-based width; the script scales the close's location within that channel to a 0–100-style value. Long entries require positive momentum while the channel measure remains below a threshold, and short entries require negative momentum while it is above that threshold. Open positions close when the measure crosses to the corresponding opposite side. Separate fixed-point stop orders are set around the average entry price. Position size can scale with equity changes, subject to a base size and maximum contract cap.

The document includes parameter defaults and a strategy script, but the accompanying empirical-validation text is truncated and provides no inspectable results. The implementation does not use the calculated ATR-based stop levels; the active stop orders use the fixed-point distance instead. Also, the same threshold defines entry and exit conditions, so their behavior depends on position state and bar-by-bar execution. Fees, slippage, instrument units, and scaling assumptions require market-specific review; the script alone does not establish profitability or robust risk control.

Key ideas

• The momentum filter compares the current close with the close from a configurable lookback.
• The Keltner stochastic measures the close's location between ATR-based channel boundaries.
• Momentum and the channel-position threshold jointly determine entries, while threshold conditions close open positions.
• The active protective orders use a fixed point distance; separately calculated ATR stop levels are unused.
• Equity-based contract scaling has configurable base and maximum sizes, but the excerpt gives no verifiable performance results.

Tags

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