Simulating Prop Firm Rules Around a Keltner Channel Breakout Strategy

Summary

This open-source strategy combines a Keltner Channel breakout system with a configurable model of a prop trading account. It places stop entries beyond the upper or lower channel, using a moving average as the center and a selectable range measure to set channel width. Position size is estimated from an equity risk budget and the distance between the bands.

The simulator adds account presets, challenge profit targets, daily and overall drawdown limits, account costs, and successive funded-account gain milestones. It also displays monthly and annual profit and loss. These features let users examine how a trading system’s equity path might interact with challenge and account rules. The document provides implementation details rather than reported performance results or validation. Its outputs depend on the selected strategy, market data, timeframe, fees, and account assumptions; the supplied trading logic is presented as replaceable example code, not evidence that the approach passes a challenge or earns profits.

Key ideas

• The example enters long or short with stop orders beyond a Keltner Channel boundary.
• Channel width can be based on average true range, true range, or a smoothed high-low range.
• Position size is calculated from a target equity risk and the channel width.
• Configurable prop account rules include costs, drawdown limits, and staged profit targets.
• Monthly and yearly profit and loss tables summarize the strategy’s simulated results.

Tags

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