| Strategy Description |
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The Keltner Channel was first introduced by Chester Keltner in the 1960s. The original formula used simple moving averages (SMA) and the high-low price range to calculate the bands. In the 1980s, a new formula was introduced that used average true range (ATR). The ATR method is commonly used today. Keltner Channels to generate trading signals designed to capture significant breakout price moves and capitalize on the resulting trends from these breakouts. The strategy is traded on the top 10 markets in the Russell 1000 index by market cap that meet a profit factor > 2 over the last 5 and 10 years rebalance yearly. |
Key Statistics | Backtest | Live | Backtest | Live | |
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Runtime Days | 3606 | {{$KPI-DAYS-LIVE}} | Drawdown | 11.3% | {{$KPI-LIVE-DRAWDOWN}} |
Turnover | 1% | {{$KPI-LIVE-TURNOVER}} | Probabilistic SR | 14% | {{$KPI-LIVE-PSR}} |
CAGR | 6.9% | {{$KPI-LIVE-CAGR}} | Sharpe Ratio | 0.4 | {{$KPI-LIVE-SHARPE}} |
Capacity (USD) | 130M | Sortino Ratio | 0.4 | {{$KPI-LIVE-SORTINO}} | |
Trades per Day | 0.0 | {{$KPI-LIVE-TRADES-PER-DAY}} | Information Ratio | -0.4 | {{$KPI-LIVE-INFORMATION-RATIO}} |
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