Strategy Report: Keltner channel strategy

| Strategy Description

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 StatisticsBacktestLiveBacktestLive
Runtime Days3606{{$KPI-DAYS-LIVE}} Drawdown11.3%{{$KPI-LIVE-DRAWDOWN}}
Turnover1%{{$KPI-LIVE-TURNOVER}} Probabilistic SR14%{{$KPI-LIVE-PSR}}
CAGR6.9%{{$KPI-LIVE-CAGR}} Sharpe Ratio0.4{{$KPI-LIVE-SHARPE}}
Capacity (USD)130M Sortino Ratio0.4{{$KPI-LIVE-SORTINO}}
Trades per Day0.0{{$KPI-LIVE-TRADES-PER-DAY}} Information Ratio-0.4{{$KPI-LIVE-INFORMATION-RATIO}}
Monthly Returns
Cumulative Returns
Annual Returns
Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Keltner channel strategy
Daily Returns
Rolling Portfolio Beta
Rolling Sharpe Ratio
Leverage
Long-Short Exposure
Strategy Report Summary: Keltner channel strategy
Market Sell-Off 2015
New Normal 2014-2019
COVID-19 Pandemic 2020
Post-COVID Run-up 2020-2021
Meme Season 2021
Russia Invades Ukraine 2022-2023
AI Boom 2022-Present
Strategy Report Summary: Keltner channel strategy
Parameters
symbols BX market_type equity