Since 2022 Sort Finance

Keltner Channel Breakout

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Compute a 20-bar EMA midline and the average bar range (a 20-bar EMA of the true range); the upper channel sits 2 average ranges above the midline.
  2. Buy when the close breaks above the upper channel — price has escaped its normal envelope with unusual force.
  3. Sell when the close falls back below the midline — the thrust has faded back to average.
Score
Total Score Mean Of Real And Resampled 51 / 100
Real Data 48 / 100
Resampled Data 54 / 100
Overall Rank Top 39% 20 of 52
Rank In Breakout Top 60% 3 of 5
Score By Metric
Beats Hold Real 30 · Resampled 54 42 / 100
Risk Adjusted Real 49 · Resampled 47 48 / 100
Profitability Real 52 · Resampled 55 53 / 100
Win Rate Real 52 · Resampled 51 52 / 100
Fee Efficiency Real 75 · Resampled 76 75 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.