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.

How It Trades

  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.

Example Strategy

Pine Script

Paste it into TradingView’s Pine Editor to run these rules on any chart.

//@version=6
// Keltner Channel Breakout — sort.finance. Fills at the signal bar's close, 0.02% fee a side,
// whole account per trade, as the backtest. History and indicator warm-up
// differ from the site's, so expect close to the same trades, not identical.
strategy("Keltner Channel Breakout", overlay=true,
     initial_capital=100, default_qty_type=strategy.percent_of_equity,
     default_qty_value=100, commission_type=strategy.commission.percent,
     commission_value=0.02, process_orders_on_close=true, pyramiding=0)

// The bar the current position opened on, and the bar the last one closed on.
var int entryBar = na
var int exitBar = -1

// ── Signals ──────────────────────────────────────────────────────────────
middle = ta.ema(close, 20)
rangeAverage = ta.ema(ta.tr(true), 20)
upper = middle + 2.0 * rangeAverage
lower = middle - 2.0 * rangeAverage
enterNow = close[1] <= upper[1] and close > upper
exitNow = close[1] >= middle[1] and close < middle

// ── Orders ───────────────────────────────────────────────────────────────
// Open on the first bar the entry holds while flat; close on the first
// later bar the exit holds; never reopen on the bar a position closed.
inTrade = strategy.position_size != 0
if inTrade and bar_index > entryBar and exitNow
    strategy.close("Long")
    exitBar := bar_index
else if not inTrade and bar_index > exitBar and enterNow
    strategy.entry("Long", strategy.long)
    entryBar := bar_index

// ── Drawing ──────────────────────────────────────────────────────────────
plot(upper, "Upper Band", color=#8a92a0)
plot(middle, "Middle Band", color=#4d8dff)
plot(lower, "Lower Band", color=#8a92a0)