The Greatness of Keltner Channels?

May 13, 2024

Lately, I’ve been talking a lot of the greatness of Bollinger Bands™, and they’ve deserved every accolade they’ve gotten.

Especially when it comes to Gold. My all-time favorite Gold chart just had another Bollinger Band™ winner (as I watch it on my Evaluation Workspace).

But what about Keltner Channels?

They use the same basic concept. The only difference is that they use ATR instead of a standard deviation calculation.

Common sense would dictate that Keltner Channel should also be great.

Are they?

Let’s take a look.

We’ll start with the ES.D chart. This is the E-Mini S&P 500 that trades only the day session. I start here because data goes back to 1997.

We’ll use 60-minutes and we’ll only go Long. We’ll apply Keltner Channels and trade breakouts. In other words, we’ll buy when price closes above the upper Keltner Channel.

Here are the details:

60M Keltner Channel ES.D Breakout (Long Only)

• Entry: When price closes above the upper Keltner Channel (Length 80, ATR 1.5)
• Target: $1100 per contract
• Stop: $500 per contract
• Time Exit: 40 bars

As you may have noticed, I expanded the typical Keltner length from 20 to 80. And I’ve added a time exit. Otherwise, this is similar to what we’ve done with Bands.

Using Portfolio Architect, here’s how it’s done since 1997 trading 1 contract each time on a sample $20k account:

Not bad at all. Here’s the Curve:

And the Curve looks okay, too.

Here are some trades:

Is it as good as Bollinger Bands™? I’d say no. It doesn’t produce enough profit.

Maybe the time exit constrained it too much.

In our next Newsletter, we’ll take off that constraint and try a harder-trending instrument.

Talk to you soon.

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Disclaimer:
It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented on these sites are for educational purposes only. These set-ups are not solicitations of any order to buy or sell. The authors, the publisher, and all affiliates assume no responsibility for your trading results. There is a high degree of risk in trading.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.