Keltner Channel Breakout: does it work?
Last updated
Did Keltner Channel Breakout beat the benchmark in Tickfloor's test?
No. We tested Keltner Channel Breakout on 40 US stocks, 2016 to 2025. After costs, it returned 12.8 percentage points a year less than the benchmark. None held up once we allowed for the many other rules we tested. This is a historical test of the rule as described, not a prediction or advice.
None of these versions passed. Sample: 1,205 completed trades over 2016-09-15 to 2025-03-14 (8.5 years).
A Keltner channel wraps a moving average in bands set a multiple of the average true range away. A close above the upper band is taught as the start of a trend worth riding.
The rule we tested. Buy when the close is more than 2 average true ranges (10-day) above the 20-day exponential average; exit when the close drops back below that average. Long only, daily bars, 40 US stocks.
- Does the Keltner channel breakout work on stocks? (40 US stocks (AAPL, NVDA, AMZN, GOOGL, …)), 2016-09-15 to 2025-03-14, costs 0.05% per side: −12.8 pts/yr vs the benchmark across 1,205 completed trades, unadjusted p=1.000, BH-adjusted q=1.000: did not beat the benchmark.
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Receipt: parameters, data, window and result file
- Run id
- h3-us-keltner-breakout, run 2026-10-06
- Frozen parameters
- timeframe 1d; emaPeriod=20, atrPeriod=10, multiplier=2, warmupBars=30
- Data source
- vendor not recorded in the result file; data fingerprint sha256 7b5251fa65d8de0e...
- Instruments and coverage
- 40 assets: AAPL, NVDA, AMZN, GOOGL, META, TSLA, JPM, V, UNH, XOM, JNJ, COST and 28 more (full list in the result file). 9 corrupt vendor bar-day(s) across 9 assets were dropped, never repaired
- Date window
- 2016-09-15 to 2025-03-14 (discovery cutoff 2025-03-15)
- Sample
- 1,205 completed trades over 2016-09-15 to 2025-03-14 (8.5 years)
- Cost rule
- 0.05% per side; charged on every change in position/weight; benchmark pays none; no funding/borrow on shorts
- Fill rule
- not recorded
- Benchmark
- equal-weight long of the same assets, rebalanced daily across assets trading that day (no costs)
- Rule source (public)
- not published yet
- Run record (public)
- research/hunt2/ledger.jsonl, line with id h3-us-keltner-breakout
- Full result file
- not published yet
No. None of the versions we tested passed. After costs: US stocks −12.8 pts/yr vs the benchmark. None held up once we allowed for how many other rules we tested. That covers the versions, costs and benchmark described here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
Tested a rule of your own? Check whether your backtest is just luck. It is free and needs no account.
Failed: only the tested version above. Not tested: Other multipliers or averaging windows; short entries; crypto and ETFs; intraday bars. A result for the tested version says nothing about these.
This is one line in a bigger check. The research desk has run 1083 strategies, most against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs). After correcting for how many we tried (Benjamini-Hochberg, 1425 tests), 0 passed. That does not prove no strategy works, and it says nothing about versions we did not test. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.
Short answers: the verdict and the rule, as questions
Does the Keltner channel breakout work?
No. None of the versions we tested passed. After costs: US stocks −12.8 pts/yr vs the benchmark. None held up once we allowed for how many other rules we tested. That covers the versions, costs and benchmark described here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
What exact rule did Tickfloor test?
Buy when the close is more than 2 average true ranges (10-day) above the 20-day exponential average; exit when the close drops back below that average. Long only, daily bars, 40 US stocks.
Is this financial advice?
No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.
See the full numbers on the Trend following family page, or the full method and every result.