Keltner Channel LE#

This strategy uses the Keltner Channel to identify long entry opportunities. The Keltner Channel consists of an upper band and a lower band around the market price; prices within the channel are considered normal. When the market price crosses above the upper band, the strategy places a buy stop order one point above the breakout bar’s high.

Source Code#

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[IntrabarOrderGeneration = false]
Inputs: Price(Close), Length(20), NumATRs(1.5);
Variables: var0(0), var1(0), var2(0), var3(false), var4(0);

var0 = AverageFC(Price, Length);
var1 = NumATRs * AvgTrueRange(Length);
var2 = var0 + var1;

Condition1 = CurrentBar > 1 and Price crosses over var2;
If Condition1 Then Begin
  var3 = true;
  var4 = High;
End
Else Begin
  Condition1 = var3 and (Price < var0 or High >= var4 + 1 point);
  If Condition1 Then
    var3 = false;
End;

If var3 Then
  Buy ("KltChLE") next bar at var4 + 1 point stop;

Code Walkthrough#

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[IntrabarOrderGeneration = false]

Ensures that only one order is generated per bar; orders are placed only when the bar is complete.

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Inputs: Price(Close), Length(20), NumATRs(1.5);

Price: The price series used for calculations; defaults to the closing price.
Length: The number of bars used to calculate the Keltner Channel; defaults to 20.
NumATRs: The ATR multiplier that determines channel width; defaults to 1.5.

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Variables: var0(0), var1(0), var2(0), var3(false), var4(0);

var0: Stores the moving average value.
var1: The ATR value multiplied by NumATRs.
var2: The upper Keltner Channel band (var0 + var1).
var3: Boolean flag tracking whether entry conditions are met.
var4: Stores the high of the breakout bar, used to calculate the entry stop price.

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var0 = AverageFC(Price, Length);
var1 = NumATRs * AvgTrueRange(Length);
var2 = var0 + var1;

Calculates the moving average, adds the ATR distance scaled by NumATRs, and stores the result as the upper channel band.

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Condition1 = CurrentBar > 1 and Price crosses over var2;
If Condition1 Then Begin
  var3 = true;
  var4 = High;
End

Checks whether price crossed above the upper band. If so, sets var3 to true and records the current bar’s high in var4.

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Else Begin
  Condition1 = var3 and (Price < var0 or High >= var4 + 1 point);
  If Condition1 Then
    var3 = false;
End;

On subsequent bars, resets the entry flag if either: price falls back below the moving average (signal invalidated), or the bar’s high reaches var4 + 1 point (the buy stop was triggered). This prevents the order from being re-placed after the entry has fired.

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If var3 Then
  Buy ("KltChLE") next bar at var4 + 1 point stop;

While var3 is true, places a buy stop order one point above the breakout bar’s high. The entry triggers when the market rises to that price.