Keltner Channel SE#

This strategy uses the Keltner Channel to identify short 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 below the lower band, the strategy places a sell short stop order one point below the breakout bar’s low.

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 under var2;
If Condition1 Then Begin
  var3 = true;
  var4 = Low;
End
Else Begin
  Condition1 = var3 and (Price > var0 or Low <= var4 - 1 point);
  If Condition1 Then
    var3 = false;
End;

If var3 Then
  Sell Short ("KltChSE") 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 lower Keltner Channel band (var0 - var1).
• var3: Boolean flag tracking whether entry conditions are met.
• var4: Stores the low 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, subtracts the ATR distance scaled by NumATRs, and stores the result as the lower channel band.

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

Checks whether price crossed below the lower band. If so, sets var3 to true and records the current bar’s low in var4.

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

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

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If var3 Then
  Sell Short ("KltChSE") next bar at var4 - 1 point stop;

While var3 is true, places a sell short stop order one point below the breakout bar’s low. The entry triggers when the market falls to that price.