Keltner Channels

["Gaius Marius" <magnus@xxxxxxxxxxx>]

Here's one way of trading using the Keltner Channels. This one has about a
40% winning percentage, 1.5 profit factor and a ratio of win to loss of
about 2.3 on the 60 minute S&P.

You can improve it by changing the exit strategies. Or even the entry
criteria by having the Close crossing above the Upper Channel for a buy and
crossing the Lower Channel for a short and then use an internal trailing
stop to exit.

Play around with it will give you at least 3 different strategies that are
profitable.


Inputs: Len(25),Fc(1.75);
Vars: Upper(0),Lower(0),Mid(0),Rng(0),Dif(0);

Rng=XAverage(TrueRange,Len);
Mid=Xaverage(C,Len);
Upper=Mid+Fc*Rng;
Lower=Mid-Fc*Rng;
Dif=Close-Mid;

Condition1=Dif crosses above 0;
Condition2=Dif crosses below 0;
Condition3=Dif crosses below Fc*Rng;
Condition4=Dif crosses above -Fc*Rng;

If condition1 then buy on close;
If condition3 then exitlong on close;
If condition2 then sell on close;
If condition4 then exitshort on close;

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