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Strategies / Breakout / Keltner Channel Breakout With Slope

Keltner Channel Breakout With Slope

Buys when the close moves above the upper Keltner Channel while the 200-period SMA is not falling, and sells short when it closes below the lower channel while that SMA is falling. Each trade has a 0.5% stop and a 1.0% target.

BreakoutLong & shortSwingUSD/JPYDaily
1.25Profit factor
1,107,700Net profit USD
37.28%Win rate
979Trades
-226,620Max drawdown
1,131Avg trade

Best run of 14. USD/JPY, Daily, spread 1, from run pf:2026-10-05-USDJPY-D.tsv:9.

Entry rules, long

  2. The 200-period SMA is not lower than on the previous bar.

Entry rules, short

  2. The 200-period SMA is lower than on the previous bar.

Exit rules

  2. A still-valid signal can re-enter after a stop or target exit.

Test conditions

PeriodUp to 2026-10-05
InstrumentUSD/JPY, Daily
Spread1 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDaily1.25 97937.281,107,700 USD-226,620
USD/JPY10 minn/a 1,48632.03412,850 USD-225,060
USD/JPY15 minn/a 1,56832.65340,120 USD-146,930
USD/JPY30 minn/a 2,12833.08325,830 USD-244,760
USD/JPY4 hoursn/a 97334.43283,020 USD-276,790
EUR/USD1 hourn/a 2,51833.4829,272 USD-26,835
Nikkei 2253 minn/a 1,96134.1228,030 USD-7,995
EUR/USD4 hoursn/a 1,13034.2521,766 USD-20,101
EUR/USDDailyn/a 84034.6417,796 USD-13,904
DAX 405 minn/a 1,75131.584,397 EUR-4,065
GBP/USDDailyn/a 92934.663,971 USD-3,401
Nasdaq 1003 minn/a 1,66131.733,796 EUR-3,321
Gold5 minn/a 1,98932.28805 EUR-581
Gold4 hoursn/a 1,57233.02732 EUR-348

Charts

Results by run

Top 10 of 14 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Keltner Channel Breakout With Slope
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

sma = Average[200](close)

21 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

Keltner ChannelEMAATRSMA
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Keltner Channel Breakout With Slope in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 14 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.25 over 979 trades.

How large was the drawdown?

The best run had a maximum drawdown of 226,620 USD at the tested position size, against a net result of 1,107,700 USD.

Does it trade long, short or both?

It trades both long and short.

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The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.comStatsDocs