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Strategies / Mean reversion / Keltner Channel Rebound

Keltner Channel Rebound

The system buys when close moves back above the lower Keltner band after the prior close was below it, and sells short on the mirror setup at the upper band. Stops sit at the outer band and targets at the opposite band.

Mean reversionLong & shortSwingUSD/JPYDaily
n/aProfit factor
13,440Net profit USD
46.17%Win rate
836Trades
-4,940Max drawdown
16.08Avg trade

Best run of 2. USD/JPY, Daily, spread 1, from run sweeps:2026-10-11-USDJPY-D-opt.tsv:150.

Entry rules, long

  1. The previous close is below the current lower band, EMA(35) minus 1.5 times EMA(35) of true range.
  3. Only flat positions can open a new trade.

Entry rules, short

  1. The previous close is above the current upper band, EMA(35) plus 1.5 times EMA(35) of true range.
  3. Only flat positions can open a new trade.

Exit rules

  1. A long's stop sits 3 times the EMA(35) of true range below the EMA(35) midline, measured from the fill price.
  2. A short's stop sits 3 times that range above the midline.

Test conditions

PeriodUp to 2026-10-11
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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDailyn/a 83646.1713,440 USD-4,940
Brent Crude4 hoursn/a 76945.514,822 EUR-4,691

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Keltner Channel Rebound
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

mid = ExponentialAverage[35](close)
myTr = TR(close)
rng = ExponentialAverage[35](myTr)
up = mid + 1.5 * rng
lo = mid - 1.5 * rng
upsl = mid + 3 * rng
losl = mid - 3 * rng

20 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 ChannelEMATrue Range
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Keltner Channel Rebound 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 2 market and timeframe combinations. The best run by trade count was USD/JPY, Daily, with 836 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,940 USD at the tested position size, against a net result of 13,440 USD.

Does it trade long, short or both?

It trades both long and short.

Related

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Trend Surfer

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ATR Band

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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