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King Keltner strategy & Keltner Channel usage example

From bok "Building winning trading systems" by Heorge Pruitt.

Trend following, so will be burnt in normal market, but strill somewhat profitable.

Without portfolio, on crude ETF (USO). Diversification is a must as Pruit shows that system behaves well only with portfolio.

Plots Keltner channel too.
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Great buy & sell points during strongly trending times - considering the underlying asset lost 70% of its value its pretty good performance. Perhaps there's a supplementary indicator (e.g. VIX) for when this indicator would be reliable?
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Losses were made due to non-trending market, so probably here can help something like Kaufman efficiency ratio, i.e. return/total_price_changes or some adaptive thing or regime switcher.

Here's fast made prototype how that can work. Short term ER falls below long term ER on regime change 2009/January. That may be made into % to adjust trade sizes (maybe :) ).

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Alao, losses are too large because of trending exit, so there is also reason to improve that. And then see what works :)
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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