[Famous-Q] Keltner channel breakout
public
@djgambhirBTCUSDT · 1d · 2021-12-29 → 2026-08-31 · 1,707 bars in 2.5ms
Underperformed the market. Holding BTCUSDT returned +69.15% over the same period, against this strategy’s +0.74%.
Net P&L
+0.74%
$74.09
Max drawdown
-17.20%
Max run-up
+21.63%
Trades
115
35.7% win rate
Profit factor
1.01
2021-12-29drawdown · worst -17.20%2026-08-31
TrainingValidationOut-of-sample
| Segment | Period | Return | Max drawdown | Trades | Win rate |
|---|---|---|---|---|---|
| Training | 2022-01-01 → 2024-10-18 | +9.87% | -9.23% | 65 | 42% |
| Validation | 2024-10-18 → 2025-09-24 | -7.68% | -13.46% | 25 | 24% |
| Out-of-sample | 2025-09-24 → 2026-08-31 | +0.00% | -7.85% | 24 | 29% |
Risk-adjusted
- Sharpe
- 0.06
- Sortino
- 0.10
- Calmar
- 0.01
- Return ÷ max drawdown
- 0.04
- CAGR
- +0.16%
- Exposure
- 53.0%
Per trade
- Expectancy
- $0.64 · +0.10%
- Average win / loss
- $193.21 / −$106.05
- Payoff ratio
- 1.82
- Largest win / loss
- $803.82 / −$314.18
- Longest losing streak(winning: 3)
- 5 trades
Drawdown over time
- Max drawdown
- -17.20%
- Longest time under water(still going at the end)
- 901 days
- Worst drawdown recovered in
- not recovered
Costs and mechanics
- Fees paid
- −$298.94
- Funding
- −$234.89
- Liquidations
- 0
- Warmup bars(loaded before the start date)
- 9
- Benchmark(buy and hold)
- +69.15%
Monte Carlo
1,000 alternative histories, each 115 trades drawn at random from this run’s own. The bands hold the middle 50% and 90% of them; the solid line is what actually happened.
this runmedian of the historiesmiddle 50% · 90%
| Unlucky (5%) | Typical | Lucky (95%) | |
|---|---|---|---|
| Return | -27.26% | +0.79% | +43.07% |
| Max drawdown | -33.43% | -18.39% | -9.59% |
49% of histories lost money, and 56% had a deeper drawdown than this run’s -17.20%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.
Settings
- mid length
- 10
- atr10 length
- 10
- Leverage (×)
- 1
- Position size (% of equity)
- 25
BTCUSDT with every trade
Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss
Trades
115 trades
| # | Side | Entry | Exit | Held | P&L | Return | Closed by |
|---|---|---|---|---|---|---|---|
| 1 | short | 2021-12-30 00:00 @ 46,427.24 | 2022-01-13 00:00 @ 43,889.50 | 14d | $143.01 | +5.72% | signal |
| 2 | short | 2022-01-22 00:00 @ 36,419.17 | 2022-01-29 00:00 @ 37,703.76 | 7d | −$91.42 | -3.61% | signal |
| 3 | long | 2022-02-05 00:00 @ 41,558.31 | 2022-02-14 00:00 @ 42,032.71 | 9d | $21.87 | +0.87% | signal |
| 4 | short | 2022-02-18 00:00 @ 40,483.70 | 2022-02-27 00:00 @ 39,107.12 | 9d | $83.59 | +3.32% | signal |
| 5 | long | 2022-03-01 00:00 @ 43,163.63 | 2022-03-05 00:00 @ 39,119.87 | 4d | −$242.89 | -9.57% | signal |
| 6 | short | 2022-03-08 00:00 @ 37,956.11 | 2022-03-10 00:00 @ 41,947.89 | 2d | −$261.95 | -10.57% | signal |
| 7 | long | 2022-03-20 00:00 @ 42,196.64 | 2022-04-03 00:00 @ 45,783.14 | 14d | $194.75 | +8.07% | signal |
| 8 | short | 2022-04-07 00:00 @ 43,151.17 | 2022-04-19 00:00 @ 40,793.86 | 12d | $134.44 | +5.46% | signal |
| 9 | short | 2022-04-27 00:00 @ 38,086.08 | 2022-05-05 00:00 @ 39,692.04 | 8d | −$105.39 | -4.22% | signal |
| 10 | short | 2022-05-06 00:00 @ 36,526.39 | 2022-05-20 00:00 @ 30,325.96 | 14d | $418.90 | +16.97% | signal |
| 11 | long | 2022-05-31 00:00 @ 31,732.85 | 2022-06-04 00:00 @ 29,676.86 | 4d | −$170.86 | -6.64% | signal |
| 12 | short | 2022-06-12 00:00 @ 28,410.92 | 2022-06-24 00:00 @ 21,100.82 | 12d | $649.36 | +25.66% | signal |
| 13 | long | 2022-07-08 00:00 @ 21,618.82 | 2022-07-12 00:00 @ 19,950.31 | 4d | −$212.99 | -7.91% | signal |
| 14 | long | 2022-07-19 00:00 @ 22,427.98 | 2022-07-26 00:00 @ 21,295.74 | 7d | −$140.40 | -5.32% | signal |
| 15 | short | 2022-08-20 00:00 @ 20,820.84 | 2022-09-10 00:00 @ 21,356.27 | 21d | −$69.66 | -2.67% | signal |
| 16 | long | 2022-09-11 00:00 @ 21,643.83 | 2022-09-14 00:00 @ 20,158.57 | 3d | −$182.17 | -7.04% | signal |
| 17 | short | 2022-09-19 00:00 @ 19,400.62 | 2022-09-27 00:00 @ 19,220.14 | 8d | $22.06 | +0.87% | signal |
| 18 | long | 2022-10-05 00:00 @ 20,336.97 | 2022-10-08 00:00 @ 19,517.00 | 3d | −$107.39 | -4.22% | signal |
| 19 | long | 2022-10-26 00:00 @ 20,072.31 | 2022-11-03 00:00 @ 20,136.17 | 8d | $4.26 | +0.17% | signal |
| 20 | long | 2022-11-06 00:00 @ 21,294.06 | 2022-11-08 00:00 @ 20,574.38 | 2d | −$88.96 | -3.53% | signal |
| 21 | short | 2022-11-09 00:00 @ 18,530.19 | 2022-11-24 00:00 @ 16,599.12 | 15d | $250.01 | +10.00% | signal |
| 22 | long | 2022-12-01 00:00 @ 17,156.83 | 2022-12-08 00:00 @ 16,824.63 | 7d | −$53.79 | -2.10% | signal |
| 23 | long | 2022-12-14 00:00 @ 17,780.66 | 2022-12-17 00:00 @ 16,620.78 | 3d | −$170.31 | -6.68% | signal |
| 24 | short | 2022-12-20 00:00 @ 16,425.91 | 2022-12-25 00:00 @ 16,832.37 | 5d | −$62.08 | -2.48% | signal |
| 25 | long | 2023-01-09 00:00 @ 17,128.02 | 2023-01-31 00:00 @ 22,815.34 | 22d | $803.82 | +32.28% | signal |
| 26 | short | 2023-02-10 00:00 @ 21,788.94 | 2023-02-16 00:00 @ 24,337.57 | 6d | −$314.18 | -11.67% | signal |
| 27 | long | 2023-02-17 00:00 @ 23,531.31 | 2023-02-24 00:00 @ 23,923.91 | 7d | $35.61 | +1.36% | signal |
| 28 | short | 2023-03-04 00:00 @ 22,338.33 | 2023-03-13 00:00 @ 21,990.60 | 9d | $40.14 | +1.53% | signal |
| 29 | long | 2023-03-14 00:00 @ 24,124.32 | 2023-03-28 00:00 @ 27,106.58 | 14d | $313.59 | +11.92% | signal |
| 30 | long | 2023-04-11 00:00 @ 29,629.02 | 2023-04-18 00:00 @ 29,414.22 | 7d | −$26.53 | -0.98% | signal |
| 31 | short | 2023-04-20 00:00 @ 28,789.24 | 2023-04-28 00:00 @ 29,464.89 | 8d | −$62.77 | -2.32% | signal |
| 32 | short | 2023-05-09 00:00 @ 27,654.27 | 2023-05-18 00:00 @ 27,401.18 | 9d | $24.75 | +0.92% | signal |
| 33 | long | 2023-05-29 00:00 @ 28,061.41 | 2023-06-02 00:00 @ 26,799.94 | 4d | −$126.00 | -4.68% | signal |
| 34 | short | 2023-06-06 00:00 @ 25,709.46 | 2023-06-07 00:00 @ 27,226.94 | 1d | −$160.07 | -6.01% | signal |
| 35 | short | 2023-06-15 00:00 @ 25,110.88 | 2023-06-17 00:00 @ 26,341.17 | 2d | −$130.78 | -4.99% | signal |
| 36 | long | 2023-06-21 00:00 @ 28,296.36 | 2023-07-06 00:00 @ 30,482.30 | 15d | $185.44 | +7.16% | signal |
| 37 | long | 2023-07-14 00:00 @ 31,447.89 | 2023-07-15 00:00 @ 30,287.24 | 1d | −$100.65 | -3.82% | signal |
| 38 | short | 2023-08-17 00:00 @ 28,708.66 | 2023-08-29 00:00 @ 26,111.72 | 12d | $235.35 | +9.01% | signal |
| 39 | long | 2023-08-30 00:00 @ 27,705.64 | 2023-09-01 00:00 @ 25,922.81 | 2d | −$175.22 | -6.56% | signal |
| 40 | long | 2023-09-20 00:00 @ 27,201.34 | 2023-09-22 00:00 @ 26,547.29 | 2d | −$65.85 | -2.51% | signal |
| 41 | long | 2023-10-02 00:00 @ 27,987.00 | 2023-10-10 00:00 @ 27,572.88 | 8d | −$42.20 | -1.62% | signal |
| 42 | short | 2023-10-12 00:00 @ 26,859.13 | 2023-10-17 00:00 @ 28,492.00 | 5d | −$159.46 | -6.14% | signal |
| 43 | long | 2023-10-18 00:00 @ 28,387.68 | 2023-11-15 00:00 @ 35,551.99 | 28d | $617.87 | +24.14% | signal |
| 44 | long | 2023-11-16 00:00 @ 37,893.08 | 2023-11-17 00:00 @ 36,168.76 | 1d | −$127.10 | -4.68% | signal |
| 45 | long | 2023-12-03 00:00 @ 39,442.99 | 2023-12-12 00:00 @ 41,262.85 | 9d | $110.38 | +4.12% | signal |
| 46 | long | 2024-01-03 00:00 @ 44,988.70 | 2024-01-04 00:00 @ 42,840.93 | 1d | −$133.24 | -4.92% | signal |
| 47 | long | 2024-01-09 00:00 @ 46,981.99 | 2024-01-13 00:00 @ 42,780.44 | 4d | −$245.00 | -9.15% | signal |
| 48 | short | 2024-01-15 00:00 @ 41,726.55 | 2024-01-27 00:00 @ 41,814.76 | 12d | $1.18 | +0.05% | signal |
| 49 | long | 2024-01-30 00:00 @ 43,296.26 | 2024-02-06 00:00 @ 42,684.36 | 7d | −$44.44 | -1.70% | signal |
| 50 | long | 2024-02-08 00:00 @ 44,335.17 | 2024-02-23 00:00 @ 51,306.64 | 15d | $391.69 | +15.04% | signal |
| 51 | long | 2024-02-27 00:00 @ 54,522.60 | 2024-03-17 00:00 @ 65,337.93 | 19d | $448.93 | +16.61% | signal |
| 52 | short | 2024-03-20 00:00 @ 61,961.71 | 2024-03-25 00:00 @ 67,274.35 | 5d | −$238.15 | -8.46% | signal |
| 53 | short | 2024-04-03 00:00 @ 65,489.30 | 2024-04-07 00:00 @ 68,915.28 | 4d | −$143.52 | -5.21% | signal |
| 54 | short | 2024-04-14 00:00 @ 63,926.91 | 2024-04-21 00:00 @ 64,910.18 | 7d | −$41.31 | -1.52% | signal |
| 55 | short | 2024-05-01 00:00 @ 60,639.07 | 2024-05-04 00:00 @ 62,866.27 | 3d | −$101.08 | -3.73% | signal |
| 56 | long | 2024-05-16 00:00 @ 66,188.64 | 2024-05-29 00:00 @ 68,426.71 | 13d | $79.81 | +2.97% | signal |
| 57 | long | 2024-06-06 00:00 @ 71,147.53 | 2024-06-12 00:00 @ 67,307.14 | 6d | −$153.35 | -5.67% | signal |
| 58 | short | 2024-06-14 00:00 @ 66,773.44 | 2024-07-01 00:00 @ 62,778.65 | 17d | $168.05 | +6.31% | signal |
| 59 | short | 2024-07-05 00:00 @ 57,034.49 | 2024-07-13 00:00 @ 57,881.57 | 8d | −$38.00 | -1.40% | signal |
| 60 | long | 2024-07-15 00:00 @ 60,778.15 | 2024-07-25 00:00 @ 65,337.63 | 10d | $196.85 | +7.30% | signal |
| 61 | short | 2024-08-03 00:00 @ 61,471.40 | 2024-08-09 00:00 @ 61,672.13 | 6d | −$9.71 | -0.35% | signal |
| 62 | long | 2024-08-24 00:00 @ 64,032.80 | 2024-08-28 00:00 @ 59,372.52 | 4d | −$202.99 | -7.40% | signal |
| 63 | short | 2024-09-02 00:00 @ 57,256.65 | 2024-09-10 00:00 @ 57,021.50 | 8d | $8.12 | +0.30% | signal |
| 64 | long | 2024-09-14 00:00 @ 60,468.29 | 2024-10-01 00:00 @ 63,296.34 | 17d | $117.52 | +4.36% | signal |
| 65 | short | 2024-10-02 00:00 @ 60,764.54 | 2024-10-12 00:00 @ 62,521.50 | 10d | −$78.52 | -2.88% | signal |
| 66 | long | 2024-10-15 00:00 @ 66,078.11 | 2024-10-24 00:00 @ 66,633.97 | 9d | $12.65 | +0.47% | signal |
| 67 | long | 2024-10-29 00:00 @ 69,953.89 | 2024-11-04 00:00 @ 68,748.75 | 6d | −$54.26 | -2.00% | signal |
| 68 | long | 2024-11-07 00:00 @ 75,595.02 | 2024-11-26 00:00 @ 93,045.39 | 19d | $591.41 | +21.95% | signal |
| 69 | long | 2024-12-16 00:00 @ 104,481.39 | 2024-12-19 00:00 @ 100,161.16 | 3d | −$122.77 | -4.32% | signal |
| 70 | short | 2024-12-23 00:00 @ 95,134.37 | 2024-12-26 00:00 @ 99,399.48 | 3d | −$126.38 | -4.49% | signal |
| 71 | long | 2025-01-07 00:00 @ 102,200.94 | 2025-01-09 00:00 @ 94,995.00 | 2d | −$200.21 | -7.20% | signal |
| 72 | short | 2025-01-10 00:00 @ 92,487.50 | 2025-01-15 00:00 @ 96,534.20 | 5d | −$119.98 | -4.39% | signal |
| 73 | long | 2025-01-16 00:00 @ 100,480.09 | 2025-01-27 00:00 @ 102,539.49 | 11d | $45.09 | +1.67% | signal |
| 74 | short | 2025-02-03 00:00 @ 97,644.97 | 2025-02-13 00:00 @ 97,835.86 | 10d | −$4.64 | -0.17% | signal |
| 75 | short | 2025-02-25 00:00 @ 91,496.20 | 2025-03-03 00:00 @ 94,240.84 | 6d | −$82.58 | -3.05% | signal |
| 76 | short | 2025-03-10 00:00 @ 80,674.56 | 2025-03-16 00:00 @ 84,319.86 | 6d | −$123.08 | -4.58% | signal |
| 77 | short | 2025-04-07 00:00 @ 78,374.42 | 2025-04-10 00:00 @ 82,604.42 | 3d | −$145.12 | -5.46% | signal |
| 78 | long | 2025-04-23 00:00 @ 93,423.58 | 2025-05-05 00:00 @ 94,211.35 | 12d | $20.71 | +0.79% | signal |
| 79 | long | 2025-05-09 00:00 @ 103,248.65 | 2025-05-18 00:00 @ 103,058.88 | 9d | −$11.87 | -0.45% | signal |
| 80 | long | 2025-05-19 00:00 @ 106,428.78 | 2025-05-29 00:00 @ 107,701.56 | 10d | $23.47 | +0.89% | signal |
| 81 | short | 2025-05-31 00:00 @ 103,929.11 | 2025-06-08 00:00 @ 105,528.60 | 8d | −$41.87 | -1.59% | signal |
| 82 | long | 2025-06-10 00:00 @ 110,250.05 | 2025-06-13 00:00 @ 105,588.28 | 3d | −$114.84 | -4.38% | signal |
| 83 | short | 2025-06-23 00:00 @ 100,884.52 | 2025-06-24 00:00 @ 105,312.06 | 1d | −$116.36 | -4.49% | signal |
| 84 | long | 2025-06-30 00:00 @ 108,331.46 | 2025-07-02 00:00 @ 105,616.77 | 2d | −$67.14 | -2.62% | signal |
| 85 | long | 2025-07-10 00:00 @ 111,222.04 | 2025-07-20 00:00 @ 117,790.74 | 10d | $139.93 | +5.50% | signal |
| 86 | short | 2025-08-02 00:00 @ 113,222.15 | 2025-08-08 00:00 @ 117,443.38 | 6d | −$96.14 | -3.73% | signal |
| 87 | long | 2025-08-11 00:00 @ 119,279.15 | 2025-08-16 00:00 @ 117,255.64 | 5d | −$49.18 | -1.92% | signal |
| 88 | short | 2025-08-20 00:00 @ 112,801.54 | 2025-08-23 00:00 @ 116,920.88 | 3d | −$94.21 | -3.70% | signal |
| 89 | short | 2025-08-26 00:00 @ 110,042.09 | 2025-09-03 00:00 @ 111,210.14 | 8d | −$25.72 | -1.02% | signal |
| 90 | long | 2025-09-11 00:00 @ 113,919.58 | 2025-09-21 00:00 @ 115,601.88 | 10d | $31.09 | +1.24% | signal |
| 91 | short | 2025-09-23 00:00 @ 112,582.18 | 2025-09-30 00:00 @ 114,279.95 | 7d | −$38.25 | -1.52% | signal |
| 92 | long | 2025-10-02 00:00 @ 118,575.71 | 2025-10-11 00:00 @ 112,692.46 | 9d | −$132.13 | -5.26% | signal |
| 93 | short | 2025-10-12 00:00 @ 110,556.98 | 2025-10-21 00:00 @ 110,491.99 | 9d | −$2.21 | -0.09% | signal |
| 94 | long | 2025-10-27 00:00 @ 114,520.80 | 2025-10-30 00:00 @ 109,963.60 | 3d | −$102.37 | -4.13% | signal |
| 95 | short | 2025-11-04 00:00 @ 106,522.69 | 2025-11-11 00:00 @ 105,987.49 | 7d | $12.64 | +0.52% | signal |
| 96 | short | 2025-11-15 00:00 @ 94,525.99 | 2025-11-27 00:00 @ 90,456.09 | 12d | $107.51 | +4.38% | signal |
| 97 | short | 2025-12-16 00:00 @ 86,372.72 | 2025-12-22 00:00 @ 88,639.02 | 6d | −$64.81 | -2.61% | signal |
| 98 | long | 2026-01-05 00:00 @ 91,515.50 | 2026-01-10 00:00 @ 90,585.58 | 5d | −$29.39 | -1.19% | signal |
| 99 | long | 2026-01-14 00:00 @ 95,394.28 | 2026-01-20 00:00 @ 92,571.08 | 6d | −$76.70 | -3.12% | signal |
| 100 | short | 2026-01-21 00:00 @ 88,373.02 | 2026-02-15 00:00 @ 69,809.36 | 25d | $512.95 | +21.02% | signal |
| 101 | short | 2026-02-24 00:00 @ 64,612.87 | 2026-02-26 00:00 @ 67,966.09 | 2d | −$135.81 | -5.29% | signal |
| 102 | long | 2026-03-05 00:00 @ 72,655.93 | 2026-03-07 00:00 @ 68,069.38 | 2d | −$162.62 | -6.41% | signal |
| 103 | long | 2026-03-16 00:00 @ 72,793.36 | 2026-03-19 00:00 @ 71,188.66 | 3d | −$57.45 | -2.30% | signal |
| 104 | short | 2026-03-23 00:00 @ 67,817.13 | 2026-03-26 00:00 @ 71,311.76 | 3d | −$129.97 | -5.24% | signal |
| 105 | short | 2026-03-28 00:00 @ 66,350.83 | 2026-04-06 00:00 @ 69,011.70 | 9d | −$100.88 | -4.12% | signal |
| 106 | long | 2026-04-08 00:00 @ 71,904.58 | 2026-04-20 00:00 @ 73,743.65 | 12d | $62.35 | +2.57% | signal |
| 107 | long | 2026-04-23 00:00 @ 78,155.33 | 2026-04-29 00:00 @ 76,282.94 | 6d | −$59.33 | -2.43% | signal |
| 108 | long | 2026-05-06 00:00 @ 80,878.07 | 2026-05-13 00:00 @ 80,444.91 | 7d | −$15.30 | -0.63% | signal |
| 109 | short | 2026-05-17 00:00 @ 78,088.68 | 2026-05-26 00:00 @ 77,296.96 | 9d | $24.79 | +1.02% | signal |
| 110 | short | 2026-05-28 00:00 @ 74,403.12 | 2026-06-12 00:00 @ 63,610.72 | 15d | $353.25 | +14.56% | signal |
| 111 | long | 2026-06-15 00:00 @ 65,715.24 | 2026-06-19 00:00 @ 62,911.42 | 4d | −$109.57 | -4.36% | signal |
| 112 | short | 2026-06-25 00:00 @ 61,038.99 | 2026-07-03 00:00 @ 61,552.81 | 8d | −$20.73 | -0.83% | signal |
| 113 | long | 2026-07-05 00:00 @ 63,127.52 | 2026-07-14 00:00 @ 62,294.54 | 9d | −$39.69 | -1.60% | signal |
| 114 | long | 2026-07-22 00:00 @ 66,535.60 | 2026-07-25 00:00 @ 64,103.68 | 3d | −$93.67 | -3.79% | signal |
| 115 | long | 2026-08-20 00:00 @ 69,323.96 | 2026-08-31 00:00 @ 77,619.07 | 11d | $282.49 | +11.54% | signal |
How this was run
Orders fill at the next bar’s open, never at the close that produced the signal. When one bar’s range covered both the stop and the target, the stop was taken, because the data cannot say which came first. Fees, slippage and funding are all charged.
Warmup history was loaded from before 2022-01-01 so the requested window is fully tradable.