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Keltner Channel Strategy by Kevin Davey

A simple volatility channel system. It buys when the close falls below the lower Keltner band and sells short when the close rises above the upper band. The channel is built from an EMA and an ATR multiple.

Default Parameters

  • EmaPeriod = 10
  • AtrPeriod = 14
  • AtrMultiplier = 1.6
  • CandleType = 5 minute
using System;
using System.Collections.Generic;

using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Keltner Channel Strategy by Kevin Davey.
/// Enters long when price closes below the lower band and short when it closes above the upper band.
/// </summary>
public class KeltnerChannelByKevinDaveyStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _maxEntries;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private int _entriesExecuted;
	private int _barsSinceSignal;

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }

	/// <summary>
	/// ATR multiplier.
	/// </summary>
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }

	/// <summary>
	/// Maximum entries per run.
	/// </summary>
	public int MaxEntries { get => _maxEntries.Value; set => _maxEntries.Value = value; }

	/// <summary>
	/// Minimum bars between entries.
	/// </summary>
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public KeltnerChannelByKevinDaveyStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 10)
			.SetDisplay("EMA Period", "Period for Exponential Moving Average", "Indicators")
			
			.SetOptimize(5, 30, 1);

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "Period for Average True Range", "Indicators")
			
			.SetOptimize(5, 30, 1);

		_atrMultiplier = Param(nameof(AtrMultiplier), 1.6m)
			.SetDisplay("ATR Multiplier", "Multiplier for ATR to form channel", "Indicators")
			
			.SetOptimize(1m, 3m, 0.1m);

		_maxEntries = Param(nameof(MaxEntries), 45)
			.SetDisplay("Max Entries", "Maximum entries per run", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 20)
			.SetDisplay("Cooldown Bars", "Minimum bars between entries", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_entriesExecuted = 0;
		_barsSinceSignal = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_entriesExecuted = 0;
		_barsSinceSignal = CooldownBars;

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, atr, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal emaValue, decimal atrValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_barsSinceSignal++;

		var upperBand = emaValue + AtrMultiplier * atrValue;
		var lowerBand = emaValue - AtrMultiplier * atrValue;

		if (_barsSinceSignal < CooldownBars)
			return;

		if (Position > 0 && candle.ClosePrice >= emaValue)
		{
			SellMarket();
			_barsSinceSignal = 0;
		}
		else if (Position < 0 && candle.ClosePrice <= emaValue)
		{
			BuyMarket();
			_barsSinceSignal = 0;
		}
		else if (Position == 0 && _entriesExecuted < MaxEntries && _barsSinceSignal >= CooldownBars)
		{
			if (candle.ClosePrice < lowerBand)
			{
				BuyMarket();
				_entriesExecuted++;
				_barsSinceSignal = 0;
			}
			else if (candle.ClosePrice > upperBand)
			{
				SellMarket();
				_entriesExecuted++;
				_barsSinceSignal = 0;
			}
		}
	}
}