StockSharp.Strategies.0277_Keltner_Width_Mean_Reversion.py

Keltner Width Mean Reversion (Python Version)

The Keltner Width Mean Reversion strategy focuses on extreme readings of the Keltner to exploit reversion. Wide departures from the normal level rarely last.

Testing indicates an average annual return of about 160%. It performs best in the forex market.

Trades trigger when the indicator swings far from its mean and then begins to reverse. Both long and short setups include a protective stop.

Suited for swing traders expecting oscillations, the strategy closes out once the Keltner returns toward balance. Starting parameter EmaPeriod = 20.

Details

• Entry Criteria: Indicator crosses back toward mean.
• Long/Short: Both directions.
• Exit Criteria: Indicator reverts to average.
• Stops: Yes.
• Default Values:
  • EmaPeriod = 20
  • AtrPeriod = 14
  • KeltnerMultiplier = 2.0m
  • WidthLookbackPeriod = 20
  • WidthDeviationMultiplier = 2.0m
  • AtrStopMultiplier = 2.0m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Mean Reversion
  • Direction: Both
  • Indicators: Keltner
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Short-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium