StockSharp.Strategies.0333_Keltner_Seasonal_Filter.py

Keltner Seasonal Filter (Python Version)

The Keltner Seasonal Filter strategy is built around that trades based on Keltner Channel breakouts with seasonal bias filter.

Testing indicates an average annual return of about 94%. It performs best in the stocks market.

Signals trigger when Keltner confirms filtered entries on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like EmaPeriod, AtrPeriod. Adjust these defaults to balance risk and reward.

Details

• Entry Criteria: see implementation for indicator conditions.
• Long/Short: Both directions.
• Exit Criteria: opposite signal or stop logic.
• Stops: Yes, using indicator-based calculations.
• Default Values:
  • EmaPeriod = 20
  • AtrPeriod = 14
  • AtrMultiplier = 2m
  • SeasonalThreshold = 0.5m
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Trend following
  • Direction: Both
  • Indicators: Keltner, Seasonal
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday (5m)
  • Seasonality: Yes
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium