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Keltner Channels

This document presents the results of a sensitivity test of a Keltner Channels trading strategy using a 2-phase model. It includes figures showing the profit factor, Sharpe ratio, ulcer performance index, compound annual growth rate, maximum drawdown, percentage of profitable trades, and average win/loss ratio from applying different parameters to the strategy, as well as an equity curve graphing the results of the sensitivity test.

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Oxford Capital Strategies Ltd
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261 views8 pages

Keltner Channels

This document presents the results of a sensitivity test of a Keltner Channels trading strategy using a 2-phase model. It includes figures showing the profit factor, Sharpe ratio, ulcer performance index, compound annual growth rate, maximum drawdown, percentage of profitable trades, and average win/loss ratio from applying different parameters to the strategy, as well as an equity curve graphing the results of the sensitivity test.

Uploaded by

Oxford Capital Strategies Ltd
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Keltner Channels 2-Phase Model: Sensitivity Test

Oxford Capital Strategies Ltd: http://www.oxfordstrat.com Trading Strategy: http://www.oxfordstrat.com/trading-strategies/keltner-channels Commission & Slippage: $0

Figure 1.1 Profit Factor.

Figure 1.2 Sharpe Ratio.

Figure 1.3 Ulcer Performance Index.

Figure 1.4 Compound Annual Growth Rate.

Figure 1.5 Maximum Drawdown.

Figure 1.6 Percent Profitable Trades.

Figure 1.7 Average Win/Average Loss Ratio.

Figure 1.8 Equity ($): Sensitivity Test.

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