Keltner channel breakouts on crypto
Buying a close above the upper Keltner band made money with all 6 settings on 4-hour bars, a median of +49.5% a year after costs. With a trend or volume filter, 206 combinations passed the two-period test.
How it works
Keltner channels place bands a multiple of the Average True Range above and below an exponential moving average. They are smoother than Bollinger Bands because ATR reacts more slowly than the standard deviation. A breakout rule buys when the close rises above the upper band and sells when it falls back below the average.
What we tested
- EMA and ATR over 20 or 50 bars; band 1, 1.5 or 2 ATRs above the EMA; buy on a close above the upper band, sell on a close below the EMA: 6 settings.
Every setting was run on eight bar lengths, from 1 minute to 4 hours, on Upbit's Korean-won market: 12 large coins from January 2024 to October 2026 (from January 2025 on 5- and 10-minute bars; 8 coins from April 2026 on 1- and 3-minute bars). Signals are taken at a bar's close and filled at the next bar's open, spot buying only, with equal money in each coin. Every trade pays Upbit's 0.05% fee plus one price tick of slippage. That makes 6 single-indicator settings, and 522 more combinations where the best of them were given a filter or an exit rule. Full method.
Results by setting and bar length
Each cell is the yearly return after costs over the whole period. An outlined cell passed the two-period test: at least +10% a year in both the first and the second period, with the second keeping at least half of the first.
Return per year after costs, %
Sea level (0) is break-even after costs: blue is under water, green to brown is land.
Settings above water after costs: 6 of 6 on 4-hour bars, 2 of 6 on 1-hour bars, and none on 30-minute bars or shorter. Passed the two-period test: 1 on 4-hour bars.
| Setting | 1m | 3m | 5m | 10m | 15m | 30m | 1h | 4h |
|---|---|---|---|---|---|---|---|---|
| Keltner(20, 1×ATR) buy above upper band, sell below EMA | −100.0 | −100.0 | −100.0 | −99.9 | −97.5 | −79.3 | −39.1 | +43.1 |
| Keltner(20, 1.5×ATR) buy above upper band, sell below EMA | −100.0 | −100.0 | −100.0 | −98.0 | −87.5 | −57.2 | −15.1 | +49.6 |
| Keltner(20, 2×ATR) buy above upper band, sell below EMA | −100.0 | −99.5 | −99.4 | −90.6 | −72.0 | −38.1 | +6.5 | +51.4 |
| Keltner(50, 1×ATR) buy above upper band, sell below EMA | −100.0 | −100.0 | −100.0 | −99.4 | −92.2 | −62.4 | −18.9 | +48.9 |
| Keltner(50, 1.5×ATR) buy above upper band, sell below EMA | −100.0 | −100.0 | −99.9 | −96.1 | −80.0 | −43.7 | −1.3 | +49.4 |
| Keltner(50, 2×ATR) buy above upper band, sell below EMA | −100.0 | −99.7 | −99.2 | −90.0 | −64.9 | −26.8 | +11.8 | +54.7 |
Adding filters and exit rules
On each bar length, the settings with the best first-period results were combined with up to two filters (trend on a longer chart, ADX, volume, RSI range, Bitcoin's trend) or one filter and an exit rule (stop-loss, trailing stop, take-profit, time limit). Combinations were only built where this indicator ranked among the leaders in the first period.
| Bars | Combinations that traded | Passed | Best that passed | Return a year | Worst fall | Second period |
|---|---|---|---|---|---|---|
| 4-hour | 522 | 206 | Keltner(20, 1.5×ATR) buy above upper band, sell below EMA + close above EMA 200 + volume above 1.5× its 20-bar average | +56.3% | −14.2% | +44.2% |
What we learned
- Wider bands did better on 4-hour bars: 2 ATRs had a median of +53.0% a year against +46.0% for 1 ATR. Keltner(50, 2×ATR) buy above upper band, sell below EMA made +54.7% a year with a worst fall of −25.8%.
- Only Keltner(20, 2×ATR) passed the two-period test on its own (+51.4% a year).
- Filters made it one of the most robust rules: 206 combinations passed on 4-hour bars. The best was Keltner(20, 1.5×ATR) buy above upper band, sell below EMA + close above EMA 200 + volume above 1.5× its 20-bar average: +56.3% a year, worst fall −14.2%.
- In a nine-year replay from 2017, Keltner(20, 2×ATR) on 4-hour bars made +93% a year with the fee alone and +82% with slippage, with a worst fall of 26%.
Questions
Keltner channels or Bollinger Bands for crypto breakouts?
They behaved almost the same on 4-hour bars: medians of +49.5% for Keltner and +52.9% for Bollinger breakouts. Both buy a close well above a moving average and both need slow bars.
Every setup with this indicator in the explorer: 4h 1h 30m 15m