The Surprising Indicator Beats the Market Best of All

During the past several weeks, I've tested fifteen different indicators and price action entries.

I've tested MACD, Momentum, moving average crosses, Stochastics, RSI, Key Reversals, and Outside Bars (just to name a few). 

A lot of them beat the market. 

But, to finish our discussion, I wanted to talk about the Indicator that performed best of all.

And it might surprise you. It did me.

The #1 performing indicator was...

Keltner Channels. 

Were you expecting that?

As I've done throughout our discussion, I just used the off-the-shelf settings. I didn't optimize any of the indicators or price action entries.

That being the case, here's how the Keltner Channel "strategy" works (using the standard inputs of length 20/ATRs 1.5).

When price closes above the Keltner Channel, we go Long when price moves 1 tick above the high of the bar that closed above the channel.

Here's what that looks like:

https://www.screencast.com/t/Jr3042ONQMl

Then we hold for 60 bars. 

Well, not exactly.

I did the smallest bit of optimizing for this one. I just had to see.

As it turns out, the Keltner Channel entry works best if we hold for 57 bars. Considering that's almost exactly the same at the holding period we've been using, I thought that would be okay. 

Here are the results.

If we used 1 contract on a hypothetical $25k hypothetical account, from 1998-2018 we'd have a profit of $106,762 and a total return (no compounding) of 427%. 

See the report:

https://www.screencast.com/t/dPjdFxRE

If, on the other hand, we bought-and-held 1 ES contract from 1998 until 6/27/18, we'd only have $73,055 of profit and a 292% return:

https://www.screencast.com/t/ZSM0FHEaMM

Of course, as you peruse the reports, you see that the Keltner Channel also had WAY less drawdown. We could double our trade size using the Keltner Channel and get twice the profit for the same drawdown as buy-and-hold. 

Pretty amazing. 

After all of the testing, the Keltner Channel indicator beat all other indicators and the market.

Who knew?

Maybe it's time for all of us to get some Keltner Channel in our lives.

 

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