Strategy test · mean reversion

Does Keltner reversion work?

Price outside the Keltner channel. Tested on every popular stock and coin, with real trading costs taken off.

The short answer

After costs, it kept money on 21 of the 47 stocks and coins we test.

It gave a signal 4,644 times and worked 1,245 of them (27%). On average each trade lost 0.00R.

Instrument	Kept a trade	Hit rate	Worked	Signals
AMZN Amazon	+0.34R	35%	30	85
SHOP Shopify	+0.33R	37%	37	101
ARM Arm Holdings	+0.30R	37%	17	46
F Ford	+0.27R	37%	29	78
AMC AMC Entertainment	+0.21R	30%	23	76
GME GameStop	+0.14R	34%	29	86
PYPL PayPal	+0.13R	28%	24	85
SNOW Snowflake	+0.12R	28%	26	94
LTC Litecoin	+0.10R	28%	27	97
NKE Nike	+0.07R	26%	28	106
PLTR Palantir	+0.07R	33%	31	95
DIS Disney	+0.06R	25%	24	95
SOFI SoFi	+0.05R	32%	27	84
AVGO Broadcom	+0.05R	27%	25	93
COST Costco	+0.05R	30%	26	87
RIVN Rivian	+0.05R	29%	23	78
XRP XRP	+0.05R	24%	21	87
NFLX Netflix	+0.03R	27%	31	115
INTC Intel	+0.02R	29%	30	104
TSLA Tesla	+0.01R	30%	27	91
CRWD CrowdStrike	+0.01R	32%	34	106
UBER Uber	-0.01R	28%	20	72
SPY S&P 500 ETF	-0.01R	29%	31	107
HOOD Robinhood	-0.01R	31%	34	108
SMCI Super Micro Computer	-0.02R	27%	27	100
BAC Bank of America	-0.03R	24%	25	103
SOL Solana	-0.04R	23%	27	116
AAPL Apple	-0.05R	28%	29	103
QQQ Nasdaq 100 ETF	-0.05R	30%	34	112
NVDA NVIDIA	-0.05R	27%	28	103
KO Coca-Cola	-0.06R	29%	23	78
BA Boeing	-0.06R	30%	32	108
DOGE Dogecoin	-0.07R	22%	21	95
VOO Vanguard S&P 500 ETF	-0.08R	25%	27	106
META Meta	-0.08R	23%	27	116
BTC Bitcoin	-0.08R	24%	28	118
COIN Coinbase	-0.09R	19%	17	89
AVAX Avalanche	-0.09R	22%	30	138
LINK Chainlink	-0.09R	21%	24	114
MSTR Strategy (MicroStrategy)	-0.10R	24%	25	103
AMD AMD	-0.12R	23%	25	111
JPM JPMorgan Chase	-0.12R	22%	23	103
ADA Cardano	-0.13R	23%	27	119
GOOGL Alphabet (Google)	-0.13R	20%	20	100
WMT Walmart	-0.14R	22%	21	95
ETH Ethereum	-0.16R	23%	30	131
MSFT Microsoft	-0.21R	20%	21	107

How we tested

Up to 5 years of daily prices for each stock and coin.
Every time the strategy leaned up or down, we took a pretend trade that way. Stop 1.5 ATR away, target 2.25 ATR away, closed after 10 trading days if it hit neither. ATR is how much the price usually moves in a day.
Worked means it reached the target before the stop. If both were touched on the same day, we count it as a loss.
Costs come off every trade: 0.02% a round trip for stocks, 0.2% for crypto.
Kept a trade is in R, the amount risked. +0.10R means 10 cents kept for every dollar risked, on average, after costs.
Strategies that fired fewer than 40 times on a stock are left out: that few is luck.

Re-run every day. Past results do not promise future ones. This is software output, not financial advice.

Other mean reversion strategies

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Orenth runs all 34 strategies on any stock or coin, and says so when none of them has an edge.

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Analysis software, not financial advice. Every figure here is measured from historical price data and can stop describing the future at any moment. Day trading loses money for the large majority of retail participants, and this tool's own measurements agree with that. Never risk money you cannot afford to lose.
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Analysing

Fetching data, running 34 strategies, and back-testing each one against this instrument's own history.