"Teuton" trading strategy
The "Teuton" is a breakout approach making use of a Keltner Channel, that is an EMA plus/minus a multitude of the ATR (Average True Range).
Whenever the market moves outside of the channel, we open a position until the market hits a stop or the opposite channel line.
Trades of too much volatility are blocked by a MACD-block-filter as "breaking-out" happens too often and too erratic then.
Teuton strategy, FESX market:
Teuton, equity curve:
Teuton, a closer look. The trade is exactly opened when the greater volatility sets in and a trend seems to start:
The MACD-Block-filter is blocking periods of too much volatility:
The MACD-trend-filter makes sure that we use breakouts with the major trend:
Short strategy report:
|
Name of Strategy:
|
Teuton
|
|
Setup:
|
Breakout with Keltner Channel
|
|
Market:
|
FESX, 1999-2006, 93 months
|
|
Net gain:
|
€ 19060
|
|
Number of trades:
|
155
|
|
Hit ratio:
|
45.81%
|
|
MDD:
|
€ 4960
|
|
ZEN 5%:
|
2.09
|
|