Keltner Squeeze SHORT

Overview

Keltner Channels plot an ATR-scaled envelope around an exponential moving average. This preset waits for a squeeze (low ATR / tight channel) and then enters SHORT when price breaks down through the lower band — trading the directional expansion, not a fade.

Original 2026-05-04 sweep (1,680 combinations × 50 coins, IS/OOS split) selected SL 3% / TP 10% and reported an OOS profit factor (1.91) above IS (1.76). At the time we read that as evidence the edge was structural. A fresh out-of-sample re-test on 2026-06-28 (product engine, dedicated regime-robustness + 5-axis adversarial kill) retracted that conclusion: once the result is decomposed against the market regime, the SHORT performance is bear-beta — profit from a falling market rather than a regime-independent squeeze edge. The backtest is reproducible; we no longer claim a confirmed live directional edge.

How It Works

1. Channel setup — 20 EMA center, ATR × 2 for upper / lower bands
2. Squeeze detection — Bollinger Bands (20, 2σ) inside the Keltner channel (compressed volatility)
3. Trigger — close breaks below the lower Keltner band (downward expansion out of squeeze)
4. Entry — SHORT on bar close
5. Exit — TP 10% / SL 3% / 12-bar (2-day on 4H) timeout
6. Risk — 1:3.3 R:R (3% risk, 10% reward), accepting 60% loss rate

Why It Works (Thesis)

Squeezes precede the largest directional moves. When the ATR-based channel tightens (volatility compression), potential energy builds. The lower-band break signals sellers have won the compression battle. With a 3% SL, false breaks are cheap; with a 10% TP, the real expansions are captured in full.

The OOS > IS result (1.91 vs 1.76) originally looked notable. But the 2026-06-28 re-test shows it is not robust: the May 2025–May 2026 OOS window was itself a falling market, so a SHORT book made money from direction, not from the squeeze filter. Adjusted for that bear-beta, the standalone squeeze edge does not survive — treat this thesis as unconfirmed.

Results (2-year backtest, IS/OOS split, measured 2026-05-04)

Metric	IS (May24–May25)	OOS (May25–May26)	Combined
Total trades	447	476	923
Win rate	~42%	~38%	39.9%
Profit factor	1.76	1.91	1.61
Coins profitable	39/50	38/50	—

Caveats

• Failed fresh out-of-sample regime-robustness (2026-06-28). The earlier “OOS improves / structural edge” claim was retracted — the SHORT result is bear-beta, not a confirmed standalone edge. Status downgraded from verified to testing for this reason.
• Low win rate (40%) is inherent to the 1:3.3 R:R structure. The equity curve has frequent small losses punctuated by larger wins.
• Not live-tracked on OKX. Backtest only — “verified” would mean the backtest is reproducible, not that the live directional edge is confirmed.
• 4H timeframe means 1–2 signals per coin per week on average — lower frequency than 1H variants.