Volatility breakout

Keltner Channel Breakout

From Chester Keltner; ATR version by Linda RaschkeRead about it

Keltner Channels sit two ATRs either side of a 20-day EMA. A close above the upper channel means the price has moved further than its normal daily swings explain, often the start of a trend. Linda Raschke's ATR-based version is used here.

Yearly return, after costs+3.7%Nifty 500 +11.5% over the same years

Worst fall−50.8%Win rate36%Matches now2

How it works

The signal every rule true at the close

Close crosses above the upper Keltner Channel (20-day EMA + 2 × 10-day ATR)
Volume at least 1.3 times the 20-day average
Close is above the 200-day moving average

The exit whichever comes first

Closes below the 20-day EMA (the middle line)

Typical holdingAbout 1 to 6 weeks

An example from the backtestDivi's Laboratories DIVISLABThe rules were met at the close before 15 Jul 2026. The trade opened that morning and closed on 1 Oct 2026, 55 trading days later, +27.3% after costs. Exit: closed below the 20-day EMA.

Stocks meeting the rules 2

At the close of 1 Oct 2026, among NSE's 500 most-traded stocks. A screen, not a recommendation: in the backtest, a trade opened at the next day's open.

Backtest

1 Jan 2016 to 1 Oct 2026: a 10-stock portfolio following these rules on NSE's 500 most-traded stocks at each date, after 0.2% costs on each side, against the Nifty 500 index.

Yearly return+3.7%Index +11.5%

Compound growth a year (CAGR).

Total return+48%Index +224%

Gain or loss over the whole test.

Worst fall−50.8%Index −38.3%

Largest drop from a high (max drawdown).

Win rate36%

Share of trades that closed with a gain.

Profit factor1.19

Rupees gained for every rupee lost.

Average trade+0.84%

Average result per trade, after costs.

Average gain · loss+14.5% · −6.9%

A typical winning and losing trade.

Days held18.1

Average trading days per trade.

Trades1,347

About 125 a year.

Sharpe ratio0.28

Return for each unit of ups and downs.

Time invested92%

Average share of the money in trades.

Best · worst trade+743% · −35%

The extremes, after costs.

₹1 lakh following the rules

1 Jan 2016 to 1 Oct 2026: ₹1.48 L against ₹3.24 L in the Nifty 500.

Keltner Channel BreakoutNifty 500

Falls from the high

Worst in this period −50.8%

Each calendar year

Return in the year, after costs.

Keltner Channel BreakoutNifty 500

How the 1,347 trades ended

Each trade's return after costs, grouped.

GainLoss

How sturdy is it?

The same rules, tested again with one thing changed. A result worth trusting holds up across these; a big swing means the headline figure depends on luck or on the exact setup.

Beat the Nifty 500 in 0 of 5 versions and in 1 of 2 halves of the test.

Version	Yearly return	Worst fall	Win rate	Profit factor	Trades
As published10 stocks at a time, 0.2% costs on each side	+3.7%	−50.8%	36%	1.19	1,347
With the market filterNew trades only while the Nifty 500 is above its 200-day average	+7.2%	−52.4%	36.4%	1.3	1,089
Costs doubled0.4% on each side, as slippage in thinner stocks can be	−1.1%	−57.5%	34%	1.09	1,346
5 stocks at a timeA bigger share of the money in each trade	−1.7%	−57.5%	34.9%	1.07	699
20 stocks at a timeA smaller share in each trade	+6.5%	−53.2%	34.9%	1.2	2,490

First half · 1 Jan 2016 to 21 May 2021

Strategy+14.4%/yr

Nifty 500+12.8%/yr

Ahead of the index by 1.6 points a year.

Second half · 21 May 2021 to 1 Oct 2026

Strategy−6.0%/yr

Nifty 500+10.3%/yr

Behind the index by 16.3 points a year.

Recent trades in the backtest

The last 12 trades the rules closed, with 10 still open.

Stock	Opened	Closed	Days	Return	Why it closed
Divi's LaboratoriesDIVISLAB	15 Jul 2026	1 Oct 2026	55	+27.3%	Closed below the 20-day EMA
Adani Ports and Special Economic ZoneADANIPORTS	21 Sep 2026	29 Sep 2026	6	−2.5%	Closed below the 20-day EMA
RBL BankRBLBANK	4 Sep 2026	29 Sep 2026	16	−1.1%	Closed below the 20-day EMA
Diamond Power InfrastructureDIACABS	16 Sep 2026	28 Sep 2026	8	−8.4%	Closed below the 20-day EMA
One 97 CommunicationsPAYTM	15 Sep 2026	28 Sep 2026	9	−8.1%	Closed below the 20-day EMA
Prime FocusPFOCUS	21 Sep 2026	25 Sep 2026	4	−9.4%	Closed below the 20-day EMA
Tata ChemicalsTATACHEM	16 Sep 2026	25 Sep 2026	7	−8.8%	Closed below the 20-day EMA
Tata Investment CorporationTATAINVEST	16 Sep 2026	25 Sep 2026	7	−7.2%	Closed below the 20-day EMA
Pine LabsPINELABS	15 Sep 2026	25 Sep 2026	8	−10.5%	Closed below the 20-day EMA
Ather EnergyATHERENERG	9 Jul 2026	17 Sep 2026	49	+27.4%	Closed below the 20-day EMA
Aeroflex IndustriesAEROFLEX	2 Sep 2026	16 Sep 2026	9	−10.1%	Closed below the 20-day EMA
Engineers IndiaENGINERSIN	2 Sep 2026	16 Sep 2026	9	−6.7%	Closed below the 20-day EMA

How the tests work

Universe. The 500 most-traded NSE stocks at each date, by six-month average traded value, re-ranked every month: 1,353 different stocks over the years, 131 of which no longer trade. Testing all of them, not only today's survivors, keeps the results honest.
Period. 1 Jan 2016 to 1 Oct 2026, after a year of history for the long averages, on NSE's own end-of-day files: prices, delivery and futures open interest.
Portfolio. 10 slots, each a tenth of the portfolio's value when a trade opens. A signal at a day's close opens at the next day's open; an exit rule met at a close closes the trade at the next open. When there are more signals than free slots, the strategy's own ranking decides.
Costs. 0.2% on each side of every trade (STT, stamp duty, exchange charges and slippage). Tax and DP charges are not included.
Market filter. Every strategy is also tested opening new trades only while the Nifty 500 closes above its 200-day average. At the last close it was below it.
Robustness. Each strategy is run again with costs doubled, with 5 and with 20 stocks at a time, and judged separately in each half of the test. A result that only holds in one setup is luck, not an edge.
Corporate actions. Splits, bonus issues and demergers are applied from NSE's corporate-actions list, and symbol changes are joined up, so none of them shows up as a gain or a loss.
What is left out. Dividends (as in the Nifty 500 price index it is measured against), taxes, and the chance that a large order moves a thinly traded price.

Swing Lab is a screen and a history lesson, not advice. RupeeVerse is not registered with SEBI as an investment adviser or research analyst. A stock meeting a strategy's rules is not a recommendation to trade it, and past results do not predict future ones. Do your own research.