DUCKQUANT / THE QUANT & AI DIRECTORY

FMZ King Keltner — daily long/cash

Public rule reference · Public source variant

Published variant · FMZ · source checked 2026-10-25

Strategy research profile

Strategy overview

A volatility-adjusted upper-channel break initiates a position. A percentage drawdown from the highest observed high since entry supplies the exit condition, evaluated on completed daily bars.

Strategy style: Breakout / volatility expansion
Rule family: Public source variant
Source platform: FMZ
Source attribution: ipqhjjybj
Source example / declared timeframe: Not recorded in reviewed source
Benchmark timeframe: 1D · completed bars
Primary tested assets: Bitcoin · GLD gold ETF · QQQ Nasdaq-100 ETF
Supplementary asset: Ethereum · Binance spot
Direction / sizing: Long / cash · all available cash at entry
Evaluation window: 2024-01-01 → 2025-12-31
Indicator warm-up: Crypto 2022–2023; ETFs Jun 2021–2023
Execution: Next daily open · fractional units
Initial capital: 10,000 quote units · USD or USDT

Source attribution and native timeframe are transcribed only from hash-matched reviewed source text. These are source example/declaration values, not verified authorship or the timeframe of this benchmark.

Theoretical basis

A completed close beyond a range or volatility boundary is treated as continuation or expansion. The boundary is calculated from information available at the decision bar.

Market-regime hypothesis

Expansion after compression or movement beyond a prior range.

DuckQuant editorial interpretation of the rule. These mechanisms and regime expectations are hypotheses, not independently established explanations of the measured returns.

Risks and failure modes

False breaks, gap execution, late entries and mean-reverting markets can produce losses; closing-price confirmation does not guarantee a fill at the boundary.

A retrospective two-year window and ETF proxy choices do not establish general robustness.
Daily-open fills omit order-book depth, lot constraints, taxes and intrabar stop behavior.
Related rules and identical execution paths are not independent evidence.

Exact rule

Close above SMA11 + 1.3 × ATR11 enters; close below 85% of highest high since entry exits.

Indicators and rule tokens

All thresholds, lookbacks and timing conventions are specified in the exact rule above and the downloadable adapter. Source platform settings do not override this frozen benchmark rule.

Original source

View original public source ↗ · View source code at the reviewed commit ↗

Reviewed source SHA256: 857306b08b27340d33af75545627ee2cce07bb19b525d966ca4f597ba3fe55f9

Reading and theoretical references

Reviewed strategy / indicator source ↗
Published rule or indicator reference; adaptation is described separately.

Adaptation and interpretation

Daily bars replace original interval; short signals become cash; all-in sizing, costs and next-open fills use DuckQuant protocol. Intrabar exits, pyramiding and venue-specific orders are not reproduced. This is not the original platform strategy performance.

These are normalized daily long/cash rule tests. They do not reproduce every original platform order, risk control or indicator initialization. Indicator-rule references are explicit interpretations of teaching documentation, rather than complete original published systems.

Standardized backtest results

2024-01-01 → 2025-12-31 · crypto 2022–2023 / ETF Jun 2021–2023 warm-up · 10,000 quote units initial capital · 10 bps fee + 5 bps adverse slippage per side · completed-bar signals, next-open execution.

FMZ King Keltner — daily long/cash — actual Bitcoin, gold ETF and Nasdaq-100 ETF backtest report, equity, drawdown and monthly returns — Actual browser capture of the DuckQuant standardized backtest report · captured 2026-10-25. Teal equity is the strategy; dashed equity is same-asset buy and hold with the same modeled costs. Monthly cells follow the continuous account; annual subtests restart cash. This is our measured report, not an original-platform screenshot. Open the image for full-resolution inspection. Download this report's data.

Asset cohorts rank independently by net daily Sharpe. Annual subtests restart in cash; cost stress doubles fees and slippage.
Asset	Rank / 100	Net return	CAGR	Max drawdown	Sharpe	Orders	2024 restarted return	2025 restarted return	Double-cost return
BTCUSDT	61	28.08%	13.15%	-44.43%	0.52	16	40.03%	-8.81%	25.05%
GLD	4	106.40%	43.59%	-10.13%	2.16	2	26.10%	61.79%	105.78%
QQQ	25	37.06%	17.05%	-19.66%	0.98	4	26.29%	7.46%	36.24%
ETHUSDT	17	65.68%	28.67%	-44.48%	0.77	20	32.20%	25.33%	60.78%

GLD: low activity, fewer than ten orders in the evaluation period.

GLD executed targets match these versions during this period:

Matching paths are not independent performance evidence and need not imply identical rules outside this sample.

QQQ: low activity, fewer than ten orders in the evaluation period.

Additional measured diagnostics

Asset	Annualized volatility	Sortino	Calmar	vs buy & hold (pp)	Double-cost drag (pp)	Longest underwater (days)
BTCUSDT	36.07%	0.79	0.30	-78.58	3.04	277
GLD	17.60%	3.20	4.30	0.00	0.62	91
QQQ	17.79%	1.35	0.87	-15.24	0.82	211
ETHUSDT	47.16%	1.24	0.64	35.84	4.90	427

Metric definitions and unavailable statistics

annualized volatility: Sample standard deviation of daily equity returns, including initial cash, multiplied by sqrt(365) for crypto or sqrt(252) for ETFs.
sortino: Mean daily return / sqrt(mean(min(return,0)^2)) × sqrt(asset annualization sessions); minimum acceptable daily return 0; N/A without downside.
calmar: Evaluation CAGR / absolute evaluation maximum drawdown; N/A with zero drawdown.
relative return pp: Strategy total net return minus same-asset buy-and-hold total net return, in percentage points; not factor-adjusted alpha.
cost drag pp: Base net return minus doubled-cost net return, in percentage points.
longest underwater days: Longest observed calendar duration from a daily equity peak until a later below-peak close, including initial cash. Unrecovered runs are censored at sample end; closed-market days between observations count as calendar time.
monthly returns: Continuous account month-end equity change from preceding month-end (initial cash for first month); differs from yearly cash-restart subtests.

Orders are entry/exit operations. Round-trip win rate, profit factor and trade-level holding periods are not available in the stored run and are not estimated.

Primary coverage: BTCUSDT, GLD gold ETF and QQQ Nasdaq-100 ETF; ETH is supplementary. ETF prices are raw traded USD OHLCV. Dividend entitlements accrue for prior-close holders and settle on official payment dates; paid dividends remain cash until a later entry, with no automatic reinvestment. Sharpe uses 252 ETF sessions or 365 crypto days. CAGR uses 731 calendar days. Gold spot and the Nasdaq-100 index are represented by traded proxies; USD and USDT are not FX-normalized.

Retrospective historical comparison; no sealed out-of-sample validation or future return claim. Read the complete evaluation protocol.

Data and reproduction

GLD gold ETF results · QQQ Nasdaq-100 ETF results · Asset definitions and data conventions

BTC daily equity JSON · ETH daily equity JSON · Source registry · Download engine, data and tests

Strategy identifier: fmz-keltner