Keltner Seasonal Filter (C#)

Keltner Seasonal Filter

Trades Keltner Channel breakouts filtered by historical monthly returns. On finished 5-minute candles, use E = EMA(20), A = ATR(14), M = AtrMultiplier = 2, U = E + M × A, L = E − M × A, and SeasonalThreshold = 0.5 percentage points. Wait for formed indicators and trading permission.

Buy when S > SeasonalThreshold, Close > U and Position <= 0; sell when S < -SeasonalThreshold, Close < L and Position >= 0. The order volume is Volume + abs(Position) to reverse an opposite position fully. Store a stop at signal Close − M × A for a long or Close + M × A for a short.

Check the stored stop first on each finished candle: close a long at Close <= stop or a short at Close >= stop, clear the stop and stop processing that candle. Otherwise apply entries, then close a remaining long below E or short above E. This is a manual stop checked at candle close, based on the signal close; there is no intrabar exchange stop, take-profit or trailing stop.

Requires SeasonalityHistoryFile: a UTF-8 CSV of monthly open/close prices with header SecurityId,Month,Open,Close. Month is yyyy-MM, numbers use a decimal point, prices must be positive, and each month must be unique for the execution instrument. Rows for other security IDs are ignored; missing input, malformed rows or no matching observations prevent startup.

At each signal candle, S is the mean of 100 × (Close / Open − 1) for the same calendar month in prior years, within SeasonalityLookbackYears = 10. At least MinimumSeasonalSamples = 2 observations are required. The current month and future months are excluded even if present in the file. Without sufficient history, no new position is opened. Supply actual monthly prices for the instrument; no fixed monthly score table is supplied.