ADX trend breakout and Keltner channel breakout share a win rate, not a median ticker
ADX trend breakout and Keltner channel breakout post nearly identical win rates and risk to reward ratios on the same 220-stock universe. Their median tickers land 0.66 percent and 2.33 percent, more than three times apart, and the gap traces back to how often each rule actually trades.
NVDA was the single best performing ticker in both Tenachine's ADX trend breakout study and its Keltner channel breakout study, the same stock, the same ten years, two different rules. ADX trend breakout traded it 46 times for a 48.88 percent total return. Keltner channel breakout traded it 61 times, about a third more, for 46.12 percent, a fraction less. Same best ticker, more trades, a slightly smaller number at the end.
That pattern shows up again once the whole 214-ticker universe is compared, not just the one name both strategies happened to like best. ADX trend breakout's average win rate is 37.05 percent and its aggregate risk to reward ratio is 1.1175. Keltner channel breakout's are 38.55 percent and 1.145, both within a point and a half of ADX's numbers. Two strategies with nearly identical win rates and nearly identical risk to reward ratios should, on the two figures most often quoted to judge a strategy, produce similar typical outcomes.
They do not.
Trade count explains at least part of the gap. ADX trend breakout generated 6,553 trades across its 214 completed tickers, 30.6 per ticker over ten years. Keltner channel breakout generated 9,080, 42.4 per ticker, thirty nine percent more. More trades at a similar win rate and risk to reward ratio should, in principle, average out to a similar result over enough trials. The median ticker suggests the extra trades did not average out the same way for every ticker. They moved the middle of the distribution rather than just adding noise around an unchanged center.
The published rules explain why one strategy trades more than the other. ADX trend breakout only enters when the 14 period ADX reads above 25, a filter built to skip choppy, directionless stretches, and it exits early if that ADX reading falls below 20 before the trade resolves. Keltner channel breakout carries no equivalent trend strength filter. It enters on any close above the upper channel and exits back at the 20 period moving average that forms the channel's centerline, a shorter round trip that can trigger and re-trigger more often across the same stretch of price action. ADX also holds a position up to 40 trading days and targets three times its risk before taking profit. Keltner channel breakout caps the hold at 30 days and targets two times its risk. A pickier entry, a wider target, and a longer leash produce fewer trades than a looser entry with a nearer target and a shorter leash, before either strategy is judged on what it actually returned.
Neither number here says one strategy beats the other. A backtest describes what happened to 214 large caps between 2015 and 2024, not a guarantee either rule keeps working the same way going forward. Tenachine's guide on pullback to 20ma versus volume surge breakout found a similar pattern, a frequency gap driving a return and drawdown split between two strategies with matched win rates and risk to reward ratios. What both comparisons show is that win rate and risk to reward ratio, the two figures most often cited to judge a strategy, can match almost exactly while the strategies still deliver very different typical outcomes to a trader holding one ticker. Check the median, and check how often the rule actually trades, before assuming two similar win rates describe two similar strategies.