Syntax
public KeltnerATR_Upper(Bars bars, int smaPeriod, int atrPeriod, double atrMult, string description)
public static KeltnerATR_Upper(Bars bars, int smaPeriod, int atrPeriod, double atrMult)
Parameter Description
| bars |
The Bars object |
| smaPeriod |
Length used to calculate the center line |
| atrPeriod |
The period to smooth Average True Range |
| atrMult |
Multiple of the average true range used to determine the modified Keltner Channel bands. |
Description
Keltner Bands are a type of price channel first described by Chester W. Keltner in his book How to Make Money in Commodities. They are fixed bands that are plotted above and below a simple moving average (
SMA) of average price (
AveragePriceC). See also:
KeltnerLower,
KeltnerUpper.
This modification of Keltner indicators is different from Wealth-Lab's built-in, classic Keltner Bands: it uses ATR units to construct the upper and lower bands, specified in the
atrMult parameter. See also:
KeltnerATR_Lower.
Interpretation
- The classic interpretation of Keltner band is to go long when the upper band is penetrated, and reverse position and enter short when the lower band is penetrated.
- Keltner Bands can also be used to define "normal" trading ranges for markets. Price movement outside of the bands can be considered an anomaly, and therefore a trading opportunity.
Calculation
Average Price (AP) = (Close + High + Low ) / 3
Center Line =
smaPeriod bar SMA of AP
Upper Band = Center Line +
atrMult times ATR(
atrPeriod)
Lower Band = Center Line -
atrMult times ATR(
atrPeriod)
Example
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Indicators;
namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
protected override void Execute()
{
Color cool = Color.FromArgb( 50, Color.Blue );
KeltnerATR_Lower K1 = KeltnerATR_Lower.Series( Bars, 10, 10, 2 );
KeltnerATR_Upper K2 = KeltnerATR_Upper.Series( Bars, 10, 10, 2 );
PlotSeriesFillBand( PricePane, K1, K2, cool, cool, LineStyle.Solid, 2);
for(int bar = 30; bar < Bars.Count; bar++)
{
if( !IsLastPositionActive )
{
if( CrossOver( bar, Close, K2 ) )
BuyAtMarket( bar+1 ); else
if( CrossUnder( bar, Close, K1 ) )
ShortAtMarket( bar+1 );
} else
{
Position p = LastPosition;
if( CrossOver( bar, Close, K2 ) & p.PositionType != PositionType.Long )
{
CoverAtMarket( bar+1, p );
BuyAtMarket( bar+1 );
}
if( CrossUnder( bar, Close, K1 ) & p.PositionType == PositionType.Long )
{
SellAtMarket( bar+1, p );
ShortAtMarket( bar+1 );
}
}
}
}
}
}