Keltner Channel

This moving average system by Chester W. Keltner consists of an n-day moving average of the "typical price", sometimes referred to as "average price," ((H+L+C)/3), plotted with a channel formed by adding and subtracting an n-bar moving average of the high-low range to or from the moving average of the typical price. Thus, the width of the channel adjusts to market volatility.

Pane: Overlay

Formula

The study has two plots: a KCHigh and a KCLow. The user parameter is the number of periods for the Moving Average of the Typical Price and the Moving Average of the High-Low Range (Period, default: 10) For each bar:

1. Calculate the Absolute High-Low Range:
   
   ABS( (H-L) )
    

2. Calculate the Typical Price.
   
   (High + Low + Close) / 3
    

3. Beginning with Periodn bar:

• • Calculate a simple moving average of the Typical Price (MATypicalPrice).

  • Calculate a simple moving average of the High-Low Range (MARange).

  • Calculate the KCHigh: MATypicalPrice + MARange.

  • Calculate the KCLow: MATypicalPrice - MARange.

Properties

High: The Symbol field on which the study will be calculated. The application uses the Aspect "High".

Low: The Symbol field on which the study will be calculated. The application uses the Aspect "Low".

Close: The Symbol field on which the study will be calculated. The application uses the Aspect "Close".

Period: The number of bars in a chart. If the chart displays daily data, then period denotes days; in weekly charts, the period will stand for weeks, and so on. The application uses a default of 10.

Multiplier:  A number, positive or negative, defining the number of bars (periods) to shift the formula line. The upper and lower channel lines are the centerline plus and minus this multiplier, times the modified moving average of true range.