Keltner Channels

Created by Chester W. Keltner, Keltner Channels are based on an EMA centerline and ATR band widths. See also STARC Bands for an SMA centerline equivalent. [Discuss] 💬

// C# usage syntax
IReadOnlyList<KeltnerResult> results =
  bars.ToKeltner(emaPeriods, multiplier, atrPeriods);

Parameters

param	type	description
emaPeriods	int	Number of lookback periods (E) for the center line moving average. Must be greater than 1 to calculate. Default is 20.
multiplier	double	ATR Multiplier. Must be greater than 0. Default is 2.
atrPeriods	int	Number of lookback periods (A) for the Average True Range. Must be greater than 1 to calculate. Default is 10.

Historical price bars requirements

You must have at least 2×N or N+100 periods of bars, whichever is more, where N is the greater of E or A periods, to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least N+250 data points prior to the intended usage date for better precision.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<KeltnerResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null values since there's not enough data to calculate.

🚩 ⚞ Convergence warning

The first N+250 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

KeltnerResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
UpperBand	double	Upper band of Keltner Channel
Centerline	double	EMA of price
LowerBand	double	Lower band of Keltner Channel
Width	double	Width as percent of Centerline price. (UpperBand-LowerBand)/Centerline

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

Results can be further processed on Centerline with other chained indicators.

This indicator must be generated from bars and cannot be generated from results of another chain-enabled indicator or method.

// example
var results = bars
    .ToKeltner(..);

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

KeltnerList keltnerList = new(emaPeriods, multiplier, atrPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  keltnerList.Add(bar);
}

// based on `ICollection<KeltnerResult>`
IReadOnlyList<KeltnerResult> results = keltnerList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
KeltnerHub observer = barHub.ToKeltnerHub(emaPeriods, multiplier, atrPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<KeltnerResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.