Keltner Channels

Install and import

bash

npm install fintech-algorithms

import { keltner_channels } from "fintech-algorithms/technical-indicators/volatility-and-channels/keltner-channels";

Signature

keltner_channels(high, low, close, emaPeriod, atrPeriod, multiplier)

An EMA with bands placed a number of ATRs away. Because it scales with true range rather than standard deviation, it reacts differently to gaps than Bollinger Bands — which is the basis of the squeeze comparison between the two.

Parameters

Name	Type	Notes
`high`	`number[]`	Per-bar high prices, chronological.
`low`	`number[]`	Per-bar low prices, chronological.
`close`	`number[]`	Per-bar closing prices, chronological.
`emaPeriod`	`number`	Span of the EMA that forms the middle line. min: 1 · integer: true
`atrPeriod`	`number`	Wilder period for the ATR that sets the band width. min: 1 · integer: true
`multiplier`	`number`	Number of ATRs from the middle line to each band. min: 0

Returns

Record<string, (number | null)[]> · length same-as-input

Parallel series: true_range, atr, middle, upper and lower.

Warm-up

The first max(emaPeriod, atrPeriod) positions are null.

Errors

When either period is < 1, is not an integer, or multiplier is negative — throws RangeError
When the input series are not all the same length — throws RangeError

Complexity: time O(n), space O(n).

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

high

[101.08, 101.6243955, 102.13058177, 102.56507653, 102.90321818, 103.1320792]

Showing 6 of 240 elements.

low

[98.92, 99.39457765, 99.83203556, 100.19996391, 100.47473988, 100.64442473]

Showing 6 of 240 elements.

[100, 100.50948657, 100.98130867, 101.38252022, 101.68897903, 101.88825197]

Showing 6 of 240 elements.

emaPeriod

atrPeriod

multiplier

Call

keltner_channels(high, low, close, emaPeriod, atrPeriod, multiplier)

Returns

object with 5 fields: true_range, atr, middle, upper, lower

{
  "true_range": [
    2.1599999999999966,
    2.2298178500000034,
    2.298546210000012,
    2.365112620000005,
    2.4284782999999948,
    2.4876544700000096
  ],
  "atr": [null, null, null, null, null, null],
  "middle": [null, null, null, null, null, null],
  "upper": [null, null, null, null, null, null],
  "lower": [null, null, null, null, null, null]
}

Other exports

This module also exports true_range, average_true_range. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References

Keltner Channels (KC) — TradingView
New Concepts in Technical Trading Systems — J. Welles Wilder Jr.
Average True Range — TA-Lib
True Range — TA-Lib
Public evidence boundary