Keltner Channels

Install and import#

npm install fintech-algorithms

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

Signature#

keltnerChannels(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#

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#

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

Showing 6 of 240 elements.

[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.

20

10

2

Call#

keltnerChannels(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 trueRange, averageTrueRange. 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#

Calculation flow#

flowchart LR
    A["Close stream"] --> B["SMA-seeded EMA"]
    C["High, low, previous close"] --> D["True Range"]
    D --> E["Wilder ATR"]
    B --> F{"Both states ready?"}
    E --> F
    F -- "no" --> G["Channel = null"]
    F -- "yes" --> H["EMA ± k × ATR"]
    I["Revision"] --> J["Recompute both recursive paths"]

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

The rest of the Volatility and Channels family#

• True RangeThe greater of today's range, the gap up from yesterday's close, and the gap down from it.
• Average True Range (ATR)Wilder-smoothed true range.
• Bollinger BandsA moving average with bands a number of standard deviations away, so the channel widens and narrows with realised volatility.
• Donchian ChannelsThe highest high and lowest low of the lookback.
• Bollinger BandWidthThe width of a Bollinger channel relative to its middle band.