In common, formula is:
Keltner.High(i) = Smooth(Source) + Variation * Factor
Keltner.Low(i) = Smooth(Source) - Variation * Factor
There are many choices how to smooth the source and what is the variation.
The most common cases are:
Case 1). Smoothing is Moving Average, Source is Close, Variation is average of the differences between high and low:
Keltner.High = Avg(Close) + Avg(High - Low)
Keltner.Low = Avg(Close) - Avg(High - Low)
Case 2). Smoothing is Moving Average, the Source is Median and Variation is Average True Range
Keltner.High = Avg((High + Low + Close)/3) + ATR(Bar)
Keltner.Low = Avg((High + Low + Close)/3) - ATR(Bar)
The implementation here lets you customize the source, smoothing method and variation method.
Source can be:
a) Close Price
b) Median as (High + Low) / 2
c) Median as (High + Low + Close) / 3
Smoothing could be:
a) Simple Moving Average (MVA)
b) Exponential Moving Average (EMA)
c) Linear Weighted Moving Average (LWMA)
d) Smoothed Moving Average (SMMA)
e) Wilder's Moving Average (WMA)
Download:
Keltner_JS.jsl- (6.87 KiB) Downloaded 423 times