Keltner Channels are volatility-based envelopes set above and below a moving average. This indicator is similar to Bollinger Bands, but Keltner Channels use the Average True Range (ATR) to set channel distance.
Arguments
- HLC
Object that is coercible to xts or matrix and contains High-Low-Close prices. If only a univariate series is given, it will be used. See details.
- n
Number of periods for moving average.
- maType
A function or a string naming the function to be called.
- atr
The number of average true range distances to apply.
- ...
Other arguments to be passed to the maType function.
Value
A object of the same class as HLC or a matrix (if
try.xts fails) containing the columns:
- SMA
Simple moving average.
- EMA
Exponential moving average.
- dn
The lower Keltner Channel.
- mavg
The middle moving average.
- up
The upper Keltner Channel.
Details
Keltner Channels are a trend following indicator, and can also be used to identify overbought and oversold levels when there is no trend.
Chester Keltner is credited with the original version of Keltner Channels in his 1960 book. Linda Bradford Raschke introduced the newer version of Keltner Channels in the 1980s.
Details
Keltner Channels consist of three lines: The middle band is generally a 20-period EMA of the typical price ([high + low + close]/3). The upper and lower bands are multiples of average true range (usually 2) above and below the MA.
The middle band is usually calculated using the typical price, but if a univariate series (e.g. Close, Weighted Close, Median Price, etc.) is provided, it will be used instead.
References
The following site(s) were used to code/document this
indicator:
https://school.stockcharts.com/doku.php?id=technical_indicators:keltner_channels
https://www.linnsoft.com/techind/keltner-channels-keltu-keltd
https://www.investopedia.com/terms/k/keltnerchannel.asp