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Keltner Channel: Multicharts vs. Esignal
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Keltner Channel: Multicharts vs. Esignal

  #1 (permalink)
Trading Apprentice
Montreal
 
Futures Experience: Intermediate
Platform: Multicharts
Favorite Futures: Stocks
 
Posts: 8 since Feb 2012
Thanks: 2 given, 7 received

Keltner Channel: Multicharts vs. Esignal

Hi, I am having problems with Keltner Channels. I am using the same formula (confirmed by a esignal programmer and multicharts programmer). However I am getting different values.
The Keltner Channel is pretty basic. I believe Esignal is plotting the right Keltner Channel and Multicharts is not. Has anyone had this problem? And yes I am using the same parameters.

Esignal Code:
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2009. All rights reserved. This sample eSignal
Formula Script (EFS) is for educational purposes only and may be
modified and saved under a new file name. eSignal is not responsible
for the functionality once modified. eSignal reserves the right
to modify and overwrite this EFS file with each new release.

Description:
Keltner ATR Band

Version: 1.0 10/29/2009

Formula Parameters: Default:
Length 20
ATRMult 3.75

Notes:

**********************************/
var fpArray = new Array();
var bInit = false;

function preMain(){
setPriceStudy(true);
setShowCursorLabel(true);
setShowTitleParameters(false);
setStudyTitle("Keltner ATR Band");
setCursorLabelName("Up Band", 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarFgColor(Color.red, 0);
setCursorLabelName("Dn Band", 1);
setPlotType(PLOTTYPE_LINE, 1);
setDefaultBarFgColor(Color.red, 1);
var x = 0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with(fpArray[x++]) {
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("ATRMult", FunctionParameter.NUMBER);
with(fpArray[x++]) {
setLowerLimit(1);
setDefault(3.75);
}
}

var xKUp = null;
var xKDn = null;

function main(Length, ATRMult) {
var nBarState = getBarState();
var nKU = 0;
var nKL = 0;
if (nBarState == BARSTATE_ALLBARS) {
if(Length == null) Length = 20;
if(ATRMult == null) ATRMult = 3.75;
}
if (bInit == false) {
xKUp = efsInternal("Calc_KeltnerBand", Length, ATRMult);
xKDn = getSeries(xKUp, 1);
bInit = true;
}
nKU = xKUp.getValue(0);
nKL = xKDn.getValue(0);
if (nKU == null || nKL == null) return;
return new Array(nKU, nKL);
}

var bSecondInit = false;
var xMA = null;
var xATR = null;

function Calc_KeltnerBand(Length, ATRMult) {
var nResUp = 0;
var nResDn = 0;
var nMA = 0;
var nATR = 0;
if (bSecondInit == false) {
xMA = sma(Length);
xATR = atr(Length);
bSecondInit = true;
}
nMA = xMA.getValue(0);
nATR = xATR.getValue(0);
if (nMA == null || nATR == null) return;
nResUp = nMA + ATRMult * nATR;
nResDn = nMA - ATRMult * nATR;
return new Array(nResUp, nResDn);
}

MULTICHARTS:
inputs: Price( Close ), Length( 20 ), NumATRs( 3.75 ), Displace( 0 ) ;
variables: var0( 0 ), var1( 0 ), var2( 0 ), var3( 0 ) ;

var0 = AverageFC( Price, Length ) ;
var1 = NumATRs * AvgTrueRange( Length ) ;
var3 = var0 + var1 ;
var2 = var0 - var1 ;

condition1 = Displace >= 0 or CurrentBar > AbsValue( Displace ) ;
if condition1 then
begin
Plot1[Displace]( var3, "UpperBand" ) ;
Plot2[Displace]( var2, "LowerBand" ) ;
Plot3[Displace]( var0, "MidLine" ) ;



Thanks!

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  #2 (permalink)
Elite Member
Chicago, IL USA
 
Futures Experience: Intermediate
Platform: MultiCharts + CTS T4
Broker/Data: Advantage Futures, IQFeed.net
Favorite Futures: YM, ES, EU, US, S
 
furytrader's Avatar
 
Posts: 153 since Jun 2011
Thanks: 109 given, 144 received

One solution (albeit a tedious one) would be to import a section of your price data into excel and calculate the indicator manually using Excel functions. This should tell you which one is right.

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  #3 (permalink)
Trading Apprentice
Montreal
 
Futures Experience: Intermediate
Platform: Multicharts
Favorite Futures: Stocks
 
Posts: 8 since Feb 2012
Thanks: 2 given, 7 received


Thanks but I've had a programmer do this for the esignal formula and this one is correct.
It's Multicharts the problem I believe.
It was a long shot to ask if anybody else has noticed this on Multicharts.

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  #4 (permalink)
Trading Apprentice
Montreal
 
Futures Experience: Intermediate
Platform: Multicharts
Favorite Futures: Stocks
 
Posts: 8 since Feb 2012
Thanks: 2 given, 7 received

Answer
This post has been selected as an answer to the original posters question Answer

I figured it out.
TS and Multicharts do not use the proper way to calculated Keltner Channel.
They do not use Wilder's way of calculating AverageTrueRange.

To adjust for this, create AvgTrueRangeWilder as a function:


inputs: Length( numericsimple ) ;

AvgTrueRangeWilder = XAverageOrig( TrueRange, Length ) ;

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