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Triple keltner
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Triple keltner

  #1 (permalink)
Elite Member
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Triple keltner

Futurestrader posted TOS code below in the create indicator for free thread, looking for his TOS code converted to NT. It is a Triple Keltner. Does anyone know if it was done or how to do it.

declare weak_volume_dependency;
input displace = 0;
input displace2 = 0;
input displace3 = 0;
input factor = 1.75;
input factor2 = 2.5;
input factor3 = 4;
input length = 45;
input price = close;
def shift = factor * AvgTrueRange(high, close, low, length);
def shift2 = factor2 * AvgTrueRange(high, close, low, length);
def shift3 = factor3 * AvgTrueRange(high, close, low, length);
def average = ExpAverage(price, length);
plot Avg = average[-displace];
Avg.SetDefaultColor(GetColor(7));
plot Upper_Band = average[-displace] + shift[-displace];
Upper_Band.SetDefaultColor(GetColor(7));
plot Lower_Band = average[-displace] - shift[-displace];
Lower_Band.SetDefaultColor(GetColor(7));
plot Upper_Band2 = average[-displace] + shift2[-displace];
Upper_Band2.SetDefaultColor(GetColor(7));
plot Lower_Band2 = average[-displace] - shift2[-displace];
Lower_Band2.SetDefaultColor(GetColor(7));
plot Upper_Band3 = average[-displace] + shift3[-displace];
Upper_Band3.SetDefaultColor(GetColor(7));
plot Lower_Band3 = average[-displace] - shift3[-displace];
Lower_Band3.SetDefaultColor(GetColor(7));

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  #2 (permalink)
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  #3 (permalink)
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booker777 View Post
Futurestrader posted TOS code below in the create indicator for free thread, looking for his TOS code converted to NT. It is a Triple Keltner. Does anyone know if it was done or how to do it.

declare weak_volume_dependency;
input displace = 0;
input displace2 = 0;
input displace3 = 0;
input factor = 1.75;
input factor2 = 2.5;
input factor3 = 4;
input length = 45;
input price = close;
def shift = factor * AvgTrueRange(high, close, low, length);
def shift2 = factor2 * AvgTrueRange(high, close, low, length);
def shift3 = factor3 * AvgTrueRange(high, close, low, length);
def average = ExpAverage(price, length);
plot Avg = average[-displace];
Avg.SetDefaultColor(GetColor(7));
plot Upper_Band = average[-displace] + shift[-displace];
Upper_Band.SetDefaultColor(GetColor(7));
plot Lower_Band = average[-displace] - shift[-displace];
Lower_Band.SetDefaultColor(GetColor(7));
plot Upper_Band2 = average[-displace] + shift2[-displace];
Upper_Band2.SetDefaultColor(GetColor(7));
plot Lower_Band2 = average[-displace] - shift2[-displace];
Lower_Band2.SetDefaultColor(GetColor(7));
plot Upper_Band3 = average[-displace] + shift3[-displace];
Upper_Band3.SetDefaultColor(GetColor(7));
plot Lower_Band3 = average[-displace] - shift3[-displace];
Lower_Band3.SetDefaultColor(GetColor(7));


I have once taken the Keltner Universal Indicator and created volatility channels by adding it three times. This indicator is more versatile than a simple Keltner.

-> you can use 27 different moving averages for the midband
-> the offset can be calculated from either the simple range or the average true range
-> midband and channel lines can be further smoothed

However, the indicator uses a single offset multiplier, which means that the channel lines are equidistant. If you wish I can modify it to allow for three different multipliers, which can then be set to your default values 1.75, 2.5 and 4.0.

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  #4 (permalink)
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TWE

Fats, I have no idea what any of that means unfortunately,lol, but sounds great. Will it be easy to plot and use for someone not familiar with the indicator or coding. Tks again .

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  #5 (permalink)
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booker777 View Post
Fats, I have no idea what any of that means unfortunately,lol, but sounds great. Will it be easy to plot and use for someone not familiar with the indicator or coding. Tks again .

Can you post a chart from TOS? I have now added the variable offsets. The code from TOS specifies an EMA(45) as the midband. It further uses an ATR(45). The problem here is that I do not know, whether the definition of the ATR from TOS follows the original formula by Welles Wilder or not. If I remember, TOS has both formulas. If this is the regular EMA(45) of the true range, it means that it is an ATR(23) in NinjaScript.

Chart attached. It is now possible to select different offset multipliers. Will post in the downloads, as soon as I have tested it.

What do you intend to use this indicator for?

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  #6 (permalink)
Market Wizard
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Fat Tails View Post
Can you post a chart from TOS? I have now added the variable offsets. The code from TOS specifies an EMA(45) as the midband. It further uses an ATR(45). The problem here is that I do not know, whether the definition of the ATR from TOS follows the original formula by Welles Wilder or not. If I remember, TOS has both formulas. If this is the regular EMA(45) of the true range, it means that it is an ATR(23) in NinjaScript.

Chart attached. It is now possible to select different offset multipliers. Will post in the downloads, as soon as I have tested it.

What do you intend to use this indicator for?

@Fat Tails,

it looks like it's not the wilder atr:

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just in case. here's tos atr wilder:

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and here's the other average true range indicator:

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Silvester17 View Post
@Fat Tails,

it looks like it's not the wilder atr:



You are right. It is not the Wilder ATR. However, I am a bit confused. If I look at the TOS chart, the EMA(45) seems to be correct, but the Keltner Channels come out too narrow.

I have checked my version against the classic Keltner Channel (with SMA / simple range setting) and it perfectly matches the original Keltner Channel. Can you tell me, why the TOS bands are narrower and have a different shape? Or is there anything that I have overlooked?


Below are the two charts again for comparison:

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Last edited by Fat Tails; May 28th, 2013 at 07:52 PM.
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  #8 (permalink)
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Fat Tails View Post
You are right. It is not the Wilder ATR. However, I am a bit confused. If I look at the TOS chart, the EMA(45) seems to be correct, but the Keltner Channels come out too narrow.

I have checked my version against the classic Keltner Channel (with SMA / simple range setting) and it perfectly matches the original Keltner Channel. Can you tell me, why the TOS bands are narrower and have a different shape? Or is there anything that I have overlooked?


Below are the two charts again for comparison:

@Fat Tails,

I noticed that too.

I also checked against the original keltner channel from tos and they match as well. so not sure, but will investigate further.

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Last edited by Silvester17; May 28th, 2013 at 08:01 PM. Reason: better chart
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Silvester17 View Post
@Fat Tails,

I noticed that too.

I also checked against the original keltner channel from tos and they match as well. so not sure, but will investigate further.

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I just found out the reason. The average true range from TOS is a SMA(True Range), not an EMA. If I set the smoothing for the true range of my indicator to "SMA", then the two charts show a perfect match....


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Testing done, it should now reproduce the TOS indicator with the default settings.

I am sure that there are better settings than the default settings.

Attached Files
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