Keltner Channel w/adjustable ATR period

[lunardiplomacy]

I need to develop a keltner channel which uses an ATR period in its calculation that can be adjusted. Initially I thought this would be as simple as substituting the emadiff variable in the code below with an adjustable ATR, but I can't seem to get that to work no matter how many different ways I try it. I have little to no coding experience, so perhaps that is the way to go about it, but I am making a simple error.

Here is the keltner code...

diff = new Series<double>(this);
emaDiff = EMA(diff, Period); <<This needs to be changed, but how?
emaTypical = EMA(Typical, Period);
}
}

protected override void OnBarUpdate()
{
diff[0] = High[0] - Low[0];

double middle = emaTypical[0];
double offset = emaDiff[0] * OffsetMultiplier;

double upper = middle + offset;
double lower = middle - offset;

Midline[0] = middle;
Upper[0] = upper;
Lower[0] = lower;

BELOW IS THE PINESCRIPT CODE FOR THE KELTNER VARIANT I WANT....

source = close
length = input(125, minval=1, title = "EMA Length")
atrlen = input(500, minval=1, title = "ATR Length")
mult1 = input(3.2, minval=1, title = "Deviation multiplier 1")
mult2 = input(6.4, minval=1, title = "Deviation multiplier 2")
mult3 = input(9.5, minval=1, title = "Deviation multiplier 3")
ma = ema(source, length)
range = tr
rangema = ema(range, atrlen)

up1 = ma + rangema * mult1
up2 = ma + rangema * mult2
up3 = ma + rangema * mult3

dn1 = ma - rangema * mult1
dn2 = ma - rangema * mult2
dn3 = ma - rangema * mult3

plot(ma, color=white)


I also want to add 3 multiples for the bands calculation instead of the 1, but I think I know how to do that part once I integrate the ATR.

The final product should look like this....



Thanks in advance for any help you can offer!

[koganam]

I need to develop a keltner channel which uses an ATR period in its calculation that can be adjusted. Initially I thought this would be as simple as substituting the emadiff variable in the code below with an adjustable ATR, but I can't seem to get that to work no matter how many different ways I try it. I have little to no coding experience, so perhaps that is the way to go about it, but I am making a simple error.

Here is the keltner code...

diff = new Series<double>(this);
emaDiff = EMA(diff, Period); <<This needs to be changed, but how?
emaTypical = EMA(Typical, Period);
}
}

protected override void OnBarUpdate()
{
diff[0] = High[0] - Low[0];

double middle = emaTypical[0];
double offset = emaDiff[0] * OffsetMultiplier;

double upper = middle + offset;
double lower = middle - offset;

Midline[0] = middle;
Upper[0] = upper;
Lower[0] = lower;

BELOW IS THE PINESCRIPT CODE FOR THE KELTNER VARIANT I WANT....

source = close
length = input(125, minval=1, title = "EMA Length")
atrlen = input(500, minval=1, title = "ATR Length")
mult1 = input(3.2, minval=1, title = "Deviation multiplier 1")
mult2 = input(6.4, minval=1, title = "Deviation multiplier 2")
mult3 = input(9.5, minval=1, title = "Deviation multiplier 3")
ma = ema(source, length)
range = tr
rangema = ema(range, atrlen)

up1 = ma + rangema * mult1
up2 = ma + rangema * mult2
up3 = ma + rangema * mult3

dn1 = ma - rangema * mult1
dn2 = ma - rangema * mult2
dn3 = ma - rangema * mult3

plot(ma, color=white)


I also want to add 3 multiples for the bands calculation instead of the 1, but I think I know how to do that part once I integrate the ATR.

The final product should look like this....



Thanks in advance for any help you can offer!

Just change your calculation of diff to be the TrueRange instead of the Range.

diff = Math.Max(High[0], Close[1]) - Math.Min(Close[1], Low[0]);

Remember to escape out of (CurrentBar == 0)

[lunardiplomacy]

Just change your calculation of diff to be the TrueRange instead of the Range.

diff = Math.Max(High[0], Close[1]) - Math.Min(Close[1], Low[0]);

Remember to escape out of (CurrentBar == 0)

Thank you for your response!

I tried to do just that, however I might have implemented it incorrectly/put the code in the wrong place. Do you mean to replace the variable 'diff' that holds the series with true range? And when you say to escape current bar == 0, are you referring to the '[0]' that appears after some of the variables? If so, what would I change that to?

Would it be too much to ask to show me where your code would go? Thank you again for responding.

[NinjaTrader_Kate]

Hello lunardiplomacy,

Thank you for your posts.

If youre wanting to swap the SMA for an ATR, you'd need to do something like this:

        private Series<double>        diff;
        private    ATR                    atrDiff;
        private    ATR                    atrTypical;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                    = NinjaTrader.Custom.Resource.NinjaScriptIndicatorDescriptionKeltnerChannel;
                Name                        = "ATRKeltner";
                Period                        = 10;
                IsOverlay                    = false;
                IsSuspendedWhileInactive    = true;
                OffsetMultiplier            = 1.5;

                AddPlot(Brushes.DarkGray,        NinjaTrader.Custom.Resource.KeltnerChannelMidline);
                AddPlot(Brushes.DodgerBlue,        NinjaTrader.Custom.Resource.NinjaScriptIndicatorUpper);
                AddPlot(Brushes.DodgerBlue,        NinjaTrader.Custom.Resource.NinjaScriptIndicatorLower);
            }
            else if (State == State.DataLoaded)
            {
                diff                = new Series<double>(this);
                atrDiff                = ATR(diff, Period);
                atrTypical            = ATR(Typical, Period);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < 1)
                return;
            diff[0]            = Math.Max(High[0], Close[1]) - Math.Min(Close[1], Low[0]);

            double middle    = atrTypical[0];
            double offset    = atrDiff[0] * OffsetMultiplier;

            double upper    = middle + offset;
            double lower    = middle - offset;

            Midline[0]        = middle;
            Upper[0]        = upper;
            Lower[0]        = lower;
        }

All I've done here is replace the SMA with an ATR; though I factored in Kognam's changes as well, and you'd probably want to plot this in a separate panel or as an overlay - the values you get for the lines are a lot smaller than the current prices.

Please let us know if we may be of further assistance to you.

[lunardiplomacy]

Hello lunardiplomacy,

Thank you for your posts.

If youre wanting to swap the SMA for an ATR, you'd need to do something like this:

 private Series<double> diff;
private ATR atrDiff;
private ATR atrTypical;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = NinjaTrader.Custom.Resource.NinjaScriptIndicatorDescriptionKeltnerChannel;
Name = "ATRKeltner";
Period = 10;
IsOverlay = false;
IsSuspendedWhileInactive = true;
OffsetMultiplier = 1.5;

AddPlot(Brushes.DarkGray, NinjaTrader.Custom.Resource.KeltnerChannelMidline);
AddPlot(Brushes.DodgerBlue, NinjaTrader.Custom.Resource.NinjaScriptIndicatorUpper);
AddPlot(Brushes.DodgerBlue, NinjaTrader.Custom.Resource.NinjaScriptIndicatorLower);
}
else if (State == State.DataLoaded)
{
diff = new Series<double>(this);
atrDiff = ATR(diff, Period);
atrTypical = ATR(Typical, Period);
}
}

protected override void OnBarUpdate()
{
if (CurrentBar < 1)
return;
diff[0] = Math.Max(High[0], Close[1]) - Math.Min(Close[1], Low[0]);

double middle = atrTypical[0];
double offset = atrDiff[0] * OffsetMultiplier;

double upper = middle + offset;
double lower = middle - offset;

Midline[0] = middle;
Upper[0] = upper;
Lower[0] = lower;
}

All I've done here is replace the SMA with an ART; though I factored in Kognam's changes as well, and you'd probably want to plot this in a separate panel or as an overlay - the values you get for the lines are a lot smaller than the current prices.

Please let us know if we may be of further assistance to you.

Hi Kate,

Thank you for your response. I apologize if my explanation was misleading, I still want the EMA, I just want to calculate the upper and lower bands as a multiple of the ATR.

Let me try to be as specific as I can... currently the NT KeltnerChannel code base uses the previous bar high - close in it's calculation of the offset multiple, such that, for example, the upper band is calculated as:

 emaTypical + emaDiff * OffsetMultiplier

where emaDiff = high - low. What I want is for the calculation to look like this:

 emaTypical + emaATR * OffsetlMultiplier

where emaATR is an exponential moving average of the true range over a period of the last 500 bars. Something like ema(tr, 500), or at least that's how it looks in pinescript.

In other words, instead of simply using the high - low I want to use the true range of the prior 500 bars, and THAT'S what I am having trouble substituting/implementing. I would also preferably like to be able to change the ATR period so that it doesn't HAVE to be 500 bars, but I can figure that out another time.

Okay, thank you so much for helping me out, I am sorry if this was poorly explained the first time, I am only just starting to learn to code, so it's difficult for me to put it into English eloquently. I appreciate any help you can give me.

[NinjaTrader_Kate]

Hello LunarDiplomacy,

Thank you for your reply.

Ah, I understand much better now. You're wanting to use the ATR value in place of the current diff value, is that correct? Here's an example:

private Series<double>        diff;
        private    SMA                    smaDiff;
        private    SMA                    smaTypical;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                    = NinjaTrader.Custom.Resource.NinjaScriptIndicatorDescriptionKeltnerChannel;
                Name                        = "ATRKeltner";
                Period                        = 10;
                ATRPeriod                    = 10;
                IsOverlay                    = true;
                IsSuspendedWhileInactive    = true;
                OffsetMultiplier            = 1.5;

                AddPlot(Brushes.DarkGray,        NinjaTrader.Custom.Resource.KeltnerChannelMidline);
                AddPlot(Brushes.DodgerBlue,        NinjaTrader.Custom.Resource.NinjaScriptIndicatorUpper);
                AddPlot(Brushes.DodgerBlue,        NinjaTrader.Custom.Resource.NinjaScriptIndicatorLower);
            }
            else if (State == State.DataLoaded)
            {
                smaDiff                = SMA(ATR(ATRPeriod), Period);
                smaTypical            = SMA(Typical, Period);
            }
        }

        protected override void OnBarUpdate()
        {

            double middle    = smaTypical[0];
            double offset    = smaDiff[0] * OffsetMultiplier;

            double upper    = middle + offset;
            double lower    = middle - offset;

            Midline[0]        = middle;
            Upper[0]        = upper;
            Lower[0]        = lower;
        }

        #region Properties
        [Browsable(false)]
        [XmlIgnore()]
        public Series<double> Lower
        {
            get { return Values[2]; }
        }

        [Browsable(false)]
        [XmlIgnore()]
        public Series<double> Midline
        {
            get { return Values[0]; }
        }

        [Range(0.01, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "OffsetMultiplier", GroupName = "NinjaScriptParameters", Order = 0)]
        public double OffsetMultiplier
        { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "Period", GroupName = "NinjaScriptParameters", Order = 1)]
        public int Period
        { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "ATRPeriod", GroupName = "NinjaScriptParameters", Order = 2)]
        public int ATRPeriod
        { get; set; }

        [Browsable(false)]
        [XmlIgnore()]
        public Series<double> Upper
        {
            get { return Values[1]; }
        }
        #endregion

Is that more in line for what you were looking for?

Please let us know if we may be of further assistance to you.

[lunardiplomacy]

Yes, Kate!! You are a goddess, this is it. Thank you so much for your help.