Skip to main content

Keltner Channels

Keltner channels are volatility-based bands that are placed on both sides of an asset's price and can be used to determine the direction of a trend. Keltner channels use the following variables to calculate the upper band and the lower band:

  1. Interval: Interval is the time period for the moving average. For example, an interval of 10 means the moving average is calculated over the last 10 days.
  2. Deviation Multiplier: The deviation multiplier is used to calculate how far both bands should be from the average.
  3. Exponential Moving Average(EMA): A weighted average of recent period prices which uses an exponentially decreasing weight from each previous price/period. There are different ways to calculate the EMA; the Steer Protocol is using the following method:
    EMA=p(deviation/(1+interval))+x(1multiplier/(1+interval))EMA = p * (deviation/(1 + interval)) + x * (1 - multiplier/(1 + interval))
    Where p and x are the previous price and the previous EMA respectively.
  4. Average True Range(ATR): A volatility indicator that shows how much an asset moves, on average, during a given time frame.

To calculate the ATR by hand, you must first calculate a series of true ranges (TRs). The ATR for a given interval is the greatest of the following:

  • Current high minus the previous close
  • Current low minus the previous close
  • Current high minus the current low

The upper band and the lower band are calculated through the following formulas:

UpperBand=EMA+(ATRmultiplier)UpperBand = EMA + (ATR * multiplier)
LowerBand=EMA(ATRmultiplier)LowerBand = EMA - (ATR * multiplier)

We are nearing the launch of our project, and soon we will make the repository publicly available.

The execution of the bundle essentially refers to the calculation of these values, which are then handled by the Steer Protocol.