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What do you get when you cross a Keltner Channel and Bollinger Bands? Rate this Topic:
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Putt4Dough
Posted : Monday, June 16, 2008 9:44:26 PM

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Joined: 7/30/2007
Posts: 1,072

Keltner Bands? 
A Bollinger Channel? 
Kellinger Bannels??
 
Just kidding. 

Actually, I ran this idea by Julia during tonight's webinar, and she suggested "Ask a Trainer" since this sounds like it might take some RealCode and/or Block Diagrams to implement.

I'd like to create four individual conditions, based on the interaction of Bollinger Bands and a Keltner Channel.

Condition #1 would be true if the Bollinger Bands for a particular bar are "inside" the Keltner Channel.

Condition #2 would be true if the Bollinger Bands for a particular bar are "outside" the Keltner 
Channel.

Condition #3 would be true if the Bollinger Bands for a particular bar are crossing from inside to outside the Keltner Channel.

Condition #4 would be true if the Bollinger Bands for a particular bar are crossing from outside to inside the Keltner Channel.

The particular settings I'm interested in are ...

Bollinger Bands
Period: 20
Avg Type: Simple
Std Dev: 2

Keltner Channel
Typ Price: 20
Avg Type: Exponential
ATR Multiplier: 1.5

Eventually I'd like to use these conditions to paint my chart, which I think I can handle myself. I just need some help with these conditions. 

Most of the conditions I've done so far have been pretty simple (moving average crossovers and the like). Since Bollinger Bands and Keltner Channels are not individual plots, these are a little out of my league at the moment.

Your help is extremely appreciated! 

Looking forward to tomorrow's BackScanner webinar!

... Bill

diceman
Posted : Monday, June 16, 2008 10:24:22 PM
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Joined: 1/28/2005
Posts: 6,048
See this:
 
 
 
 
 
 
Thanks
diceman
Putt4Dough
Posted : Tuesday, June 17, 2008 5:22:59 AM

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Joined: 7/30/2007
Posts: 1,072
Diceman,

I followed the links, and if I read them correctly they seem to have to do with TeleChart.
I'm looking to implement this in Blocks; I'm not a TeleChart user.

(Sorry, I forgot to mention that in my original post).

... Bill
Bruce_L
Posted : Tuesday, June 17, 2008 8:51:24 AM


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Joined: 10/7/2004
Posts: 63,198
BillBlocks,
We can do this using Drag and Drop Conditions if we add 1-Period Simple Moving Averages to both lines of the Bollinger Bands and Keltner Channels and Drag and Drop the Moving Averages instead of Dragging and Dropping the Bollinger Bands and Keltner Channels directly.

I do have one important question before we can go any further with this however. The settings used for your Bollinger Bands and Keltner Channels mean the centerlines are not the same. As a result, the Upper Bollinger Band can be inside the Keltner Channels while the Lower Bollinger Band is outside the Keltner Channels (or vice versa). This means there are actually four states (completely outside, only Upper outside, only Lower outside or completely inside) instead of two states (outside or  inside).

We could force the centerlines to be the same (changing the Keltner Channel Avg Type to Simple would do this for example). We could also define outside as being either completely outside or at least partially outside. There are obviously other options as well. How do you want to handle it?

-Bruce
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Putt4Dough
Posted : Tuesday, June 17, 2008 9:20:36 AM

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Posts: 1,072
Bruce,

Thanks for the response! My ultimate goal here, is to replicate (or maybe even improve on) the TTM Squeeze indicator using Blocks.

The first step, of course, is implementing the relationship between the Bollinger Bands and the Keltner Channel. After that, I hope to add a Momentum oscillator depicted as a histogram, and a custom indicator that's painted based on the interaction of the BB, KC, and Momentum oscillator.

But first things first. Back to the Bollinger Bands & Keltner Channel. To your question ...

Thanks for pointing out that the centerlines do not match; I didn't realize that. I made an assumption on the Keltner Channel Avg Type based on some browsing I did on the Internet last night. It sounds like it should've been Simple instead of Exponential.

I think your suggestion to force the centerlines to be the same by changing the Keltner Channel Avg Type to Simple is spot on. Let's go with that.

I had to guess on the Avg Type last night because I don't use TradeStation, so I couldn't look up the default settings.

Here are the author's exact words, from his book, on the settings used:

"For the parameters, I just use the default settings on TradeStation. These readings are 20 and 1.5 for the Keltner Channels and 20 and 2 for the Bollinger Bands."

I don't know if you guys keep copies of other products around to keep an eye on the competition, but if you have access to TradeStation or their documentation you might be able to verify the default settings. But I'm thinking the Simple Avg Type is probably the way to go.

Thanks again,
... Bill
Bruce_L
Posted : Tuesday, June 17, 2008 9:27:16 AM


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Joined: 10/7/2004
Posts: 63,198
Next question then. I'm pretty sure based on what you've stated about your experience with building Conditions based on single line Plots that I will be able to explain how to do this in a way that you would be able to implement it on your own. Would you rather I explained the process step-by-step or that I create the Chart for you and Share it?

-Bruce
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Putt4Dough
Posted : Tuesday, June 17, 2008 9:35:27 AM

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Posts: 1,072
Bruce,

If you don't mind describing the process step-by-step, then I'd like to take a crack at implementing it on my own.

Then perhaps after I take a shot at it, I can Share my Chart, and you can take a quick look at it to see if I followed your instructions correctly.

... Bill
Bruce_L
Posted : Tuesday, June 17, 2008 9:52:38 AM


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Joined: 10/7/2004
Posts: 63,198
Please try the following to prepare the Charts for creating the Conditions using Drag and Drop:

- Select Indicators | Bollinger Bands | Price History | OK.
- Left-click on the Bollinger Bands to bring up QuickEdit and change the Period to 20.
- Select Indicators | Moving Average | Bollinger Bands (Upper - this isn't labeled) | OK.
- Left-click on the Moving Average to bring up QuickEdit and change the MovAvg Period to 1.
-- Optionally, you can change the Name and Color of the Moving Average.
- Select Indicators | Keltner Channels | Price History | OK.
- Left-click on the Keltner Channels to bring up QuckEdit and change the Avg Type to Simple.
- Select Indicators | Moving Average | Keltner Channels (Upper - this isn't labeled) | OK.
- Left-click on the Moving Average to bring up QuickEdit and change the MovAvg Period to 1.
-- Optionally, you can change the Name and Color of the Moving Average.

QUOTE (BillBlocks)
Condition #1 would be true if the Bollinger Bands for a particular bar are "inside" the Keltner Channel.

- Drag and Drop the Bollinger Band's Moving Average onto the Keltner Channel's Moving Average and select Create Condition | Below MovAvg (or whatever you decided to name the Keltner Channel's Moving Average).

QUOTE (BillBlocks)
Condition #2 would be true if the Bollinger Bands for a particular bar are "outside" the Keltner Channel.

- Drag and Drop the Bollinger Band's Moving Average onto the Keltner Channel's Moving Average and select Create Condition | Above MovAvg (or whatever you decided to name the Keltner Channel's Moving Average).

QUOTE (BillBlocks)
Condition #3 would be true if the Bollinger Bands for a particular bar are crossing from inside to outside the Keltner Channel.

- Drag and Drop the Bollinger Band's Moving Average onto the Keltner Channel's Moving Average and select Create Condition | Crossing Up Through MovAvg (or whatever you decided to name the Keltner Channel's Moving Average).

QUOTE (BillBlocks)
Condition #4 would be true if the Bollinger Bands for a particular bar are crossing from outside to inside the Keltner Channel.

- Drag and Drop the Bollinger Band's Moving Average onto the Keltner Channel's Moving Average and select Create Condition | Crossing Down Through MovAvg (or whatever you decided to name the Keltner Channel's Moving Average).

-Bruce
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Putt4Dough
Posted : Tuesday, June 17, 2008 10:31:26 AM

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Joined: 7/30/2007
Posts: 1,072
Bruce,

Thanks!
I'll try this when I get home this evening.
I'll let you know how it goes.

... Bill
Bruce_L
Posted : Tuesday, June 17, 2008 10:31:57 AM


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Posts: 63,198
You're welcome.

-Bruce
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Putt4Dough
Posted : Wednesday, June 18, 2008 6:47:57 PM

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Posts: 1,072
Bruce,

I followed your directions (I think) and Shared a Layout called "BillBlocks Squeeze". If you have a minute take a look and see if this is what you had in mind.

Using a 1-bar Moving Average is a very interesting idea; I probably would have never thought of it. 

I still have to play with it some more, but I think I have the general idea down.

Thanks for all the help!
... Bill
Bruce_L
Posted : Thursday, June 19, 2008 8:56:23 AM


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It looks right to me. I appreciate getting a chance to see exactly how it worked out.

-Bruce
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Putt4Dough
Posted : Thursday, June 19, 2008 9:05:18 AM

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Bruce, 

Thanks again for all the help. I think the 1-bar Moving Average idea was the key.

Hopefully, I can take it from here. I'll clean up the chart, add a Momentum Oscillator, and then start on a Custom Indicator.

... Bill
Bruce_L
Posted : Thursday, June 19, 2008 9:17:12 AM


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Joined: 10/7/2004
Posts: 63,198
You're welcome. I suspect you will be able to Drag and Drop Channel Plots into RealCode at some point, but until then, the 1-Period Simple Moving Average is the way to go.

-Bruce
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