Keltner Channels Width (kcw)

[[kcw]] condenses the Keltner Channel envelope into a single series: the distance between the upper and lower bands divided by their middle line. When the middle line and the band width are expressed in compatible units, typically with a positive price source, a high value describes a wide channel relative to its center, while a low value describes a narrow one. The series measures the spacing of the envelope, not the position of price inside it.

In that case, the output reads as a ratio rather than a displayed percentage: 0.025 means that the channel width is 2.5% of the middle line. This relative reading removes the effect of the absolute price level. When source uses a different unit, the quotient no longer has this usual relative interpretation.

Block declaration#

A strategy can contain multiple [[kcw]] blocks. Each block outputs one numeric series, identified by id.

The block reads source to compute the middle line. It also reads high, low, and close to compute the Keltner Channels range. When use_true_range = false, close is still exposed as an internal source, but the range used by the calculation is high - low.

Examples#

Minimal setup#

This block computes Keltner Channels Width using the block defaults: source = "close", length = 20, multiplier = 2.0, and use_true_range = true.

[[kcw]]
id = "kcw"

Custom fixed setup#

This block uses hl2 for the middle line, a 14-candle window, a 1.5 multiplier, and the simple high - low range instead of True Range.

[[kcw]]
id             = "kcw"
source         = "hl2"
length         = 14
multiplier     = 1.5
use_true_range = false

Search for the optimal period and multiplier#

This block explores ranges of values for length and multiplier to identify the most useful combination for measuring channel expansion or contraction.

[[kcw]]
id = "kcw"

length.start = 10
length.stop  = 30
length.step  = 1

multiplier.start = 1.0
multiplier.stop  = 3.0
multiplier.step  = 0.25

Volatility filter#

This example uses kcw as a volatility filter. The [[constant]] block defines a threshold named kcw_threshold whose value ranges from 0.01 to 0.04 during the grid search. On each candle, the [[condition]] block only lets the strategy move on when kcw > kcw_threshold, meaning the channel is wide enough relative to its middle line.

[[kcw]]
id = "kcw"

[[constant]]
id    = "kcw_threshold"
start = 0.01
stop  = 0.04
step  = 0.005

[[condition]]
id            = "volatility_filter"
condition     = "kcw > kcw_threshold"
next_block_id = "..."

Dedicated symbol and timeframe#

This Keltner Channels Width block uses the daily candles from BINANCE:ETHUSDT. The middle line and the high, low, and close prices needed for the range come from this symbol and timeframe, independently of the primary symbol and timeframe defined in [backtest]. See Exchanges, Symbols and Timeframes for alignment rules.

[[kcw]]
id        = "kcw"
symbol    = "BINANCE:ETHUSDT"
timeframe = "D"

Parameters#

Available variables#

The Keltner Channels Width block exposes one numeric series, its parameters, the middle-line input series, the price sources used for the range, the symbol, and the timeframe.

Assume the block is configured as:

[[kcw]]
id = "kcw"

Then:

Notes

• Relative width is calculated as (upper channel - lower channel) / middle line.
• When the middle line is zero, the series value is not available (NaN).
• When the middle line is negative, the ratio is negative and the usual interpretation as a positive width does not apply directly.
• Band width is derived from the high and low prices, and from close when use_true_range = true, while the middle line comes from source. If source is volume or another indicator expressed in a different unit, the quotient mixes incompatible units and cannot be interpreted as a dimensionless relative width or percentage.
• Numeric variables support arithmetic, comparisons, and logical operators.
• Text variables are strings intended for equality/inequality checks only.