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Dan,
The Keltner channels AFL is at
http://www.amibroker.com/library/detail.php?id=43, comment III
The calculations are aligned to the international literature on the
subject.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Dan" <amarones@xxxx> wrote:
> Does anyone in the group have expertise in Tradestation and
EasyLanguage as well as AFL?
> I am trying to duplicate the Tradestation Keltner channel in
Amibroker and have had no success so far. The Keltner Channel in the
formula library does not duplicate the Tradestation Keltner Channel.
I have written custom indicators for Amibroker based on the
Tradestation webpage definition and explanation of the Keltner
Channel and Average True Range. I suspect that Tradestation uses a
SMA method to smooth the ATR unlike the Amibroker version.
> These are the parameters from the Tradestation website for the
Keltner Channel:
>
> Input Information
> Name
> Expression
> Default
> Description
>
> Price
> Numeric
> Close
> Price used to calculate the midline.
>
> Length
> Numeric
> 20
> Length used to calculate the midline.
>
> Factor
> Numeric
> 1.5
> Factor applied to the average true range used to determine the
Keltner Channel bands.
>
> Displace
> Numeric
> 0
> The number of bars to displace the plot of the Keltner Channel
bands.
>
>
>
> The midline is the key. I assumed it's default is a 20 period sma
of the ATR.
>
> Their parameters for the ATR are:
>
> In his book, New Concepts in Technical Trading Systems, Welles
Wilder, Jr. uses a value known as true range in his directional
movement calculations. He defines true range as the larger of the
following:
>
> · The distance between today's High and today's Low.
>
> · The distance between today's High and yesterday's Close.
>
> · The distance between today's Low and yesterday's Close.
>
> AvgTrueRange is simply an average of the True Range values over a
period of time. For more information, see TrueRange.
>
> Function
> AvgTrueRange(Length)
>
> Parameters
> Length
> Number of bars in the average.
>
>
> Returns
> A numeric value containing the average of the true range over
Length bars.
>
> Usage
> The AvgTrueRange tends to smooth out price bars of higher or lower
than average volatility.
>
>
>
>
>
> With this in mind I wrote the following indicator to add to the
price window in Amibroker using my inputs of 8 periods and a 1.3
factor(which doesn't duplicate the Tradestation result using those
same inputs):
>
> RangeH=IIf(((H+L)/2)>((H+Ref(C,-1))/2),(H+L)/2,(H+Ref(C,-1))/2);
>
> Range=IIf(RangeH>(L+Ref(C,-1))/2,RangeH,(L+Ref(C,-1))/2);
>
> TruHi=IIf(H>Ref(C,-1),H,Ref(C,-1));
>
> TruLo=IIf(L<Ref(C,-1),L,Ref(C,-1));
>
> AvTR=MA(C,8);
>
> MABand=(MA((TruHi-TruLo),8)*1.3);
>
> UBand=AvTR+MABand;
>
> LBand=AvTR-MABand;
>
> Plot(AvTR,"AvTR",1,1);
>
> Plot(UBand,"UBand",1,1);
>
> Plot(LBand,"LBand",1,1);
>
> I don't own Tradestation, so their website is the only resource I
have for them.
> If anyone has any insight to my problem I would greatly appreciate
any help.
>
>
> Dan
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