Keltner Channels in EasyLanguage — TradeStation & MultiCharts

Keltner Channels in EasyLanguage are two familiar functions — XAverage and AvgTrueRange — combined into a channel. See the explainer for the concept.

What you’ll need

• TradeStation or MultiCharts
• The EasyLanguage / PowerLanguage Editor, new Indicator

The source

{ AlgoGen Keltner Channel — TradeStation / MultiCharts }
inputs:
    EmaLen( 20 ),
    AtrLen( 10 ),
    Mult( 2.0 );

variables:
    Mid( 0 ), Band( 0 ), UpB( 0 ), LoB( 0 );

Mid  = XAverage( Close, EmaLen );
Band = Mult * AvgTrueRange( AtrLen );
UpB  = Mid + Band;
LoB  = Mid - Band;

Plot1( Mid, "Middle" );
Plot2( UpB, "Upper" );
Plot3( LoB, "Lower" );

XAverage is the EMA centerline and AvgTrueRange supplies the volatility for the bands — the modern Keltner from the output chart.

A channel-breakout strategy

{ AlgoGen Keltner Breakout — Strategy }
inputs: EmaLen( 20 ), AtrLen( 10 ), Mult( 2.0 );
variables: Mid( 0 ), UpB( 0 ), LoB( 0 );

Mid = XAverage( Close, EmaLen );
UpB = Mid + Mult * AvgTrueRange( AtrLen );
LoB = Mid - Mult * AvgTrueRange( AtrLen );

if Close crosses over UpB then Buy next bar at market;
if Close crosses under LoB then SellShort next bar at market;
{ Exit back at the centerline }
if MarketPosition = 1 and Close crosses under Mid then Sell next bar at market;
if MarketPosition = -1 and Close crosses over Mid then BuyToCover next bar at market;

This rides breakouts out of the channel and exits on a return to the EMA — run the Strategy Performance Report to see if it holds up.

Gotchas

• XAverage, not Average. The modern Keltner uses an exponential centerline; Average gives the older SMA style.
• AvgTrueRange for the bands. That’s what makes it a Keltner (ATR) rather than a Bollinger (standard deviation) channel.
• Separate lengths. EMA and ATR periods are commonly different; keep both as inputs.
• The squeeze. For the Bollinger-inside-Keltner squeeze, also compute BollingerBand-style ±2 StandardDev bands and flag when they sit inside the Keltner bands — UpperBB < UpB and LowerBB > LoB. That compression often precedes the breakout the strategy above trades.
• RadarScreen. Plotting the channel width (UpB - LoB) as a column lets you scan a watchlist for the tightest (most coiled) instruments.

Same indicator elsewhere: Python, MQL5, Pine Script, NinjaScript. Then backtest it in AlgoGen.

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This post is educational, not financial advice. Indicators describe the past; they don’t predict the future. Backtest anything before you risk real money on it.