gavindiaz/mql5

Fork 0

mirror of https://github.com/softwaredevelop/mql5.git synced 2026-11-02 11:16:15 +00:00

Files

T

Toh4iem9 7db8a8b159 new files added

2026-09-04 16:10:51 +02:00

12 KiB

Raw Permalink Blame History

Classic Keltner Channel (Keltner Channel) Pro (v4.00)

Quantitative Multi-Algorithm Moving Average & ATR Volatility Envelope Suite

1. Summary (Introduction)

Keltner Channel Pro is an institutional-grade volatility envelope indicator based on the classic formula originated by Chester Keltner and refined by Linda Bradford Raschke. It constructs a dynamic, volatility-adjusted price corridor by projecting Average True Range (ATR) bands above and below a central Moving Average baseline.

Unlike standard Bollinger Bands which rely on standard deviation and are prone to sudden, erratic spikes, Keltner Channels expand and contract smoothly in direct proportion to true market range. This creates a reliable envelope for identifying institutional breakout expansion, trend riding, and over-extended mean-reversion exhaustion.


┌────────────────────────────────────────────────────────────────────────┐
│                      KELTNER CHANNEL ARCHITECTURE                      │
├────────────────────────────────────────────────────────────────────────┤
│  Upper Band:  Moving Average(t) + [Multiplier × ATR(t)]                │
│  Middle Band: Universal Centerline Basis (SMA/EMA/LWMA/VWMA)           │
│  Lower Band:  Moving Average(t) - [Multiplier × ATR(t)]                │
└────────────────────────────────────────────────────────────────────────┘

Key Capabilities

8 Native Centerline Models: Centerline basis can utilize any moving average algorithm (SMA, EMA, SMMA, LWMA, TMA, DEMA, TEMA, and Volume-Weighted VWMA).
Independent Hybrid Routing: Allows independent price sourcing (e.g., Typical Price EMA Centerline combined with Standard True Range ATR Bands).
Full Volume-Weighted Support (VWMA-KC): Routes Real Volume (VOLUME_REAL) and Tick Volume (VOLUME_TICK) into the centerline moving average engine.
Unified 2026 MTF Framework: Higher-timeframe Keltner Channels (e.g., H1 or H4) map onto lower-timeframe execution charts (M1, M5, M15) with flat, non-warping steps via DataSync_Tools.mqh.
Synthetic Heikin Ashi Support: Fully compatible with filtered Heikin Ashi price series via CKeltnerChannelCalculator_HA composition.

2. Mathematical Foundations & Volatility Envelope Mechanics


                         Upper Band: Middle + (Multiplier · ATR)
       ══════════════════════════════════════════════════════════════════ clrOliveDrab (Dot)
                         ▲ ATR Volatility Corridor
                         │
       ──────────────────┼─────────────────────────────────────────────── clrOliveDrab (Solid)
                         │ Middle Centerline Basis (MA / VWMA)
                         ▼
       ══════════════════════════════════════════════════════════════════ clrOliveDrab (Dot)
                         Lower Band: Middle - (Multiplier · ATR)

2.1. Centerline Moving Average Basis (`\text{Middle}_t`)

Given input price series P_t (e.g., Typical Price \frac{H + L + C}{3}):

\text{Middle}_t = \mathcal{MA}\left( P, \text{Period} = P_{\text{MA}}, \text{Type} = \text{InpMaMethod} \right)

where standard parameters are P_{\text{MA}} = 20 and \text{InpMaMethod} = \text{EMA}.

2.2. Wilder's Average True Range (`\text{ATR}_t`)

The True Range (TR) captures gap volatility across adjacent bars:

TR_t = \max\left( H_t - L_t, \; |H_t - C_{t-1}|, \; |L_t - C_{t-1}| \right) \text{ATR}_t = \text{Wilder's RMA}(TR_t, P_{\text{ATR}})

where P_{\text{ATR}} = \text{InpAtrPeriod} (default: 10).

2.3. Dynamic Volatility Band Projections

\text{Upper Band}_t = \text{Middle}_t + (M \cdot \text{ATR}_t) \text{Lower Band}_t = \text{Middle}_t - (M \cdot \text{ATR}_t)

where M = \text{InpMultiplier} (default: 2.0).

2.4. Volume-Weighted Keltner Model (VWMA-KC)

When InpMaMethod = VWMA, the centerline weights prices directly by committed volume:

\text{Middle}_{\text{VWMA}, t} = \frac{\sum_{j=0}^{P_{\text{MA}}-1} P_{t-j} \cdot V_{t-j}}{\sum_{j=0}^{P_{\text{MA}}-1} V_{t-j}}

\text{Upper Band}_t = \text{Middle}_{\text{VWMA}, t} + (M \cdot \text{ATR}_t), \quad\quad \text{Lower Band}_t = \text{Middle}_{\text{VWMA}, t} - (M \cdot \text{ATR}_t)

3. MQL5 Architecture & Engineering Standards


┌────────────────────────────────────────────────────────┐
│               KeltnerChannel_Calculator.mqh            │
│    (Core Engine: MovingAverage_Engine + ATR_Calculator)│
├──────────────────────────┬─────────────────────────────┤
│   Volume Routing Layer   │   Composition Engine        │
│   • Real Volume Support  │   • CKeltnerChannelCalc_HA  │
│   • Tick Volume Fallback │   • Leak-Free Destructors   │
└──────────────────────────┴─────────────────────────────┘
                           │ Outputs Middle, Upper, Lower in O(1)
                           ▼
┌────────────────────────────────────────────────────────┐
│                 KeltnerChannel_Pro.mq5                 │
│    (Unified Wrapper: Native Timeframe & MTF Engine)    │
├──────────────────────────┬─────────────────────────────┤
│   Direct Mode (O(1))     │   Synchronized MTF Pipeline │
│   • Current Timeframe    │   • DataSync_Tools Daemon   │
│   • 3 Output Plots       │   • Staircase Flat-Force    │
└──────────────────────────┴─────────────────────────────┘

Dual-Engine Composition Architecture: CKeltnerChannelCalculator coordinates CMovingAverageCalculator and CATRCalculator with zero heap memory leaks and safe pointer destruction (CheckPointer).
Full VWMA Volume Routing: Volume arrays (h_vol[] in MTF and volume[] in Native) are routed directly into the centerline calculation pipeline.
2026 MTF Framework with Staircase Solution:
- Asynchronous 1-second timer daemon (OnTimerUpdate) ensures higher-timeframe data synchronization without UI lag.
- Dynamic staircase anchor (first_bar_of_forming_htf) synchronizes all lower-timeframe sub-bars belonging to the active higher-timeframe candle.

4. Parameters Reference

Timeframe Settings

InpTimeframe (default: PERIOD_CURRENT): Calculation timeframe. When set to PERIOD_CURRENT, it operates in native zero-lag mode. When set to a higher timeframe (e.g., PERIOD_H1, PERIOD_D1), it activates the synchronized MTF engine.

Middle Line (MA) Settings

InpMaPeriod (default: 20): Smoothing period (P_{\text{MA}}) for the centerline basis.
InpMaMethod (default: EMA): Smoothing algorithm for centerline (SMA, EMA, SMMA, LWMA, TMA, DEMA, TEMA, VWMA).
InpSourcePrice (default: PRICE_TYPICAL_STD): Applied price source (Supports all 7 Standard and 7 Heikin Ashi modes).

Channel (ATR) Settings

InpAtrPeriod (default: 10): Lookback period (P_{\text{ATR}}) for volatility calculation.
InpMultiplier (default: 2.0): Volatility band multiplier (M).
InpAtrSource (default: ATR_SOURCE_STANDARD): Selects whether True Range is derived from Standard candles or filtered Heikin Ashi candles.

Visual Settings - Centerline (Basis)

InpColorMiddle (default: clrOliveDrab): Centerline color (Width: 2, Solid).
InpStyleMiddle (default: STYLE_SOLID): Line style of the centerline.
InpWidthMiddle (default: 2): Line thickness.

Visual Settings - Outer Bands

InpColorBands (default: clrOliveDrab): Color applied to Upper and Lower volatility bands.
InpStyleBands (default: STYLE_DOT): Line style for outer bands.
InpWidthBands (default: 1): Line thickness for outer bands.

5. Quantitative Trading Playbooks


┌────────────────────────────────────────────────────────────────────────┐
│                   KELTNER CHANNEL TRADING PLAYBOOKS                    │
├────────────────────────────────────────────────────────────────────────┤
│ 1. Volatility Squeeze:   Bollinger Bands contract inside Keltner       │
│                          Channel; breakout outside Keltner = Surge.    │
│ 2. Band Riding Trend:    Candles closing outside Upper/Lower band with │
│                          expanding ATR confirm institutional markup.   │
│ 3. Mean Reversion Fade:  Candles rejecting outer bands in consolidation │
│                          target mean reversion back to Centerline.     │
└────────────────────────────────────────────────────────────────────────┘

5.1. The Bollinger-Keltner Volatility Squeeze (John Carter Model)

Pre-Condition (Squeeze): Standard Bollinger Bands (2.0\sigma) contract entirely inside the Keltner Channel (20\text{ EMA}, 1.5\text{ ATR}). This indicates that market volatility has compressed to statistical extremes.
Trigger (The "Firing" Breakout): Bollinger Bands expand and break outside the Keltner Channel while price decisively closes above the Upper Band (Long) or below the Lower Band (Short) \rightarrow Enter in the direction of the breakout.

5.2. Trend Riding & Trailing Stop Management

Bullish Momentum: During strong trend expansion, price "rides" the Upper Band.
Execution Rule: Hold long positions as long as candles continue closing above the Centerline (Basis). Use the Centerline as a dynamic trailing stop.

5.3. Multi-Timeframe Macro Envelope Alignment

Attach an H1-calculated Keltner Channel onto an M5 execution chart.
Rule: Only take M5 long pullback trades when price is trading in the upper half of the macro channel (between H1 Centerline and H1 Upper Band).

6. Indicator Buffer Map (For Developers & EA Integration)

Buffer Index	Name	Type	Description
0	`BufferUpper`	`INDICATOR_DATA`	Upper Volatility Band (`\text{Middle} + M \cdot \text{ATR}`)
1	`BufferLower`	`INDICATOR_DATA`	Lower Volatility Band (`\text{Middle} - M \cdot \text{ATR}`)
2	`BufferMiddle`	`INDICATOR_DATA`	Centerline Moving Average Basis (`\text{Middle}`)

All buffers strictly maintain non-series chronological order (ArraySetAsSeries = false), ensuring instant compatibility with Expert Advisors and scanner dashboards via iCustom().

12 KiB Raw Permalink Blame History Unescape Escape