Keltner Channels: a moving average with volatility rails, where the rail width
is a range measure rather than a standard deviation. That is the whole point of
the study: Bollinger's bands widen on dispersion of closes, Keltner's on how
much ground each bar actually covers, so the two disagree exactly when a market
gaps or trends in one direction without spreading its closes out.
Three rail sources are offered because they answer different questions. ATR (the
default) smooths the range over its own atrlength, so the rails breathe slowly.
True Range uses the raw bar, so a single wide bar throws the rails out on that
bar alone. Range is Wilder-smoothed high-minus-low over the channel length,
ignoring gaps entirely. Each has its own warmup, and the plotted band starts at
whichever of the rail and the basis is slower.
Keltner Channels: a moving average with volatility rails, where the rail width is a range measure rather than a standard deviation. That is the whole point of the study: Bollinger's bands widen on dispersion of closes, Keltner's on how much ground each bar actually covers, so the two disagree exactly when a market gaps or trends in one direction without spreading its closes out.
Three rail sources are offered because they answer different questions. ATR (the default) smooths the range over its own
atrlength, so the rails breathe slowly. True Range uses the raw bar, so a single wide bar throws the rails out on that bar alone. Range is Wilder-smoothed high-minus-low over the channellength, ignoring gaps entirely. Each has its own warmup, and the plotted band starts at whichever of the rail and the basis is slower.