Keltner breakout up event
Flags each one-minute close that breaks above the upper Keltner band, the average plus a multiple of recent range.
The upper band is an exponential average of the close (ema_window bars) plus mult times the average true range (atr_window bars), so it sits a volatility-scaled distance above that average. The indicator marks each bar whose close is above this line, after the optional band shift. It needs no cross and no confirmation, so a sustained move shows as a run of markers.
How to read it
- The band itself is not drawn; only the markers on the candles appear.
- A marker means that bar's close finished above the upper band.
- A run of consecutive markers is one breakout that held; the first marker of the run is where it started.
- At defaults on SPY about 13% of bars carry a marker, in roughly 30 separate runs per session day.
What it outputs
- Close above upper band
- Marks each one-minute bar whose close is above the upper Keltner band: the average plus mult times the ATR.
When it fires
When a one-minute close lands above the upper band on that bar. It marks the first bar where price is stretched above its average by more than the chosen width. Later markers in the same run only show the move holding above the line.
Settings
- ema_window
- Length of the average the band is centred on. A shorter average hugs the close, so a breakout needs a sharper move. A longer average lags, so in a steady rise closes clear the band more often.
- atr_window
- Length of the average true range that sets the band width. Shorter makes the width jump with each bar's range; longer keeps it steady and slower to react to a volatility spike.
- mult
- Band width in ATRs above the average. Raising it needs a bigger push, so fewer, stronger breakouts; lowering it lets ordinary bars break out. Negative values put the upper line below the average.
- band
- Shifts the upper line by this fraction of its price, not of the ATR. 0.001 moves it about $0.77 at the sample's $765 price. Positive values demand more overshoot; negative values make markers appear sooner.
Pitfalls
- Markers repeat bar by bar, so counting every marker overstates breakouts. Count run starts: at defaults the sample has about 633 starts against 2688 marked bars.
- No confirmation: a single one-minute bar that spikes through the line counts. The band uses that same bar's high and low, so a wide bar raises the line it is tested against.
- The catalog allows negative mult down to -201. That turns the upper line below the average, so markers then mean a close above a line under the average, which is not a breakout.