Keltner Channels - Questdb

Keltner Channels are volatility-based bands set above and below an EMA. Unlike Bollinger Bands which use standard deviation, Keltner Channels use Average True Range (ATR), making them less sensitive to sudden price spikes.

Problem

You want volatility bands that adapt to market conditions but are smoother than Bollinger Bands. Bollinger Bands can expand rapidly on single large moves, while Keltner Channels respond more gradually to sustained volatility changes.

Solution

questdb-sql

DECLARE
  @symbol := 'EURUSD',
  @lookback := '$now - 1M..$now'

WITH with_prev AS (
  SELECT
    timestamp,
    symbol,
    high,
    low,
    close,
    lag(close) OVER (PARTITION BY symbol ORDER BY timestamp) AS prev_close
  FROM market_data_ohlc_15m
  WHERE symbol = @symbol
    AND timestamp IN @lookback
),
with_tr AS (
  SELECT
    timestamp,
    symbol,
    high,
    low,
    close,
    greatest(
      high - low,
      abs(high - prev_close),
      abs(low - prev_close)
    ) AS tr
  FROM with_prev
  WHERE prev_close IS NOT NULL
),
with_indicators AS (
  SELECT
    timestamp,
    symbol,
    close,
    avg(close, 'period', 20) OVER (PARTITION BY symbol ORDER BY timestamp) AS ema20,
    avg(tr, 'period', 20) OVER (PARTITION BY symbol ORDER BY timestamp) AS atr
  FROM with_tr
)
SELECT
  timestamp,
  symbol,
  round(close, 5) AS close,
  round(ema20, 5) AS middle,
  round(ema20 + 2 * atr, 5) AS upper,
  round(ema20 - 2 * atr, 5) AS lower
FROM with_indicators
ORDER BY timestamp;

The query:

Calculates True Range accounting for gaps
Applies 20-period EMA smoothing to both price and ATR
Creates bands at ±2 ATR from the EMA

Interpreting results

Price above upper: Strong uptrend or overbought
Price below lower: Strong downtrend or oversold
Price at middle (EMA): Mean reversion target
Channels widening: Volatility increasing
Channels narrowing: Volatility decreasing

Keltner squeeze

When Bollinger Bands move inside Keltner Channels, it signals extremely low volatility (a "squeeze"). See the Bollinger BandWidth recipe for measuring squeeze conditions.

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