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Math help needed! Point of intersection of price and fast MA?


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Math help needed! Point of intersection of price and fast MA?

  #11 (permalink)
userque
Chicago IL
 
Posts: 180 since Apr 2016
Thanks Given: 573
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Trader Kevin View Post
Of course. The formula for the middle band is the same EMA formula as before. The formula for the upper band of the Keltner Channel is : KC(upper band) = EMA + (ATR * KF) where KF is a constant that I will provide. ATR = max(high, close(previous)) - min (low, close(previous)). In word form, it is the largest of the: current high - current low, absolute value of the current high - previous close, or absolute value of the current low minus previous close.

Formula for the lower band is KC(lower band) = EMA - (ATR * KF)

I should also explain that I am not looking for the price where the price = the upper/lower bands at the previous 1 minute candle's close, but where they would meet in real time. In other words, what would price have to equal in order for it to close at the same price as the upper/lower bands?

Thanks!

Let me know if you need me to explain anything:
 
Code
Keltner Channels Scratch Paper and Raw Thoughts as They Occur:
As before:
ema=p * (1/3) + pema * (2/3)
Additionally:
KC(upper band) = EMA + (ATR * KF)
C=KF,ku=KC(upper band) 
ku = ema + atr.C
ATR = max(high, close(previous)) - min (low, close(previous))
FOUR DIFFERENT SCENARIOS:
atr=high-low where high>low, atr=high-pc, where high>pc, atr=pc-low, where pc>high, atr=pc-pc
ELIMINATE LAST POSSIBILITY:
atr=high-low where high>low, atr=high-pc, where high>pc, atr=pc-low, where pc>high
CONSIDERING FIRST SCENARIO:
ema=p * (1/3) + pema * (2/3)
ku = ema + atr.C
atr=high-low where high>low
high is always > low:
atr=high-low
SUBSTITUTION:
ku = ema + (high-low)C
SUBSTITUTION:
ku = p * (1/3) + pema * (2/3) + (high-low)C
LETTING ku=p:
p=p * (1/3) + pema * (2/3) + (high-low)C
TIMES 3
3p=p+2pema+3C(high-low)
MINUS p:
2p=2pema+3C(high-low)
DIVIDE BY 2:
p=pema+1.5*KF*(high-low), where low<=pc

AFTER DOING STUFF IN MY HEAD:

priceOfBandIntersection = previousEMA +/- (1.5 * KF * ("largest of the: current high - current low, absolute value of the current high - previous close, or absolute value of the current low minus previous close"))

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  #12 (permalink)
Trader Kevin
Houston, Texas
 
Posts: 13 since Jun 2020
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Thanks so much! I will test this out and see, but I'm sure you're right. Really appreciate it!

Edit: Tested it and it is perfect. Thanks again!

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  #13 (permalink)
userque
Chicago IL
 
Posts: 180 since Apr 2016
Thanks Given: 573
Thanks Received: 130



Trader Kevin View Post
Thanks so much! I will test this out and see, but I'm sure you're right. Really appreciate it!

Edit: Tested it and it is perfect. Thanks again!

Glad it's working out. Good luck!

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Last Updated on August 7, 2020


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