Gapless Keltner Channel

Gapless Keltner Channel

By eliminating the effect of the overnight gap, the Gapless Keltner Channel transitions smoothly between the previous close and the current open. Instead of waiting for the lookback period to eliminate a gap from its calculation, the Gapless Keltner Channel can be used immediately because it automatically adjusts to any overnight gap.

Indicator Description

The Gapless Keltner Channel is used for instruments and session templates that have a price gap between yesterday’s close and the current open. Overnight gaps occur with instruments that do not have an overnight trading session. For example, the FDAX for the Germany equity market is closed from 10:00 PM until 8:00 AM local time. Therefore, significant fluctuations in Asian markets may create price gaps that reflect the overnight price action.

Likewise, gaps will appear if you use a session template that only displays the regular trading session. The CME US Index Futures RTH template will only show price data from 8:30 AM to 3:15 PM Central Time. Therefore, any significant price moves that occurred overnight, will create a price gap.

This is an issue for the traditional Keltner Channel because the gap is part of the lookback period. Therefore, at the session start, you’ll have to wait until the gap is eliminated from the lookback period.

The Gapless Keltner Channel measures the difference between the prior day close and yesterday’s last indicator plot. For the new session, it is then transferred to the current open. Available moving average calculations include the Gapless EMA, Gapless SMA, Gapless MACD, Gapless TEMA, Gapless WMA and the Gapless ZLEMA. Other than adjusting for the overnight gap, the indicator also comes with an option to reset the calculation to start at the current open.

Other Library Indicators

The library also features a Multiple Keltner Channel indicator which offers a selection of 30 different moving averages as input series.

Other Multiple Series Indicators include the Fibonacci Bands, Multiple Bollinger Bands, Multiple Deviation Bands, Multiple MACD, Multiple MA CrossMultiple Moving Average Wave, Multiple Rainbow Filter, the Multiple TSI the Rainbow Oscillator, Residual Deviation Bands and the SuperTrend indicator.

Finally, we discussed the general application of Gapless Indicators in our Indicator Spotlight newsletter.

The Gapless Keltner Channel is available for NinjaTrader 8