Merge pull request #88 from JuliaQuant/ib-keltner

Implement Keltner Channels

docs/src/volatility.md

@@ -41,4 +41,13 @@ atr(ohlc)
 
 ## Keltner Bands
 
-*Not Implemented*
+```@docs
+keltnerbands
+```
+
+```@repl
+using MarketData
+using MarketTechnicals
+
+keltnerbands(ohlc)
+```

src/MarketTechnicals.jl

@@ -7,7 +7,7 @@ module MarketTechnicals
 using TimeSeries, StatsBase
 
 export sma, ema, kama,
-       bollingerbands, truerange, atr, #keltnerbands,
+       bollingerbands, truerange, atr, keltnerbands,
        obv, vwap,
        doji,
        rsi, macd, cci, roc,

src/volatility.jl

@@ -59,22 +59,45 @@ function atr{T,N}(ohlc::TimeArray{T,N}, n::Integer=14;
     TimeArray(res.timestamp, res.values, ["atr"], ohlc.meta)
 end
 
-# function keltnerbands{T,N}(ohlc::TimeArray{T,N}, n::Int)
-# 	typ = typical(ohlc)
-# 	rng = ohlc["High"] .- ohlc["Low"]
-# 	rma = sma(rng, n)
-#
-# 	kma     = sma(typ, n)
-# 	tstamps = kma.timestamp
-#
-# 	kma = TimeArray(tstamps, kma.values, ["kma"])
-# 	kup = TimeArray(tstamps, (kma.+rma).values, ["kup"])
-# 	kdn = TimeArray(tstamps, (kma.-rma).values, ["kdn"])
-#
-# 	merge(kma, merge(kup, kdn))
-# end
-
-keltnerbands{T,N}(ohlc::TimeArray{T,N}) = keltnerbands(ohlc, 10)
+atr{T,N}(ta::TimeArray{T,N}) = atr(ta, 14)
+
+doc"""
+    keltnerbands(ohlc, n=20, w=2; h="High", l="Low", c="Close")
+
+**Keltner Channels**
+
+Linda Bradford Raschke introduced the newer version of Keltner Channels
+in the 1980s. We implement the newer version.
+
+**Formula**
+
+```math
+    \begin{align*}
+        \text{Up}   & = \text{Mid} + w \times ATR(n) \\
+        \text{Mid}  & = EMA(P_{typical}, n) \\
+        \text{Down} & = \text{Mid} - w \times ATR(n)
+    \end{align*}
+```
+
+**Referenc**
+
+- [StockCharts]
+  (http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:keltner_channels)
+
+- [Wikipedia]
+  (https://en.wikipedia.org/wiki/Keltner_channel)
+
+"""
+function keltnerbands{T,N}(ohlc::TimeArray{T,N}, n::Integer=20, w::Integer=2;
+                           h="High", l="Low", c="Close")
+    kma = rename(ema(typical(ohlc, h=h, l=l, c=c), n), "kma")
+    rng = atr(ohlc, n, h=h, l=l, c=c)
+
+    kup = rename(kma .+ (2 .* rng), "kup")
+    kdn = rename(kma .- (2 .* rng), "kdn")
+
+    merge(kup, merge(kma, kdn))
+end
 
 # # function chaikinvolatility{T,N}(ta::TimeArray{T,N}, n::Int)
 # #   #code here

test/volatility.jl

@@ -19,12 +19,17 @@ facts("Volatility") do
         @fact atr(ohlc).timestamp[1] --> Date(2000,1,24)
     end
 
-   #  context("keltner_bands") do
-   #      @fact keltnerbands(ohlc)["kma"].values[end] --> roughly(21.42)  # needs confirmation
-   #      @fact keltnerbandb(ohlc)["kup"].values[end] --> roughly(22.32)  # needs confirmation
-   #      @fact keltnerbands(ohlc)["kdn"].values[end] --> roughly(20.52)  # needs confirmation
-   #      @fact keltnerbands(ohlc).timestamp[1]       --> Date(2000,1,14)
-   #  end
+   context("keltner_bands") do
+       ta = keltnerbands(ohlc)
+       @fact ta["kup"].values[end] > ta["kma"].values[end]  --> true
+       @fact ta["kma"].values[end] > ta["kdn"].values[end]  --> true
+
+       @fact ta["kup"].values[end] --> roughly(23.3156, atol=.01)  # needs confirmation
+       @fact ta["kma"].values[end] --> roughly(21.3705, atol=.01)  # needs confirmation
+       @fact ta["kdn"].values[end] --> roughly(19.4254, atol=.01)  # needs confirmation
+       @fact ta.timestamp[1]       --> Date(2000, 2, 1)
+       @fact ta.timestamp[end]     --> Date(2001, 12, 31)
+   end
 
    #  context("chaikin_volatility") do
    #     @fact chk --> 17.0466