Gaussian Channel for Trend and Volatility Analysis
Summary
The document explains a channel indicator built around a smoothed price filter, with upper and lower bands offset by a multiple of filtered true range. It describes the center line’s direction and price location relative to the bands as visual clues about trend, while changes in band width are used to gauge volatility. The ProRealTime implementation exposes settings for the number of filter poles, sampling period, band multiplier, reduced-lag mode, and optional candle or channel coloring.
The article gives conceptual interpretations and code, but no market examples, backtest, or evidence that band touches reliably predict reversals or mean reversion. Its discussion refers to standard deviation and normally distributed prices, while the shown implementation constructs bands from filtered true range rather than a standard deviation estimate. Accordingly, the claimed statistical coverage should not be assumed for these bands. Parameter choices are left to the user, and the indicator is presented as an analysis aid rather than a fully specified trading system.
Key ideas
- The indicator centers a smoothed price filter and offsets bands using filtered true range.
- The filter’s direction and price position within the channel are presented as trend clues.
- Band width is used as a visual measure of changing volatility.
- Configuration includes pole count, sampling period, band multiplier, and display options.
- No performance evidence is provided, and the implementation’s bands use true range rather than standard deviation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.