TTM Squeeze (Carter Ratio version)

Category: volatility, momentum

Measures the relationship between Bollinger Bands and Keltner Channels to identify periods of low volatility (squeeze) followed by explosive moves. This version specifically calculates the ratio of Keltner width to Bollinger width.

Formula

H = MA_{KL} + Dev_{KL} \cdot ATR, \quad L = MA_{KL} - Dev_{KL} \cdot ATR \\ TL = MA_{BB} + Dev_{BB} \cdot \sigma, \quad BL = MA_{BB} - Dev_{BB} \cdot \sigma \\ TTMS = \frac{H - L}{TL - BL} - 1 \\ \text{Squeeze On} = TL < H \text{ and } BL > L \\ \text{Color} = \begin{cases} \text{LimeGreen} & \text{if } TTMS_i > TTMS_{i+1} \\ \text{Red} & \text{if } TTMS_i \leq TTMS_{i+1} \end{cases}

Inputs

• InpPeriodBB (default: 20)
• InpDevBB (default: 2.0)
• InpPeriodKL (default: 20)
• InpPeriodSmoothKL (default: 20)
• InpMethodKL (default: MODE_SMA)
• InpDevKL (default: 2.0)
• InpSizeSig (default: 1)

See signal primitives and every published strategy that uses TTM Squeeze (Carter Ratio version) on WOBR StrategyVerse.