NSR Dynamic Channel - HTF + Reversion

NSR Dynamic Channel – HTF Volatility + Reversion

(Beginner-friendly, pro-grade, non-repainting)

The NSR Dynamic Channel builds an adaptive volatility envelope that compares current price action to a statistically-derived “expected” range pulled from a user-selected higher timeframe (HTF).

Is this just another keltner variation?
In short: Keltner reacts. NSR anticipates.
Keltner says “price moved a lot.”
NSR says “this move is abnormal compared to the last 2 days on a higher timeframe — and here’s the probability it snaps back.”

The channel is not a simple multiple of recent ATR or standard deviation; instead it:

• Samples HTF volatility over a rolling window (default: last 2 days on the chosen HTF).
  
  • Expected Range
    
  • HTF Volatility Spread = StDev of 1-bar ATR on the HTF
    

*Scales this HTF range to the current chart’s volatility using a compression ratio:

• compRatio = SMA(High-Low over lookback) / Expected Range

This makes the channel tighten in low-vol regimes and widen in high-vol regimes.
*Centers the channel on a composite mean ([mono]AVGMEAN[/mono]) calculated from:

• Smoothed Adaptive Averages of the current timeframe close
  
• SMA of close over the user-defined lookback ([mono]Slow[/mono])
  

The three means are averaged to reduce lag and noise.
*Draws two layers:

• HTF Expected Channel (gray fill) = PAMEAN ± expectedD
  
• Dynamic Expected Band (inner gray) = HTF Expected Range
  

*Adds a fast 2σ envelope around AVGMEAN using the standard deviation of close over the lookback period.


Core Calculations (Conceptual Overview)

• HTF Baseline → ATR on user HTF → SMA & StDev over a defined number of days
  
• Compression Ratio → Normalizes current range to HTF “normal” volatility
  
• Expected Band Width → [mono]Expected Range × CompressionRatio[/mono]
  
• Bias Detection → % change of composite mean over 2 bars → “bullish” / “bearish” filter
  
• Overextension % → Position of price within the expected band (0–100%)
  

How to Use It (3 Steps)

• Apply to any chart – defaults work on futures (NQ/ES), stocks (SPY), crypto (BTC), forex, etc.
  Price is outside both the fast 2σ envelope and the HTF-scaled expected band
  Expect some sort of reversion
• Enable alerts – two built-in conditions:
  
  • NSR Exit Long – bullish bias + high crosses upper expected edge
    
  • NSR Exit Short – bearish bias + low crosses lower expected edge
    

Optional toggles:

• Show 2σ Price Range → fast overextension lines
  
• Expected Channel → HTF-based gray fill
  
• Mean → MEAN centerline
  

Why It Works

• Context-aware: Uses HTF “normal” volatility as anchor
  
• Adaptive: Shrinks in consolidation, expands in breakouts
  
• Filtered signals: Only triggers when both statistical layers agree
• Non-repainting: All calculations use confirmed bars
  

Happy trading!
nsrgroup