HighLowMAChannel: High/Low MA Channel

A simple average of the highs over a simple average of the lows, with their midline. Smoother than a Donchian channel: it tracks the typical extreme rather than the single worst one, so a one-bar spike does not widen it for n bars.

Signature

HighLowMAChannel(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 20, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high and low.

Formula

$$ \text{upper} = \text{SMA}(H, n), \quad \text{lower} = \text{SMA}(L, n), \quad \text{mid} = \frac{\text{upper}+\text{lower}}{2} $$

Warmup

period bars; partial averages during the lead-in.

Reading the value

ch.upper
ch.mid
ch.lower

Multi-value: cannot be chained onto or crossed.

Example

class ChannelRide(Strategy):
    """Buy strength above the average high, exit below the midline."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        ch = HighLowMAChannel(20, on=self.trade)
        if self.trade.close > ch.upper and self.trade.is_flat:
            self.buy(self.trade, reason="Above the channel")
        if self.trade.close < ch.mid and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Below midline")

Notes

• The classic high/low moving-average band.
• Proven by an assert-via-trade run on SPY daily (all three outputs matched a strategy-side reference to 1e-3 on every bar; zero alarm trades).
• Compare PriceChannel when you want the true extremes rather than their average.