A trading strategy I picked up today from TS forum.
Using multiple Keltner Channels of the same length but with different ATR. The ones with larger ATR's give wider bands, and the ones with smaller ATR's giver narrower bands.
To go long with the system, you would buy stop when price have risen to cross into the wider band, and stop is always adjusted to where price would have dropped to cross the narrower band, thereby giving you a trade that stays long as long as price is outside of the narrower band. For example, on May 1st, 2003, doing so with 2 ATRs for the wider band and 1 ATR for the narrower band would have given you the trade of BRCM entered at 13:33 at 17.67 and exited at 14:51 at 14:51 at 17.92, for a difference of 25 cents.
It is suggested to use this concept with ADX and Time Series Forecast.