Coding the Chandelier Exit

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  • 02/16/2019 at 12:05 PM #91517 quote
    martian
    Participant
    New

    I need to implement the Candelier Exit in my trading strategy in PRT, but fail to understand how to code it. The rules are quite simple:

    If Long entry:

    1. Set Current Exit to entry price – Factor x Average True Range (of period x)
    2. Store the intitial risk R as Factor x Average True Range (of period x)

     

    When Long, update exit:

    1. New Exit= Highest high since entry – Factor x Average True Range (of period x)
    2. If New Exit>Current Exit then Current Exit=New Exit

     

    When Long, exit next bar (day) if

    1. Close<Current Exit
    2. Close-Entry Price >=4 * R

     

    If Short entry:

    1. Set Current Exit to entry price + Factor x Average True Range (of period x)
    2. Store the intitial risk R as Factor x Average True Range (of period x)

     

    When Short, update exit:

    1. New Exit= Lowest low since entry + Factor x Average True Range (of period x)
    2. If New Exit<Current Exit then Current Exit=New Exit

     

    When Short, exit next bar (day) if:

    1. Close>Current Exit
    2. Entry Price – Close >=4 * R

    I’d appreciate any thoughts about this.

    02/16/2019 at 12:15 PM #91518 quote
    martian
    Participant
    New

    The exit should also be possible to narrow by reducing the factor for each achieved profit measured in terms of R. For example, starting with a Factor of 3, a profit of 2R could decrease the Factor to 2.5, a profit of 3R could decrease the Factor  to 2.0.

    04/27/2020 at 8:09 AM #128326 quote
    Nicolas
    Keymaster
    Master

    The chandelier exit code can be found in this topic: ATR TRAILING STOP

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Coding the Chandelier Exit


ProBuilder: Indicators & Custom Tools

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martian @martian Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by Nicolas
5 years, 11 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 02/16/2019
Status: Active
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