Coding the Chandelier Exit

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

  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.

  

  martian

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

  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.

  

  martian

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

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

  

  Nicolas

  Keymaster

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