Coding the Chandelier Exit

martian · 2019-02-16T11:05:17+00:00

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: Set Current Exit to entry price – Factor x Average True Range (of period x) Store the intitial risk R as Factor x Average True Range (of period x) When Long, update exit: New Exit= Highest high since entry – Factor x Average True Range (of period x) If New Exit>Current Exit then Current Exit=New Exit When Long, exit next bar (day) if Close =4 * R If Short entry: Set Current Exit to entry price + Factor x Average True Range (of period x) Store the intitial risk R as Factor x Average True Range (of period x) When Short, update exit: New Exit= Lowest low since entry + Factor x Average True Range (of period x) If New Exit Current Exit Entry Price – Close >=4 * R I’d appreciate any thoughts about this.

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

Legend

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