//------------------------------------------------------------------------------

//
// Formula Name: Chandelier Exit
// Author/Uploader: Jarod Marshall
// E-mail: riot_starta@hotmail.com
// Date/Time Added: 2006-02-02 07:43:01
// Origin:
// Keywords: Chandelier Exit Stop Loss
// Level: semi-advanced
// Flags: system,indicator
// Formula URL: http://www.amibroker.com/library/formula.php?id=583
// Details URL: http://www.amibroker.com/library/detail.php?id=583
//
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//
// These two forms of the same indicator are designed to act as the Chandelier
// Exit stop loss as described by Barbara Rockefeller in "Technical Analysis
// for Dummies", and is written especially for use with AmiBroker. She
// describes the Chandelier exit as a dataset of "the highest high or the
// highest close SINCE YOUR ENTRY." To allow the Chandelier exit to stop you
// out gives you a couple of average-true-ranges (ATRs) from the best price
// the stock has reached SINCE YOUR ENTRY.
//
// Only *you* know when your trading rules will dictate that you enter the
// trade, and so my Chandelier Exit Preview here allows you to preview the
// Chandelier exit series by clicking on the bar that AmiBroker’s
// back-test/optimize says you should buy on. If your RSI says
// “buy” on the 1st of June, simply overlay my Chandelier
// Exit formula onto your price data, and click on the bar corresponding to
// the 1st of June. The three series named "Chand..." will change each time
// you click a different bar. Thus when you click the 1st of June bar, you get
// a Chandelier Exit stop loss especially designed for buying that stock on
// the 1st of June. The second formula, the Chandelier Exit, is designed to
// fit into your automated AmiBroker trading formulae.
//
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_SECTION_BEGIN("Chandelier Exit Preview");

YourHold = BarIndex() - SelectedValue(BarIndex()); //How many bars between the selected bar
and each bar following

Multiple = Param("Multiple", 3, 1, 10, 1); //How many ATR’s to be allowed below the highest
high since selected bar
ATRPeriods = Param("ATR Periods", 22, 1, 50, 1); //How many periods to use for the ATR
Graph1 = HHV(Close,YourHold) - (Multiple * ATR(ATRPeriods)); //Chandelier exit line from
highest close
Graph2 = HHV(High, YourHold) - (Multiple * ATR(ATRPeriods)); //Chandelier exit line from
highest high
Graph3 = LLV(Low, YourHold) + (Multiple * ATR(ATRPeriods)); //Chanderlier exit from
lowest low (used when going short)
Plot(Graph1, "ChandClose", ParamColor( "ChandClose Color", colorCycle ),
ParamStyle("ChandClose Style") );
Plot(Graph2, "ChandHigh", ParamColor( "ChandHigh Color", colorCycle ),
ParamStyle("ChandHigh Style") );
Plot(Graph3, "ChandLow", ParamColor( "ChandLow Color", colorCycle ),
ParamStyle("ChandLow Style") );

_SECTION_END();

_SECTION_BEGIN("Chandelier Exit");

YourHold = BarIndex() - ValueWhen(<your "buy" criterion>, BarIndex(), 1);//Replace <...>

with your 'buy' formula

Multiple = Param("Multiple", 3, 1, 10, 1); //How many ATR’s to be allowed below the highest
high since latest "buy" bar
ATRPeriods = Param("ATR Periods", 22, 1, 50, 1); //How many periods to use for the ATR
Graph1 = HHV(Close,YourHold) - (Multiple * ATR(ATRPeriods)); //Chandelier exit line from
highest close
Graph2 = HHV(High, YourHold) - (Multiple * ATR(ATRPeriods)); //Chandelier exit line from
highest high
Graph3 = LLV(Low, YourHold) + (Multiple * ATR(ATRPeriods)); //Chanderlier exit from
lowest low (used when going short)
Plot(Graph1, "ChandClose", ParamColor( "ChandClose Color", colorCycle ),
ParamStyle("ChandClose Style") );
Plot(Graph2, "ChandHigh", ParamColor( "ChandHigh Color", colorCycle ),
ParamStyle("ChandHigh Style") );
Plot(Graph3, "ChandLow", ParamColor( "ChandLow Color", colorCycle ),
ParamStyle("ChandLow Style") );

_SECTION_END();

Buy = <your "buy" criterion>;

Sell = <your "sell" criterion> OR Cross(Graph1, Close); //Use the appropriate Graph1, Graph2
or Graph3 for whichever Chandelier exit you wish

Short = Sell;
Cover = Buy;

_SECTION_END();

/* These two forms of the same indicator are designed to act as the Chandelier Exit stop loss as
described by Barbara Rockefeller in
"Technical Analysis for Dummies", and is written especially for use with AmiBroker. She
describes the Chandelier exit as a dataset of
"the highest high or the highest close SINCE YOUR ENTRY." To allow the Chandelier exit to
stop you out gives you a couple of
average-true-ranges (ATRs) from the best price the stock has reached SINCE YOUR ENTRY.

Only *you* know when your trading rules will dictate that you enter the trade, and so my
Chandelier Exit Preview here allows you to preview
the Chandelier exit series by clicking on the bar that AmiBroker’s back-test/optimize says you
should buy on. If your RSI says “buy” on the
1st of June, simply overlay my Chandelier Exit formula onto your price data, and click on the
bar corresponding to the 1st of June. The three
series named "Chand..." will change each time you click a different bar. Thus when you click
the 1st of June bar, you get a Chandelier Exit
stop loss especially designed for buying that stock on the 1st of June. The second formula, the
Chandelier Exit, is designed to fit into your
automated AmiBroker trading formulae.

Why do all this?.... 1) Adaptive trailing stops allow you to crystallize profits made. 2) The
Chanderlier Exit takes into account when you
bought the stock, making it more relevant. 3) This AmiBroker version allows you to preview
when it would stop you out for any bar that your
trading system tells you. 4) It can be fairly easily integrated into your automated AmiBroker
back-tests and optimizations.

How to integrate it into your personal AmiBroker trading system:

Pretend your "buy" formula is simply [MA(Close, 10) > O] and your "sell" formula is
[MA(Close, 10) < 0] for simplicity. Run a window with
the MA(Close, 10) graph so you can see when it crosses zero, and place another window with
the price, and overlay with the Chandelier Exit
formula you wish to use. If you use Chandelier Exit Preview, simply click on each day when the
MA(Close, 10) crosses zero, and the appropriate
Chandelier exit lines for the highest High and Close, and lowest Low will appear. The point of
the Preview is that you can click on any day
and see how the Chandelier exit would behave :).

As for the second, Chandelier Exit formula, simply copy your "[MA(Close, 10) > O]" and use it
to replace the <your "buy" criterion>. Then
go to your Sell criterion and add "OR" then copy the appropriate Graph1, Graph2 or Graph3
depending on whether your Chandelier Exit should
use the highest High (Graph1) or Close (Graph2) or lowest Low (Graph3), in the form of "OR
Cross(Graph1, Close)". If you wish to optimize
the "ATRPeriods" and "Multiple" paramaters, simply replace "Param" with "Optimize" and run
it through the Automatic Analysis.