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Chandelier Exit v2 by Geoff Mulhall for Amibroker (AFL)
akxsat
over 10 years ago
Amibroker (AFL)

Rating:
5 / 5 (Votes 1)
Tags:
trading system, amibroker, stop loss

Modified 1-Feb-2003 to take advantage of Ami 2.5 Param Functionality and to allow for Short Trades as well as Long Trades. The Chandelier Exit is a Volatility based exit. Refer to http://www.traderclub.com/discus/board.html Bulletin 35 Trailing Stops – The Chandelier Exit for more detail. Set Scaling to Automatic, Set Gridlines as follows Level 0 On, Show dates On, Middle On Right Click anywhere in the Chart, Select Parameters to get the Param Dialogue and move the slides to see the effect of changing ATRMultiplier ATRRange HHVRange.

By Rob Duff

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Indicator / Formula

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_SECTION_BEGIN("Chandelier Exit or Advanced Trailing Stop");
//
//  Chandelier Exit v2 by Geoff Mulhall
//
//  Modified 1-Feb-2003 to take advantage of Ami 2.5 Param Functionality and to
//  allow for Short Trades as well as Long Trades. The Chandelier Exit is a
//  Volatility based exit. Refer to http://www.traderclub.com/discus/board.html
//  Bulletin 35 Trailing Stops - The Chandelier Exit for more detail. Set
//  Scaling to Automatic, Set Gridlines as follows Level 0 On, Show dates On,
//  Middle On Right Click anywhere in the Chart, Select Parameters to get the
//  Param Dialogue and move the slides to see the effect of changing
//  ATRMultiplier ATRRange & HHVRange.
//
//------------------------------------------------------------------------------


/* Chandelier Exit v2 */
/* by Geoff Mulhall */ 
/* Modified 1-Feb-2003 to take advantage of Ami 2.5 Param Functionality */
/* and to allow for Short Trades as well as Long Trades */
/* The Chandelier Exit is a Volatility based exit. */
/* Refer to http://www.traderclub.com/discus/board.html 
/* Bulletin 35 Trailing Stops - The Chandelier Exit for more detail */
/* Set Scaling to Automatic, Set Gridlines as follows Level 0 On, Show dates On, Middle On */
/* Right Click anywhere in the Chart, Select Parameters to get the Param Dialogue and move the slides to */
/* see the effect of changing ATRMultiplier ATRRange & HHVRange */ 
 
/* Plot the Chart */
//Title = "Chandelier"; 
GraphXSpace = 2;
/* Candle chart */ 
Plot(Close,"Close",1,1);
//Plot(WMA(Close,30),"Close WMA30",4,1);
/* Chandelier Exit */
/* Param( "ATRMultiplier", default, Min, Max, step ); */
ShortLongSwitch = Param( "Sht(0) Lng(1)",1,0,1,1); // Set to 0 for a Short Trade, 1 for a Long Trade
HighCloseSwitch = Param( "C(0) H/L(1)",1,0,1,1); // Set to 0 to hang from the close, 1 for High (Long) or Low (Short)
ATRMultiplier =3.0;// Param( "ATR Mult", 3.0, 1, 4, 0.1);
ATRRange =10; // Param( "ATR Rng", 10, 2, 30, 1);
HHVLLVRange =10;// Param( "HHVLLV Rng", 10, 2, 30, 1);
LongExitHungExHigh = HHV(High - AtrMultiplier * ATR(AtrRange),HHVLLVRange);
LongExitHungExClose = HHV(Close - AtrMultiplier * ATR(AtrRange),HHVLLVRange);
ShortExitHungExLow = LLV(Low + AtrMultiplier * ATR(AtrRange),HHVLLVRange);
ShortExitHungExClose = LLV(Close + AtrMultiplier * ATR(AtrRange),HHVLLVRange);
LongExit = IIf(HighCloseSwitch == 1, LongExitHungExHigh,LongExitHungExClose);
ShortExit = IIf(HighCloseSwitch == 1, ShortExitHungExLow,ShortExitHungExClose);
Exit1 = IIf(ShortLongSwitch == 1, LongExit, ShortExit);
Exit0 = shortExit;
Plot(Exit1,"Chandelier Green",colorBrightGreen,styleLine); 
Plot(Exit0,"Chandelier Red",colorRed,styleLine); 
G0 = Close;
G1 = Exit1;
G2 = Exit0;
Buy = Cross(G0,G1); // OR Cross(G0,G2);
//Cover = Cross(G0,G1); // OR Cross(G0,G2);
Sell = Cross(G2,G0); // OR Cross(G1,G0);
//Short = Sell ; //Cross(G2,G0); // OR Cross(G1,G0);
Short=Sell;
Cover=Buy;
Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy); Short=ExRem(Short,Cover); Cover=ExRem(Cover,Short);
Equity(1);
B1 = (Buy * Close);
S1 = (Sell * Close);
B2= B1>S1;
S2= S1>B1;
Equity(1);
Buy1 = Buy;
Sell1 = Sell;
//////////////////////////////////////
//Plot(B1, "B1",5,6);
PlotShapes( IIf( Sell , shapeSmallDownTriangle/*+ "shapePositonAbove"*/, shapeNone ), colorRed );
PlotShapes( IIf( Buy , shapeSmallUpTriangle/*+ "shapePositonAbove"*/, shapeNone ), colorBrightGreen ); 
Plot(10, /* defines the height of the ribbon in percent of pane width */"",IIf( B2, colorBrightGreen, IIf( S2, colorRed, 0 )), /* choose color*/styleOwnScale|styleArea|styleNoLabel, -0.5, 100 );
 
_SECTION_END();

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