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Trailing Stop - ATR Chandelier Exit by Jose Silva
Triggers: Long (+1) & Short (-1) signals at crossover of user-defined trailing stops


Trailing Stop - ATR Chandelier Exit v2.0

pds:=Input("ATR periods",1,252,10);
pds1:=Input("ATR lookback periods",1,252,21);
multi:=Input("ATR multiplier",0,10,2.5);
plot:=Input("plot: trailing stop=1, Long+Short=2, signals=3",1,3,1);
adv:=Input("plot: today's trailing stop=0, tomorrow's stop=1",0,1,0);
delay:=Input("Entry and Exit signal delay",
0,5,0);

StLong:=HHV(C-multi*ATR(pds),pds1);
StShort:=LLV(C+multi*ATR(pds),pds1);
stopLong:=If(C<PREV,StLong,Max(StLong,PREV));
stopShort:=If(C>PREV,StShort,Min(StShort,PREV));

In:=Cross(C,Ref(stopShort,-1));
Out:=Cross(Ref(stopLong,-1),C);
Init:=Cum(In+Out>-1)=1;
InInit:=Cum(In)=1;
flag:=BarsSince(Init OR In)
< BarsSince(Init OR Out)+InInit;
signals:=Ref((InInit AND Alert(InInit=0,2)
OR flag AND Alert(flag=0,2))
-(flag=0 AND Alert(flag,2)),-delay);
stop:=Ref(If(flag=1,stopLong,stopShort),-1+adv);

If(plot=1,stop,
If(plot=2,Ref(stopLong,-1+adv),0));
If(plot=1,stop,
If(plot=2,Ref(stopShort,-1+adv),signals))

 

 

Copyright 2003 Jose Silva

josesilva22[at]yahoo[dot]com

Source / From: TOP
http://www.users.bigpond.com/prominex/MetaStock/ATRstop.txt

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