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brownsfan019

Chandelier Exit Discussion

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Thanks to nickm001 in this thread, he posted an useful PDF that talks about a few different exit strategies. One that grabbed my attention was called the "Chandelier Exit". It starts on page 19 of the PDF (I attached another copy to this post).

 

Here's my take on this exit strategy - at the close of a candle in the direction of your trade, your stop is moved based on that close. Now, where and how much you move the stop is completely customizable in my opinion. The author of the PDF, Chuck Le Beau, uses ATR in his calculation. I personally am looking at using a certain distance in terms of ticks/points to use this strategy.

 

Thus far the testing looks pretty good. Many times you will catch a GOOD part of a trending move and not so much in range bound action. The big question is what setting do you use to calculate the exit. That's a work in progress for me currently

 

I have one question or favor though - if anyone has coding that can work with TradeStation that would replicate this, please post here. I am looking for a dot or something that when a candle closes and the high is higher than the previous candle's high, a dot or something is placed based on the threshold setting.

 

Example:

> Long the ES @ 1476.

> Next candle's close is 1477.75.

> Based on my chandelier setting, let's say 1 point (4 ticks), the trailing stop should be placed at 1476.75.

> Next candle's close is 1477, so there is NO stop movement, stop holds at 76.75 and either the trade continues in your direction or you are out for a small gain.

 

Anyways, if someone has that code for TradeStation or could even throw something together, I would appreciate it.

 

I want to provide credit where credit is due.

I initially found this article from nickm001's post, so thanks!

The author of the article is Mr. Chuck Le Beau and his website is: http://www.traderclub.com/

Further info on his site regarding the chandelier exit - http://www.traderclub.com/discus/messages/107/477.html?FridayDecember319991048pm

I am not endorsing Mr. Le Beau and/or his website, so please do your own due diligence.

Stops - Different Strategies.pdf

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Brown

 

That link takes you to an ELD but its based on ATR, by my understanding you're after a stop based on 4 ticks below the current close but if the next close is lower (eg if you were long) then the stop wouldn't move.

 

I could code this up but since you're not trading via an active strategy on that platform then you will have a "show me" on every candle of the day whether it being above or below the candle.

 

Cheers

 

Blu-Ray

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Brown

 

That link takes you to an ELD but its based on ATR, by my understanding you're after a stop based on 4 ticks below the current close but if the next close is lower (eg if you were long) then the stop wouldn't move.

 

I could code this up but since you're not trading via an active strategy on that platform then you will have a "show me" on every candle of the day whether it being above or below the candle.

 

Cheers

 

Blu-Ray

 

Blu,

I see, thanks for checking that out.

If there's something you can put together, that would be appreciated and maybe others here could use it as well. I think I can visually see if the stop would need moved, so it could work.

 

Thanks!

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Here is the .eld from the thread you posted... The key idea behind Chandelier exit is to "hang" the exit from the HIGH of the bar. Trailing stop is usually set to ATR multiple ( 3x).

 

Try second .eld, it has code for several Chuck's exits, including Chandelier exit

 

credit to "goose", who coded it.20040409001416ATRRATCHET.ELD

20041117211145041117 LEBEAU STOPS 8D.ELD

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Here is the .eld from the thread you posted... The key idea behind Chandelier exit is to "hang" the exit from the HIGH of the bar. Trailing stop is usually set to ATR multiple ( 3x).

 

Try second .eld, it has code for several Chuck's exits, including Chandelier exit

 

credit to "goose", who coded it.[ATTACH]2845[/ATTACH]

 

Hello,

 

I imported the .eld with Le Beau Stops, but I get an error message telling me that there is a dll problem "Cannot find DLL library file: GlobalVariable.dll"

 

Obviously I am doing something wrong. Could someone help me a bit?

 

Thanks in advance.

 

Fredd

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Given GV does not support backtesting and this Chandelier Exit code uses GV, does this mean this Chandelier Exit cannot be used in backtesting?

 

I haven't read the rest of this thread, but I can't imagine that there is any need to us global variables to program a chandelier stop for TS. I'm pretty sure I did this several years ago, as almost one of the first things that I did with EasyLanguage.

 

Explain what you are trying to achieve in a little more detail and I may be able to help?

 

Kind regards,

 

BlueHorseshoe

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