Ratchet Chandelier Stop Loss - ProRealTime

[Rusty99 10]

I have developed a ratchet chandelier stop loss for ProRealTime.

It is developed as an indicator that "hangs" a set multiple of ATR below the recent highest HIGH.

It includes a Rachet - it adds a small multiple of ATR each day after the Rachet was last reset by the indicator last falling within the range.

This works on the concept of reducing your risk the longer you hold the stock.

In the example shown below the initial setting is 1.9 * ATR - after 5 days this reduces to 1.75, after 10 days to 1.6 and after 20 days 1.3 etc.

 

It is easy to change the various parameters. The settings shown below are for swing trading

 

Indicator (as an overlay onthe main chart)

 

myhigh = highest[3](high) - 1.9*(AverageTrueRange[5](close))

IF (mytot > low) THEN

myx = 0

ELSE

myx = myx + 0.03

ENDIF

myextra = myx[1]*(AverageTrueRange[5](close))

mytot = myhigh +myextra

RETURN mytot

 

Cheers,

[Adrian 10]

Doesn't your risk automatically reduce when using a fixed ATR and the trend develops? Ratcheting the ATR means you may actually be increasing your risk due to getting stopped out too early. What you really wish to define is, does the optimimum ATR multiple change as a trend develops? And anyone who has studied price trends will answer that it actually depnds upon the type of trend that we are experiencing i.e. low vol to high vol, big retracements, or various other alternatives.

[Rusty99 10]

Doesn't your risk automatically reduce when using a fixed ATR and the trend develops? Ratcheting the ATR means you may actually be increasing your risk due to getting stopped out too early. What you really wish to define is, does the optimimum ATR multiple change as a trend develops? And anyone who has studied price trends will answer that it actually depnds upon the type of trend that we are experiencing i.e. low vol to high vol, big retracements, or various other alternatives.

 

seeExit Strategy - The ATR Ratchet - ForexForums.org

 

There are lots of options for adjustments.

[Rusty99 10]

Also see

 

http://www.mtpredictor.com/pricing/documents/ATRStophelpfile.pdf

 

Cheers,