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Chandelier Stop

Exported using NT Version 7.0.1000.12

This is a new implementation of the chandelier stop developed by Charles LeBeau. For a long trade the chandelier stop is calculated by subtracting a multiple of the average true range over the last N bars from the highest high (chandelier) since the inception of the trade. For a short trade the chandelier stop is calculated by adding a multiple of the average true range over the last N bars to the lowest low since the inception of the trade.

Instead of calculating the stop from the highest high and the lowest low, it is also possible to calculate it from the highest close and the lowest close.

The indicator version presented here uses the average true range calculated one bar ago. This is to avoid that the stop moves away when approached by a bar, it further acts against the distortion of the average true range when the indicator is set to COBC = false and reduces CPU load. The concept of using the ATR one bar ago was already introduced with the SuperTrend M11.

UseHighLow: The chandelier stops can be calculated from highest high/lowest low or from highest close/lowest close:

Reverse Intra-bar = false: This is the default setting of the indicator. A logical signal will be generated when the close of the signal bar has taken out the stop line. The position may be reversed at the open of the next bar. The paint bars will only change colors for the bar after the signal bar. The arrow will be also plotted for the entry bar.

Reverse Intra-bar = true: This is an unusual setting for the Chandelier Stop The signal will be generated with the first tick that has plotted on the other side of the stop line. In this case the position may be reversed intra-bar for the signal bar. Paintbars and arrows will already plot for the signal bar.

Accessing the trend: The indicator comes with a BoolSeries that holds the trend. This BoolSeries can be accessed by other indicators or automated strategies.

Paintbars: The indicator has an option to display the current trend via paintbars. Downclose bars are filled, upclose bars are hollow. For the upclose bars an opacity can be selected for better visibility.

Arrows: The indicator has an option to display trend changes via an arrow.

Sound alerts: The indicator will alert to trend reversals and potential trend reversals. A potential trend reversal occurs when price touches the stop line intra-bar prior to the confirmation by a close on the other side of the stop line. The sound files are included with the indicator install file. Please unzip and copy them into the program files (x86)\ NinjaTrader 7\ sounds directory or whatever directory is used by NinjaTrader to store the sound files.

Category NinjaTrader 7 Indicators

Details: Chandelier Stop
Category: NinjaTrader 7 Indicators

April 22nd, 2013
Size: 227.83 KB
Downloaded: 1498 times

Keywords: atr averagetruerange chandelier stop trailing

Comments/ratings

Gabriyele April 22nd, 2013 08:56 AM

Thank You CodingMaster FatTails!

NJAMC April 22nd, 2013 01:29 PM

Looking good FatTails

tcwairoa April 24th, 2013 05:10 PM

good work Fat Tails

Buscador April 28th, 2013 12:42 PM

Very useful as are all your indicators.
Thank you for your selfless sharing.

Buscador April 28th, 2013 01:24 PM

Very useful as are all your indicators.
Thank you for your selfless sharing.

ValLiant April 30th, 2013 02:26 PM

No Comment

nubby May 17th, 2013 11:16 AM

thanks so much! have been looking for this indicator for a long time

marker May 19th, 2013 11:48 PM

No Comment

algomalgo June 18th, 2013 02:49 AM

Good idea!

dwt51 September 11th, 2013 09:51 AM

Thanks very much for creating and sharing this.

My only complaint is that the current stop is not plotted on the "active" candle, but instead lags one candle behind. I completely agree that ATR must be calculated for the n bars prior to the active candle. However, once a candle closes the new ATR can be calculated based upon n closed candles, and the stop calculated from the HH / LL or HC / LC (depending upon setting of "Use high and low"). So why not display the updated results on the open candle?

I was surprised that the COBC setting had no effect on whether or not the active candle had its stop displayed (as commonly occurs with SMA, etc.). For this indicator I guess there's no point in setting COBC = false, except in the case where "Reverse intra-bar" = true and the indicator could display on the active candle.

Thanks again.

dwt51

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