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Chande Kroll Stop 5 *
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This is an implementation of the volatiliy based stop that was suggested by Tushar Chande and Stanley Kroll in their book "The New Technical Trader". The indicator comes with a long stop line (blue) and and a short stop line (red).

Calculation of long stop: The preliminary long stop is calculated by deducting a multiple of a 10-period ATR from the highest high of the last 10 bars. The long stop is then calculated as the highest of the last 20 preliminary long stops.

Calculation of short stop: The preliminary short stops are calculated by adding a ,ultiple of a 10-period ATR to the lowest low of the last 10 bars. The short stop is then calculated as the lowest of the last 20 perliminary short stops.

Calculation of ATR: The ATR can be calculated in three different ways. "Arithmetic" uses a simple moving average over the last 10 true ranges. "Exponential" uses an exponential moving average over the last 10 true ranges, while "Wilder" simply calculates the default ATR(10) which is calculated as exponential moving averages with a smaller smoothing constant.

Default settings: Default settings follow suggestions by Chande & Kroll. Following suggestions in their book the default parameters are 10, 3 and 20. Also they used a simple moving average for smoothing the true ranges. The only change that was necessary was to adapt the indicator so that it can be used intra-bar. For this purpose, the calculation does not use the (unstable) true range of the current bar nor the high of the current bar, but relies on the values for the prior bar. Just for the purpose to compare the indicator with implementations for other charting packages, it is also possible to perform calculations from the current unstable bar. When used with "COBC = False" or with the strategy analyzer (backtesting), the default settings should be used.




It is recommended to use the


Category NinjaTrader 7 Indicators 
 
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Details: Chande Kroll Stop
Category: NinjaTrader 7 Indicators 


October 14th, 2015
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Keywords: atr averagetruerange chande kroll stop trailing volatility
Comments/ratings
5 * MrTrader October 15th, 2015 12:39 AM
Thank You!
5 * stef October 15th, 2015 06:20 AM
Thanks !
5 * Botts October 15th, 2015 04:31 PM
Excellent as always, thanks @Fat Tails
5 * Trailer Guy October 20th, 2015 07:10 PM
Thank-you. Just about everything I use is your code.
5 * tcwairoa October 22nd, 2015 09:18 PM
Thank you FT
5 * Sim22 December 16th, 2015 04:48 PM
Thank you FT. Generous as always
5 * pepbosch January 8th, 2016 10:23 PM
THANKS

 
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