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Hi. Investigating the Chandelier exit. I used TJ's one-liner below:
ApplyStop(stopTypeTrailing, stopModePoint, 3*ATR(14), True, True );
It seems to work OK, tests pretty well, but it seems to "move away"
from price (i.e., down if in a long trade) under some conditions. Now
most trailing stops I've seen only move up or stay the same (assuming
long trade).
Is the trailing stop mode designed to only move in the direction of
the trade, or does it just take the value you give it (3* ATR here),
and hang it from the highest high so far in the trade (even if this
results in a lower stop)?
The version in the library is quite nice, with the parameters and
such, but depending on your entry system, it may be too close or even
above the trade at the time you enter.
So is the only true way to do this rock-solid right to use looping -
thereby keeping track of the highest point in the trade, and also the
highest trailing value to date, moving it only up and never down?
Thanks much in advance,
Chris
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