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http://www.amibroker.com/library/formula.php?id=395
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Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of mroman59
Sent: Thursday, May 25, 2006 05:27
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] AB Guru - Help Please on the Chandelier Stop
Indicator
The following information was given to me as an idicator that I
would like to reproduce in Amibroker. If anyone can help me
construct the code, I would appreciate it.
Thanks
MR
The Chandelier Stop is a trailing stop that is based on the
volatility of the market. It has been successfully used AND
recommended
by a number of traders, including Chuck LeBeau, for trend-following
systems. The equations for the Chandelier Stop (CS) indicator
recently
incorporated into the FT Program are as follows:
if Long: CS=HH-Factor*EMA(Range, Length)
if Short: CS=LL+Factor*EMA(Range,Length)
Here, HH denotes the Highest High since the indicator flipped from
Short to Long, LL is the Lowest Low since the indicator flipped from
Long to Short,
AND EMA represents an exponential moving average. Values of Factor
AND Length are input by the user, with the default values set to 3
AND 20, respectively.
When used for long-term, trend-following systems, the best values
for Factor in most markets range from 2.5 to 4.0, while the Length
is usually set in
the range from 10 to 20. You should conduct parametric studies on
Factor AND Length to find the best values of these parameters for
the particular market
OR issue you are trading.
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