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Glen,
Thanks for sharing your work on this!
Adam.
----- Original Message -----
From: Glen Wallace <gcwallace@xxxxxxxx>
To: MetaStock listserver <metastock@xxxxxxxxxxxxx>
Sent: Sunday, October 24, 1999 10:33 PM
Subject: Chandelier exit
> The exit system you use is at least as important as the entry system.
>
> Below is the code for Chuck LeBeau's Chandelier Exit. The Chandelier Exit
> is a volatility based exit (it uses average true range) that works quite
> well on trend following systems. It lets "... profits run in the
direction
> of a trend while still offering some protection against any reversal in
> trend."
>
> The theory is quite simple, but because of the awkwardness of defining the
> entry price, its implementation in MetaStock takes some work. The theory
> is: exit a long position at either the highest high since entry minus 3
> ATRs, or at the highest close since entry minus 2.5 ATRs.
>
> The exit is descibed more fully in the Trader's Toolkit section at Chuck
> LeBeau's site -- http://traderclub.com/ Here is the MetaStock code:
>
> {LONG EXIT}
> LongEntry:= {this your entry system, eg. Cross(CLOSE, Mov(C,20,E))};
> MoneyMgmtStop:= {this is your maximum loss, in points};
>
> {DEFINE ENTRY PRICE, WITH EXIT BEING -ENTRY PRICE AND NO TRADE BEING 0}
> EntryPrice:= If(PREV <= 0,
> {Trade entered today?}
> If(LongEntry, CLOSE, 0),
> {Trade entered before today. Stopped today?}
> If(LOW <= PREV - MoneyMgmtStop, -PREV,
> If(LOW <= HighestSince(1,PREV=0, HIGH) - 3 * ATR(10), -PREV,
> If(LOW <= HighestSince(1,PREV=0, CLOSE) - 2.5 * ATR(10), -PREV,
> PREV))));
>
> {EXIT IF ENTRY PRICE < 0 (MEANING EXIT)}
> EntryPrice < 0
>
> {SHORT EXIT}
> ShortEntry:= {this your entry system, eg. Cross(Mov(C,20,E), CLOSE)};
> MoneyMgmtStop:= {this is your maximum loss, in points};
>
> {DEFINE ENTRY PRICE, WITH EXIT BEING -ENTRY PRICE AND NO TRADE BEING 0}
> EntryPrice:= If(PREV <= 0,
> {Trade entered today?}
> If(ShortEntry, CLOSE, 0),
> {Trade entered before today. Stopped today?}
> If(HIGH >= PREV + MoneyMgmtStop, -PREV,
> If(HIGH >= LowestSince(1,PREV=0, LOW) + 3 * ATR(10), -PREV,
> If(HIGH >= LowestSince(1,PREV=0, CLOSE) + 2.5 * ATR(10), -PREV,
> PREV))));
>
> {EXIT IF ENTRY PRICE < 0 (MEANING EXIT)}
> EntryPrice < 0
>
>
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