Re: Chandelier exit

["JH Geenen" <j.geenen@xxxxxxxxx>]

Glen, would you send me the Chandelier exit code in a dta file, so I can
import it in MS.

Thanks, Jan


----- Original Message -----
From: Glen Wallace <gcwallace@xxxxxxxx>
To: MetaStock listserver <metastock@xxxxxxxxxxxxx>
Sent: Monday, October 25, 1999 3:33 AM
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
>