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If you don't mind send one to me too, please.
JCarlos
--- JH Geenen <j.geenen@xxxxxxxxx> escreveu:
> De: "JH Geenen" <j.geenen@xxxxxxxxx>
> Para: <metastock@xxxxxxxxxxxxx>
> Assunto: Re: Chandelier exit
> Data: Mon, 1 Nov 1999 22:08:44 -0000
> Responder-para: metastock@xxxxxxxxxxxxx
>
> 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
> >
>
>
=====
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