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from http://www.nt-tech.com.au/guppy/gup128.htm
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/
----- Original Message -----
From: Kolade, Adeniyi <adeniyi.kolade@xxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, February 22, 2000 4:38 AM
Subject: === Chandelier Exit
> > The chandelier exit described by Barry Marx is very interesting indeed
in
> > being able to hold its highest value , however it will be helpful if you
> > explained the general reasoning behind the calculation in plain English.
> >
> > You have chosen 3 times the average true range in the first calculation
> > and 2.5 times the ATR in the second. I would like to know why you have
> > chosen these specific numbers in addition to the a general exposition so
I
> > have a full understanding of its implementation.
> >
> > Further, a formula for short positions will be much appreciated.
> >
> >
> > ade Kolade
> > Synopsys Limited
> >
> > Tel: +44 (0)0207 250 1990
> > Fax: +44 (0)0207 553 4713
> > Email: adeniyi.kolade@xxxxxxxxxxxxxxx
> > www http://www.synopsys.ltd.uk
> >
>
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