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I've been tinkering once again with the Chandelier Exit using something
along the lines of, for example,
If H +AD4- L+-Fac+ACo-Average(TrueRange,ATRLen) then ExitLong or
If L +ADw- H-Fac+ACo-Average(TrueRange,ATRLen) then ExitShort
A problem I've noticed is that in some markets it tends to trip too early on
some occasions. For example, in watching DELL, it will be bobbing along in 3
min bars between roughly 81 and 84 and then you'll get one or two ticks at
78 which trigger the short exit+ADs- meanwhile Dell returns to bobbing along
between 80 and 83, say.
Presumably, in this example, the 78's are bad ticks and you could edit or
ignore them. But sometimes its not all that clear - say the markets between
80 and 82 for the past 15 min and then you get two ticks at 79.375 and then
the market returns to 80 - 82 range. Are those bad ticks? Should I pay
attention to the Chandelier short exit that just tripped?
One work around might be to require the exit to trip twice in a row, but
then that might reduce the effectiveness of the exit.
Anybody have any thoughts on this?
Clint
PS I originally sent this to the Code list but it never appeared there that
I could see. Maybe I am unsubscribed there, or maybe I just don't know how
to send a proper email. Anyway, sorry if this winds up cross posting.
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