mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-09 14:30:56 +00:00
53 lines
2.3 KiB
Plaintext
53 lines
2.3 KiB
Plaintext
|
// Licensed under the Apache License, Version 2.0
|
||
|
|
// © mihakralj
|
||
|
|
//@version=6
|
||
|
|
indicator("Chande Kroll Stop (CKSTOP)", "CKSTOP", overlay=true)
|
||
|
|
|
||
|
|
//@function Chande Kroll Stop — adaptive trailing stop using ATR-smoothed volatility
|
||
|
|
// envelopes around rolling extremes, then smoothed through a second window.
|
||
|
|
// Stage 1: first_high_stop = HH(p) - m*ATR, first_low_stop = LL(p) + m*ATR
|
||
|
|
// Stage 2: StopShort = highest(first_high_stop, x), StopLong = lowest(first_low_stop, x)
|
||
|
|
//@param atr_period ATR and first-stop extreme lookback (default 10)
|
||
|
|
//@param multiplier ATR scaling factor (default 1.0)
|
||
|
|
//@param stop_period Second smoothing window (default 9)
|
||
|
|
//@returns [stop_long, stop_short] — two overlay stop levels
|
||
|
|
//@reference Chande & Kroll, "The New Technical Trader" (1994)
|
||
|
|
//@optimized O(1) per bar using ta.rma, ta.highest, ta.lowest
|
||
|
|
ckstop(simple int atr_period = 10, simple float multiplier = 1.0, simple int stop_period = 9) =>
|
||
|
|
if atr_period < 1
|
||
|
|
runtime.error("ATR period must be >= 1")
|
||
|
|
if multiplier <= 0
|
||
|
|
runtime.error("Multiplier must be > 0")
|
||
|
|
if stop_period < 1
|
||
|
|
runtime.error("Stop period must be >= 1")
|
||
|
|
|
||
|
|
// True Range
|
||
|
|
float tr = na(close[1]) ? high - low : math.max(high - low, math.max(math.abs(high - close[1]), math.abs(low - close[1])))
|
||
|
|
|
||
|
|
// ATR via Wilder's RMA
|
||
|
|
float atr = ta.rma(tr, atr_period)
|
||
|
|
|
||
|
|
// Stage 1: First stops (volatility envelope)
|
||
|
|
float hh = ta.highest(high, atr_period)
|
||
|
|
float ll = ta.lowest(low, atr_period)
|
||
|
|
float first_high_stop = hh - multiplier * atr
|
||
|
|
float first_low_stop = ll + multiplier * atr
|
||
|
|
|
||
|
|
// Stage 2: Smoothed stops over stop_period
|
||
|
|
float stop_short = ta.highest(first_high_stop, stop_period)
|
||
|
|
float stop_long = ta.lowest(first_low_stop, stop_period)
|
||
|
|
|
||
|
|
[stop_long, stop_short]
|
||
|
|
|
||
|
|
// ── Inputs ──
|
||
|
|
int i_atr_period = input.int(10, "ATR Period", minval=1)
|
||
|
|
float i_multiplier = input.float(1.0, "Multiplier", minval=0.01, step=0.1)
|
||
|
|
int i_stop_period = input.int(9, "Stop Period", minval=1)
|
||
|
|
|
||
|
|
// ── Calculation ──
|
||
|
|
[stop_long, stop_short] = ckstop(i_atr_period, i_multiplier, i_stop_period)
|
||
|
|
|
||
|
|
// ── Plot ──
|
||
|
|
plot(stop_long, "Stop Long", color=color.green, linewidth=2)
|
||
|
|
plot(stop_short, "Stop Short", color=color.red, linewidth=2)
|