QuanTAlib/lib/reversals/chandelier/chandelier.pine

// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Chandelier Exit (CHANDELIER)", "CHANDELIER", overlay=true)

//@function Chandelier Exit — ATR-based trailing stops that hang from the highest high
//          (ExitLong) or rise from the lowest low (ExitShort) over a lookback period.
//          Uses SMA-seeded Wilder's RMA for ATR, matching Skender/TradingView convention.
//@param period Lookback for ATR and rolling HH/LL (default 22)
//@param multiplier ATR scaling factor (default 3.0)
//@returns [exitLong, exitShort] — two overlay stop levels
//@reference Charles Le Beau; Alexander Elder, "Come Into My Trading Room" (2002)
//@optimized O(1) per bar using ta.rma, ta.highest, ta.lowest
chandelier(simple int period = 22, simple float multiplier = 3.0) =>
    if period < 1
        runtime.error("Period must be >= 1")
    if multiplier <= 0
        runtime.error("Multiplier must be > 0")

    // 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])))

    // Wilder's ATR (RMA = EMA with alpha = 1/period, SMA-seeded)
    float atr = ta.rma(tr, period)

    // Rolling extremes over the lookback window
    float hh = ta.highest(high, period)
    float ll = ta.lowest(low, period)

    // Chandelier exits
    float exit_long  = hh - multiplier * atr
    float exit_short = ll + multiplier * atr

    [exit_long, exit_short]

// ── Inputs ──
int   i_period     = input.int(22, "Period", minval=1)
float i_multiplier = input.float(3.0, "Multiplier", minval=0.01, step=0.1)

// ── Calculation ──
[exit_long, exit_short] = chandelier(i_period, i_multiplier)

// ── Plot ──
plot(exit_long,  "Exit Long",  color=color.green, linewidth=2)
plot(exit_short, "Exit Short", color=color.red,   linewidth=2)