mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-15 00:58:04 +00:00
Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
46 lines
1.8 KiB
Plaintext
46 lines
1.8 KiB
Plaintext
// 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)
|