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