wickra/docs/wiki/indicators/volatility/Indicator-ChandeKrollStop.md

ChandeKrollStop

Chande Kroll Stop — a two-stage ATR stop: an ATR stop off the recent extreme, then smoothed by taking the most extreme such stop over a shorter window.

Quick reference

Field	Value
Family	Volatility
Sub-category	Trailing stop
Input type	Candle (uses high, low, close)
Output type	(stop_long, stop_short)
Output range	unbounded (price scale)
Default parameters	atr_period = 10, atr_multiplier = 1.0, stop_period = 9 (Python)
Warmup period	atr_period + stop_period − 1
Interpretation	Smoothed long/short stop levels, less prone to single-bar whipsaw.

Formula

preliminary (window p = atr_period, x = atr_multiplier):
  high_stop = highest_high(p) − x · ATR(p)
  low_stop  = lowest_low(p)   + x · ATR(p)

final (window q = stop_period):
  stop_short = highest(high_stop, q)
  stop_long  = lowest(low_stop,  q)

Tushar Chande and Stanley Kroll's stop runs in two stages. The first builds a preliminary ATR stop off the recent extreme — the same idea as a ChandelierExit. The second smooths it: rather than use that preliminary stop directly, it takes the most extreme preliminary stop seen over a shorter window q. That second pass keeps a single unusually wide bar from yanking the stop around. The classic configuration from The New Technical Trader is ATR(10), multiplier 1.0, smoothing window 9.

Parameters

• atr_period — window for the preliminary ATR and the highest high / lowest low (Python default 10).
• atr_multiplier — how many ATRs the preliminary stop sits off the extreme (default 1.0).
• stop_period — the smoothing window q (default 9).

ChandeKrollStop::classic() returns the (10, 1.0, 9) configuration.

Inputs / Outputs

From crates/wickra-core/src/indicators/chande_kroll_stop.rs:

impl Indicator for ChandeKrollStop {
    type Input = Candle;
    type Output = ChandeKrollStopOutput;   // { stop_long: f64, stop_short: f64 }
    // update(&mut self, input: Candle) -> Option<ChandeKrollStopOutput>
}

ChandeKrollStop is a candle-input indicator (it reads high, low, close). Python's streaming update returns a (stop_long, stop_short) tuple; the batch helper returns an (n, 2) array with columns [stop_long, stop_short]. Node's update returns { stopLong, stopShort } and batch a flat [l0, s0, l1, s1, …] array; WASM matches Node.

Warmup

ChandeKrollStop::classic().warmup_period() == 18 (atr_period + stop_period − 1). The preliminary stop first appears on candle atr_period; the smoothing window then needs stop_period of them.

Edge cases

• Two-stage warmup. Nothing is emitted until both the preliminary window and the smoothing window have filled.
• Flat market. Constant candles collapse both stages to fixed levels.
• Reset. cks.reset() clears the ATR and all four windows.

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, ChandeKrollStop};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut cks = ChandeKrollStop::new(5, 1.0, 3)?;
    // Flat market: ATR = 2, HH = 11, LL = 9.
    let candles: Vec<Candle> = (0..20)
        .map(|i| Candle::new(10.0, 11.0, 9.0, 10.0, 1.0, i).unwrap())
        .collect();
    let out = cks.batch(&candles);
    println!("{:?}", out.last().unwrap());
    Ok(())
}

Output:

Some(ChandeKrollStopOutput { stop_long: 11.0, stop_short: 9.0 })

high_stop = 11 − 1·2 = 9, low_stop = 9 + 1·2 = 11; the smoothing pass over constant values leaves stop_short = 9 and stop_long = 11. This matches the reference_values_flat_market test in crates/wickra-core/src/indicators/chande_kroll_stop.rs.

Python

import numpy as np
import wickra as ta

cks = ta.ChandeKrollStop(5, 1.0, 3)
n = 20
high = np.full(n, 11.0)
low = np.full(n, 9.0)
close = np.full(n, 10.0)
print(cks.batch(high, low, close)[-1])   # [stop_long, stop_short]

Output:

[11.  9.]

Node

const ta = require('wickra');
const cks = new ta.ChandeKrollStop(5, 1.0, 3);
const n = 20;
const high = Array(n).fill(11), low = Array(n).fill(9), close = Array(n).fill(10);
const out = cks.batch(high, low, close);
console.log(out.slice(-2));   // [stop_long, stop_short] of the last bar

Output:

[ 11, 9 ]

Interpretation

Use stop_long to trail a long position and stop_short to trail a short. Compared with a one-stage ChandelierExit, the extra smoothing window makes the Chande Kroll Stop steadier — it will not lurch on a single wide-range bar — at the cost of reacting a little slower to a genuine trend change.

Common pitfalls

• Forgetting the longer warmup. Two stacked windows mean atr_period + stop_period − 1 bars before the first value.
• Confusing the labels. stop_short is generally the lower level and stop_long the higher — they bracket recent price, but each only applies to its own side.

References

Tushar Chande and Stanley Kroll's stop, from The New Technical Trader (1994); the two-stage formulation here matches the common TradingView implementation.

See also

• Indicator-ChandelierExit.md — the one-stage ATR stop this smooths.
• Indicator-SuperTrend.md — an ATR trailing stop with explicit flip logic.
• Indicator-Atr.md — the volatility measure underneath.
• Indicators-Overview.md — the full taxonomy.