kingchenc
d2f99efd78
The original taxonomy was four classical families plus a statistics group, with the F1-F12 expansion slotted in as sub-categories. This regroups the whole 71-indicator catalogue into eight top-level families, each with at least five members: Moving Averages (12), Momentum Oscillators (13), Trend & Directional (9), Price Oscillators (5), Volatility & Bands (12), Trailing Stops (5), Volume (9), Price Statistics (7). - Wiki: docs/wiki/indicators/ reorganised into eight family folders; all 71 indicator pages moved with `git mv`. Every internal cross-link is normalised to `../<family>/Indicator-X.md`, each page's `Family` field is set to its new family, and two pre-existing `../Indicator-Chaining.md` links (should have been `../../`) are corrected. A link check confirms every relative wiki link resolves. - Indicators-Overview.md fully rewritten around the eight families; Home.md indicator reference and the README family table follow suit. - Warmup-Periods.md gains the eight F13 indicators; CHANGELOG records the 46-indicator expansion (25 -> 71) and the eight-family taxonomy. - Tests: Node indicators.test.js and Python test_new_indicators.py cover all eight new indicators (Node 91/91, Python 117/117 green). cargo fmt + clippy (core/wickra/data/wasm/node) clean; 508 core tests, 25 data tests and 74 doctests green.
177 lines
5.6 KiB
Markdown
177 lines
5.6 KiB
Markdown
# ChandeKrollStop
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> Chande Kroll Stop — a two-stage ATR stop: an ATR stop off the recent
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> extreme, then smoothed by taking the most extreme such stop over a
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> shorter window.
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## Quick reference
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| Field | Value |
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|-------|-------|
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| Family | Trailing Stops |
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| Input type | `Candle` (uses `high`, `low`, `close`) |
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| Output type | `(stop_long, stop_short)` |
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| Output range | unbounded (price scale) |
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| Default parameters | `atr_period = 10`, `atr_multiplier = 1.0`, `stop_period = 9` (Python) |
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| Warmup period | `atr_period + stop_period − 1` |
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| Interpretation | Smoothed long/short stop levels, less prone to single-bar whipsaw. |
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## Formula
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```
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preliminary (window p = atr_period, x = atr_multiplier):
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high_stop = highest_high(p) − x · ATR(p)
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low_stop = lowest_low(p) + x · ATR(p)
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final (window q = stop_period):
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stop_short = highest(high_stop, q)
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stop_long = lowest(low_stop, q)
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```
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Tushar Chande and Stanley Kroll's stop runs in two stages. The first builds a
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preliminary ATR stop off the recent extreme — the same idea as a
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[`ChandelierExit`](../trailing-stops/Indicator-ChandelierExit.md). The second smooths it: rather
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than use that preliminary stop directly, it takes the *most extreme*
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preliminary stop seen over a shorter window `q`. That second pass keeps a
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single unusually wide bar from yanking the stop around. The classic
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configuration from *The New Technical Trader* is `ATR(10)`, multiplier `1.0`,
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smoothing window `9`.
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## Parameters
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- `atr_period` — window for the preliminary ATR and the highest high / lowest
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low (Python default `10`).
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- `atr_multiplier` — how many ATRs the preliminary stop sits off the extreme
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(default `1.0`).
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- `stop_period` — the smoothing window `q` (default `9`).
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`ChandeKrollStop::classic()` returns the `(10, 1.0, 9)` configuration.
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## Inputs / Outputs
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From `crates/wickra-core/src/indicators/chande_kroll_stop.rs`:
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```rust
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impl Indicator for ChandeKrollStop {
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type Input = Candle;
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type Output = ChandeKrollStopOutput; // { stop_long: f64, stop_short: f64 }
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// update(&mut self, input: Candle) -> Option<ChandeKrollStopOutput>
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}
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```
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`ChandeKrollStop` is a **candle-input** indicator (it reads `high`, `low`,
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`close`). Python's streaming `update` returns a `(stop_long, stop_short)`
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tuple; the batch helper returns an `(n, 2)` array with columns
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`[stop_long, stop_short]`. Node's `update` returns `{ stopLong, stopShort }`
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and `batch` a flat `[l0, s0, l1, s1, …]` array; WASM matches Node.
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## Warmup
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`ChandeKrollStop::classic().warmup_period() == 18` (`atr_period + stop_period −
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1`). The preliminary stop first appears on candle `atr_period`; the smoothing
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window then needs `stop_period` of them.
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## Edge cases
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- **Two-stage warmup.** Nothing is emitted until both the preliminary window
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and the smoothing window have filled.
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- **Flat market.** Constant candles collapse both stages to fixed levels.
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- **Reset.** `cks.reset()` clears the ATR and all four windows.
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## Examples
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### Rust
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```rust
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use wickra::{BatchExt, Candle, Indicator, ChandeKrollStop};
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fn main() -> Result<(), Box<dyn std::error::Error>> {
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let mut cks = ChandeKrollStop::new(5, 1.0, 3)?;
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// Flat market: ATR = 2, HH = 11, LL = 9.
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let candles: Vec<Candle> = (0..20)
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.map(|i| Candle::new(10.0, 11.0, 9.0, 10.0, 1.0, i).unwrap())
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.collect();
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let out = cks.batch(&candles);
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println!("{:?}", out.last().unwrap());
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Ok(())
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}
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```
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Output:
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```
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Some(ChandeKrollStopOutput { stop_long: 11.0, stop_short: 9.0 })
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```
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`high_stop = 11 − 1·2 = 9`, `low_stop = 9 + 1·2 = 11`; the smoothing pass over
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constant values leaves `stop_short = 9` and `stop_long = 11`. This matches the
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`reference_values_flat_market` test in
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`crates/wickra-core/src/indicators/chande_kroll_stop.rs`.
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### Python
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```python
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import numpy as np
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import wickra as ta
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cks = ta.ChandeKrollStop(5, 1.0, 3)
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n = 20
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high = np.full(n, 11.0)
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low = np.full(n, 9.0)
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close = np.full(n, 10.0)
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print(cks.batch(high, low, close)[-1]) # [stop_long, stop_short]
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```
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Output:
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```
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[11. 9.]
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```
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### Node
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```javascript
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const ta = require('wickra');
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const cks = new ta.ChandeKrollStop(5, 1.0, 3);
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const n = 20;
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const high = Array(n).fill(11), low = Array(n).fill(9), close = Array(n).fill(10);
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const out = cks.batch(high, low, close);
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console.log(out.slice(-2)); // [stop_long, stop_short] of the last bar
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```
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Output:
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```
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[ 11, 9 ]
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```
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## Interpretation
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Use `stop_long` to trail a long position and `stop_short` to trail a short.
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Compared with a one-stage [`ChandelierExit`](../trailing-stops/Indicator-ChandelierExit.md), the
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extra smoothing window makes the Chande Kroll Stop steadier — it will not lurch
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on a single wide-range bar — at the cost of reacting a little slower to a
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genuine trend change.
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## Common pitfalls
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- **Forgetting the longer warmup.** Two stacked windows mean `atr_period +
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stop_period − 1` bars before the first value.
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- **Confusing the labels.** `stop_short` is generally the lower level and
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`stop_long` the higher — they bracket recent price, but each only applies to
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its own side.
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## References
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Tushar Chande and Stanley Kroll's stop, from *The New Technical Trader* (1994);
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the two-stage formulation here matches the common TradingView implementation.
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## See also
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- [Indicator-ChandelierExit.md](../trailing-stops/Indicator-ChandelierExit.md) — the one-stage
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ATR stop this smooths.
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- [Indicator-SuperTrend.md](../trailing-stops/Indicator-SuperTrend.md) — an ATR trailing stop
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with explicit flip logic.
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- [Indicator-Atr.md](../volatility-bands/Indicator-Atr.md) — the volatility measure underneath.
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- [Indicators-Overview.md](../../Indicators-Overview.md) — the full taxonomy.
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