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

ChandelierExit

Chandelier Exit — an ATR trailing stop hung a fixed number of ATRs off the highest high (for longs) or the lowest low (for shorts) of a window.

Quick reference

Field	Value
Family	Volatility
Sub-category	Trailing stop
Input type	Candle (uses high, low, close)
Output type	(long_stop, short_stop)
Output range	unbounded (price scale)
Default parameters	period = 22, multiplier = 3.0 (Python)
Warmup period	period
Interpretation	Long/short trailing-stop levels; a close past one exits the trade.

Formula

long_stop  = highest_high(period) − multiplier · ATR(period)
short_stop = lowest_low(period)   + multiplier · ATR(period)

Chuck LeBeau's Chandelier Exit hangs the stop off the extreme of the lookback window — like a chandelier off a ceiling — a fixed multiplier · ATR below the highest high (for a long) or above the lowest low (for a short). Because the extreme only moves favourably while a trend runs, the stop trails price up (or down) and never loosens. A long is exited when price closes below long_stop; a short when it closes above short_stop. The classic configuration is a 22-bar window with a 3.0 multiplier.

Parameters

• period — the window for both the highest high / lowest low and the ATR (Python default 22).
• multiplier — how many ATRs the stop hangs off the extreme (default 3.0).

ChandelierExit::classic() returns the (22, 3.0) configuration.

Inputs / Outputs

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

impl Indicator for ChandelierExit {
    type Input = Candle;
    type Output = ChandelierExitOutput;   // { long_stop: f64, short_stop: f64 }
    // update(&mut self, input: Candle) -> Option<ChandelierExitOutput>
}

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

Warmup

ChandelierExit::classic().warmup_period() == 22. The highest-high / lowest-low window and the inner ATR become ready on the same candle — input index period − 1.

Edge cases

• Window bound. long_stop never exceeds the window's highest high, and short_stop never drops below its lowest low (long_stop_below_highest_short_stop_above_lowest pins this).
• Flat market. Constant candles give constant ATR and equal extremes, so both stops sit a fixed multiplier · ATR from the price.
• Reset. ce.reset() clears the ATR and both extreme windows.

Examples

Rust

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

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut ce = ChandelierExit::new(5, 3.0)?;
    // 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 = ce.batch(&candles);
    println!("{:?}", out.last().unwrap());
    Ok(())
}

Output:

Some(ChandelierExitOutput { long_stop: 5.0, short_stop: 15.0 })

long_stop = 11 − 3·2 = 5, short_stop = 9 + 3·2 = 15. This matches the reference_values_flat_market test in crates/wickra-core/src/indicators/chandelier_exit.rs.

Python

import numpy as np
import wickra as ta

ce = ta.ChandelierExit(5, 3.0)
n = 20
high = np.full(n, 11.0)
low = np.full(n, 9.0)
close = np.full(n, 10.0)
print(ce.batch(high, low, close)[-1])   # [long_stop, short_stop]

Output:

[ 5. 15.]

Node

const ta = require('wickra');
const ce = new ta.ChandelierExit(5, 3.0);
const n = 20;
const high = Array(n).fill(11), low = Array(n).fill(9), close = Array(n).fill(10);
const out = ce.batch(high, low, close);
console.log(out.slice(-2));   // [long_stop, short_stop] of the last bar

Output:

[ 5, 15 ]

Interpretation

While long, watch long_stop: it climbs as new highs print and never falls, so a close beneath it is a disciplined exit. While short, short_stop is the mirror. The 3.0 multiplier is wide enough to ride a trend through normal pullbacks; tightening it exits sooner at the cost of more whipsaws.

Common pitfalls

• Using the wrong stop for the position. long_stop only applies to longs, short_stop only to shorts — they are not a channel.
• Feeding it scalar prices. It needs the full high/low/close bar.

References

Chuck LeBeau's Chandelier Exit; the highest-high-minus-ATR formulation here matches the standard definition.

See also

• Indicator-SuperTrend.md — an ATR trailing stop with explicit flip logic and a single line.
• Indicator-ChandeKrollStop.md — a two-stage ATR stop that smooths the preliminary level.
• Indicator-Atr.md — the volatility measure underneath.
• Indicators-Overview.md — the full taxonomy.