Chandelier Exits

B

brownsfan019

This code includes the Parabolic and YoYo exits as well. I'd take it out, but don't have time right now, so you'll have to do that part...Hope that helps!

I'm splitting it into 2 posts due to ET character restriction...

//***************************************************************************************
// LeBeau Stops Indicator (!G_LeBeau_Stops) *
// ©JRG 2004, 2005, v8.1i, 20 Jul 2005 *
//***************************************************************************************
// NOTES: Implements Chuck LeBeau's family of stop loss techniques as briefed at *
// TradeStation World 2004 *
// Sends setings to compatible indicator for visual plotting using Global *
// Variables *
// Set Strategy MaxBarsBack = 150 -- set indicator same *
// v8.0d -- Use GV error to set LeBeau defaults *
// v8.1 -- Integrate 8.1 keywords -- update intrabar default on *
// v8.1a - not applicable to indicator *
// v8.1b - change GV setup to use AppID *
// v8.1c - make for intrabar execution ONLY, change AvgRange to AvgRange *
// change profit target tighten to 0.6 vs 0.5 (for Chan) *
// v8.1d - tie parabolic initial stop to AvgEntryPrice *
// v8.1e - prevent retracement (loosening) of Chandelier Stop *
// v8.1f - use MIT stop for Chandelier and YoYo *
// 050425 v8.1g - workaround for PT Boolean issue *
// 050503 v8.1h - fix profit target multiplier error *
// 050720 v8.1i - update Parabolic stop intrabar *
//***************************************************************************************

//***** Set-up *****
INPUTS: Show_All_Stops ( False ),
Commentary_On ( False ) ;

VARIABLES: Chandelier_AvgRange ( 3 ), // inputs from strategy
YoYo_AvgRange ( 2 ),
Parabolic_AF ( 0 ),
Acceleration_Factor ( 0.02 ),
Parabolic_AF_Limit ( 0 ),
AvgRange_Length ( 21 ),
Average_Range ( 0 ),
Market_Position ( 0 ),
IntrabarPersist Trade_High ( 0 ),
IntrabarPersist Trade_Low ( 0 ),
IntrabarPersist YoYo_Amount ( 0 ), // YoYo stop amount
YoYo_Price ( 0 ), // pin price to last bar close
IntrabarPersist Chandelier_Stop ( 0 ),
IntrabarPersist YoYo_Stop ( 0 ),
Parabolic_Stop ( 0 ),
Profit_AvgRange ( 0 ),
PT_Average_Range ( 0 ),
PT_Range_Length ( 21 ),
Profit_Amount ( 0 ),
Profit_Switch_Fac ( 1 ),
EntryBar_Stop ( 0 ),
IntrabarPersist Profit_Switch ( False ),
GV_Name ( NumToStr( AbsValue( GetAppInfo( aiAppID ) ), 0 ) ), // 19 = aiWindowID
Avg_Entry_Price ( 0 ),
New_Entry ( False ) ;

//***** Housekeeping *****
if CurrentBar = 2 then // get Inputs from Strategy
begin
Chandelier_AvgRange = GVGetNamedDouble( GV_Name + "Chandelier_AvgRange", 3 ) ; // get strategy settings from global memory
YoYo_AvgRange = GVGetNamedDouble( GV_Name + "YoYo_AvgRange", 2 ) ;
Parabolic_AF = GVGetNamedDouble( GV_Name + "Parabolic_AF", 0.02 ) ;
AvgRange_Length = GVGetNamedDouble( GV_Name + "LeBeau_AvgRange_Length", 21 ) ;
Parabolic_AF_Limit = GVGetNamedDouble( GV_Name + "Parabolic_AF_Limit", 10 ) ; // set limit 10x factor
Profit_AvgRange = GVGetNamedDouble( GV_Name + "Profit_AvgRange", 4 ) ;
Profit_Switch_Fac = GVGetNamedDouble( GV_Name + "Profit_Switch_Factor", 1 ) ;
PT_Range_Length = GVGetNamedDouble( GV_Name + "LePT_Range_Length", AvgRange_Length ) ;
end ; // housekeeping

//***** Compute Stops *****
Market_Position = I_MarketPosition ; // in order to access historical bar market positions
if BarStatus(1) = 2 then // calc only once per bar
begin
Average_Range = AvgRange( AvgRange_Length ) ;
Avg_Entry_Price = I_AvgEntryPrice ;
New_Entry = Avg_Entry_Price[1] <> Avg_Entry_Price ;
PT_Average_Range = AvgRange( PT_Range_Length ) ;
Profit_Amount = Round( Profit_AvgRange * PT_Average_Range, 2 ) ;
YoYo_Amount = YoYo_AvgRange * Average_Range ;
end ; // calc once
if Market_Position[1] <> 0 then
YoYo_Price = Close[1]
else
YoYo_Price = Open ;

if Market_Position <> 0 then // eval market position on current bar
begin

//*** Long Position ***
if Market_Position = 1 then
begin
if Market_Position[1] <> 1 or // eval market position on prior bar and reset variables if
New_Entry then
begin
Profit_Switch = False ; // reset profit switch
Trade_High = High ; // reset trade high
end // reset
else if High > Trade_High then // find new high
Trade_High = High ;

//* Chandelier Stop *
if Profit_Switch or // if switch = true
Trade_high >= I_AvgEntryPrice + ( Profit_Amount * Profit_Switch_Fac ) then
begin
Profit_Switch = True ;
Chandelier_Stop = Round( Trade_High - ( Chandelier_AvgRange * Average_Range * Profit_Switch_Fac ), 2 ) ; // tighten stop
end // tighten Chandelier stop when profit point exceeded
else Chandelier_Stop = Round( Trade_High - ( Chandelier_AvgRange * Average_Range ), 2 ) ; // normal stop
if Market_Position[1] = 1 and
New_Entry = False and
Chandelier_Stop < Chandelier_Stop[1] then
Chandelier_Stop = Chandelier_Stop[1] ; // prevent retracement

//* YoYo Stop *
YoYo_Stop = Round( YoYo_Price - YoYo_Amount, 2 ) ;

//* Parabolic Stop *
if Market_Position[1] <> 1 or
New_Entry then
begin
Parabolic_Stop = Chandelier_Stop ; // initial setting
// Round( I_AvgEntryPrice - ( Chandelier_AvgRange * Average_Range ), 2 ) ; // tie to entry price
Acceleration_Factor = Parabolic_AF ;
end // eval market postion on prior bar
else begin
{if BarStatus(1) = 2 then
begin}
if Trade_High > Trade_High[1] and
Acceleration_Factor < Parabolic_AF_Limit then
Acceleration_Factor = Acceleration_Factor + MinList( Parabolic_AF, Parabolic_AF_Limit - Acceleration_Factor ) ;
Parabolic_Stop = Parabolic_Stop + Acceleration_Factor * ( Trade_High - Parabolic_Stop ) ;
if Parabolic_Stop > Low then // force stop <= low of last bar
Parabolic_Stop = Low ;
{end ;} // update only at end of bar
end ; // long parabolic stop

end // long market postion
 
Here's the rest!


//*** Short Position ***
else begin // short market position
if Market_Position[1] <> -1 or // eval market position on prior bar
New_Entry then
begin
Profit_Switch = False ; // reset profit switch
Trade_Low = Low ; // reset trade low
end
else if Low < Trade_Low then // find new low
Trade_Low = Low ;

//* Chandelier Stop *
if Profit_Switch or // if switch = true
Trade_Low <= I_AvgEntryPrice - ( Profit_Amount * Profit_Switch_Fac ) then
begin
Profit_Switch = True ;
Chandelier_Stop = Round( Trade_Low + ( Chandelier_AvgRange * Average_Range * Profit_Switch_Fac ), 2 ) ; // tighten stop
end // tighten Chandelier stop when profit point exceeded
else Chandelier_Stop = Round( Trade_Low + ( Chandelier_AvgRange * Average_Range ), 2 ) ; // normal stop
if Market_Position[1] = -1 and
New_Entry = False and
Chandelier_Stop > Chandelier_Stop[1] then
Chandelier_Stop = Chandelier_Stop[1] ; // prevent retracement

//* YoYo Stop *
YoYo_Stop = Round( YoYo_Price + YoYo_Amount, 2 ) ;

//* Parabolic Stop *
if Market_Position[1] <> -1 OR
New_Entry then
begin
Parabolic_Stop = Chandelier_Stop ;
// Round( I_AvgEntryPrice + ( Chandelier_AvgRange * Average_Range ), 2 ) ; // tie to entry price

Acceleration_Factor = Parabolic_AF ;
end // eval market postion on prior bar
else begin
{if BarStatus(1) = 2 then
begin}
Parabolic_Stop = Parabolic_Stop + Acceleration_Factor * ( Trade_Low - Parabolic_Stop ) ;
if Trade_Low < Trade_Low[1] and
Acceleration_Factor < Parabolic_AF_Limit then
Acceleration_Factor = Acceleration_Factor + MinList( Parabolic_AF, Parabolic_AF_Limit - Acceleration_Factor ) ;
if Parabolic_Stop < High then
Parabolic_Stop = High ;
{end ;} // run once per bar
end ; // short parabolic stop
end ; // short market position
end ; // in position

//***** Plots *****
if Market_Position[1] <> 0 or
Market_Position <> 0 then
begin
if Show_All_Stops then
begin
Plot2( Parabolic_Stop, "Parabolic", Red ) ;
Plot3( YoYo_Stop, "YoYo", Cyan ) ;
Plot4( Chandelier_Stop, "Chandelier", White ) ;
end // show all stops
else begin // plot only closest stop
if Market_Position = 1 or
Market_Position[1] = 1 then
begin
if Chandelier_Stop > YoYo_Stop and
Chandelier_Stop > Parabolic_Stop then
Plot4( Chandelier_Stop, "Chandelier", White )
else if YoYo_Stop > Parabolic_Stop then
Plot3( YoYo_Stop, "YoYo", Cyan )
else Plot2( Parabolic_Stop, "Parabolic", Red ) ;
end ; // closest long stop
if Market_Position = -1 or
Market_Position[1] = -1 then
begin
if Chandelier_Stop < YoYo_Stop and
Chandelier_Stop < Parabolic_Stop then
Plot4( Chandelier_Stop, "Chandelier", White )
else if YoYo_Stop < Parabolic_Stop then
Plot3( YoYo_Stop, "YoYo", Cyan )
else Plot2( Parabolic_Stop, "Parabolic", Red ) ;
end ; // closest short stop
end ; // only closest stop
end ; // plots

//***** Commentary *****
if Commentary_On and
AtCommentaryBar then
Commentary(
( Date - ( Year( Date ) * 10000 ) ):0:0, Time:5:0,
" -- BarNumber = ", CurrentBar:5:0, NewLine,
"High = ", High, NewLine,
"Low = ", Low, NewLine,
"Open = ", Open, NewLine,
"Close = ", Close, NewLine,
"AvgRange Length = ", AvgRange_Length:0:0, NewLine,
"AvgRange =", Average_Range:0:2, NewLine,
"Chandelier AvgRange Multiplier = ", Chandelier_AvgRange:0:2, NewLine,
"YoYo AvgRange Multiplier = ", YoYo_AvgRange:0:2, NewLine,
"Parabolic Acceleration Factor = ", Parabolic_AF:0:3, NewLine,
"Parabolic AF Limit = ", Parabolic_AF_Limit:0:2, NewLine,
"Acceleration Factor = ", Acceleration_Factor:0:3, NewLine,
"Profit Point AvgRange Multiplier = ", Profit_AvgRange:0:2, NewLine,
"Profit Switch = ", Profit_Switch, Newline,
"Market Position = ", Market_Position:0:0, NewLine,
"Trade High = ", Trade_High:0:2, NewLine,
"Trade Low = ", Trade_Low:0:2, NewLine,
"Profit Amount = ", Profit_Amount:0:2, NewLine,
"Chandelier Stop = ", Chandelier_Stop:0:2, NewLine,
"YoYo Stop = ", YoYo_Stop:0:2, NewLine,
"Parabolic Stop = ", Parabolic_Stop:0:2, NewLine
) ;
 
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