Well, that's fine, but then he shouldn't be selling instructional DVD's with partial information (which he does). That is, either sell the information, or keep it completely secret and only sell your service. But don't try to do both. But, whatever. My point is not to attack Mr. LeBeau, so we're getting off-topic here. My point is to find out what HAS worked for other people willing to share. That is, to have these blanks filled in that way.
Chandelier Stop users?
- Thread starter JT30
- Start date
Well, that's fine, but then he shouldn't be selling instructional DVD's with partial information (which he does). That is, either sell the information, or keep it completely secret and only sell your service. But don't try to do both. But, whatever. My point is not to attack Mr. LeBeau, so we're getting off-topic here. My point is to find out what HAS worked for other people willing to share. That is, to have these blanks filled in that way.
I see your point, but I guess the rationale would be that if the uptrend is truly intact, price should not retrace more than a certain number of ATR's from its high point. Remember, if you're already in a trade and a high is made and then a pullback occurs, supposedly your stop SHOULD remain at the most recent high before the pullback. If that's the logic, why should it make any difference if I'm just getting into the trade now? That is, isn't the significant price here still the most recent high, just as if I were already in the trade? Hope that makes sense.
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K2k2;
Well , maybe could find a little something partialy useful in that;
but higher lows,
higher closes,
higher gaps ,
higher gaps that close higher ,
lower gaps that close lower,,
higher volume/price,
lower volume/price .........................................
Those are important in any serious study of uptrends;
also,you have to be alert for uptrends which are not uptrends at all, but reverse stock splits like Citigroup.
Chuck not answering maybe a blessing in disguise;probably found something
I was anticipating so much from this Chandelier exit when I started to code and optimize it, and I have to say that I am a kind of disappointed now.
In short words I have following strategy
1) Set of EMAs and MACDs
2) ADX
3) StdDev indicator (I look at it in combination with momentum of my EMAs)
I make deals when all 3 parts indicates the same. I exit market when indicators contradicts.
4) Adaptive stops (not chandelier)
Trades frequency is approximately 1 trade per hour. Core logic is trend following.
As a next 5th step I implemented a variation of Chandelier stop (a bit more improved that standard one but it is not critical. Instead of simple ATR=EMA(TR) I use my own indicator k1*EMA(TR1-PriceDelta1) + k2*EMA(TR2-PriceDelta2). Standard ATR demonstrates a bit worse results)
1. Results of testing shows that this chandelier exit improves the performance of a very simple strategy e.g. with EMAs only (but quite slightly).
2. When I use it on top of ADX the impact is even smaller (e.g. best optimization loop ended with about 5000 Entry orders, 1800 stop order triggered and only 100-200 Chandelier stops triggered which is almost nothing, moreover best parameters for Chandelier stops almost turn it into Usual trailing stop with constant level).
3. And after all, combination of Chandelier exit with my StdDev filtering logic with active ADX seems to be really bad. The result in most cases worse then without Chandelier. However it is still being investigated and tested.
So finally I got the questions:
-which kind of strategies Chandelier exit suites better.
-Why it does not suite to my strategy ?
-And maybe some hints for optimization, e.g. which bar size and period to chose for ATR depending on trades frequency of underlying strategyâ¦
Any thoughts?
Thanks!
In short words I have following strategy
1) Set of EMAs and MACDs
2) ADX
3) StdDev indicator (I look at it in combination with momentum of my EMAs)
I make deals when all 3 parts indicates the same. I exit market when indicators contradicts.
4) Adaptive stops (not chandelier)
Trades frequency is approximately 1 trade per hour. Core logic is trend following.
As a next 5th step I implemented a variation of Chandelier stop (a bit more improved that standard one but it is not critical. Instead of simple ATR=EMA(TR) I use my own indicator k1*EMA(TR1-PriceDelta1) + k2*EMA(TR2-PriceDelta2). Standard ATR demonstrates a bit worse results)
1. Results of testing shows that this chandelier exit improves the performance of a very simple strategy e.g. with EMAs only (but quite slightly).
2. When I use it on top of ADX the impact is even smaller (e.g. best optimization loop ended with about 5000 Entry orders, 1800 stop order triggered and only 100-200 Chandelier stops triggered which is almost nothing, moreover best parameters for Chandelier stops almost turn it into Usual trailing stop with constant level).
3. And after all, combination of Chandelier exit with my StdDev filtering logic with active ADX seems to be really bad. The result in most cases worse then without Chandelier. However it is still being investigated and tested.
So finally I got the questions:
-which kind of strategies Chandelier exit suites better.
-Why it does not suite to my strategy ?
-And maybe some hints for optimization, e.g. which bar size and period to chose for ATR depending on trades frequency of underlying strategyâ¦
Any thoughts?
Thanks!
Hi newDave,
Unfortunately, I think we're kind of in the same boat. Except that for me it's not quite that I've decided that the strategy doesn't work, but that it's much harder to implement than I had originally thought. That is, like you, I was originally excited about it, but I found that once I tried using it in actual trading, it raised more questions than it answered. And, again, that's why I started this thread.
Unfortunately, I think we're kind of in the same boat. Except that for me it's not quite that I've decided that the strategy doesn't work, but that it's much harder to implement than I had originally thought. That is, like you, I was originally excited about it, but I found that once I tried using it in actual trading, it raised more questions than it answered. And, again, that's why I started this thread.
I can try to guess now that Chandelier Exit is hard build into a strategy in case if this strategy already uses some volatility analysis. In that case a kind of duplication appears.
E.g. in my strategy I already filter signals using ADX. ADX is based on ATR similarly to Chandelier Exits. More over I use StdDev to filter volatility. Probably this is one of explanations...
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PS sorry for my not native english.
E.g. in my strategy I already filter signals using ADX. ADX is based on ATR similarly to Chandelier Exits. More over I use StdDev to filter volatility. Probably this is one of explanations...
------
PS sorry for my not native english.
Hi,
In my strategy, until Chandelier stop is activated(to be specific until position is hold less then 25min) I use standard fixed stop-loss. (however each time I send this stop order I also calculate stop level depending on complex volatility indicators. Same indicators I use later to calculate trailing levels for Chandelier stops. (but some coefficients are different))
Chandelier stops made the Equity curve more smoth, but actually decrease the profit a bit. Currently I decided to use them.
//Not sure if I understand your question correctly.
In my strategy, until Chandelier stop is activated(to be specific until position is hold less then 25min) I use standard fixed stop-loss. (however each time I send this stop order I also calculate stop level depending on complex volatility indicators. Same indicators I use later to calculate trailing levels for Chandelier stops. (but some coefficients are different))
Chandelier stops made the Equity curve more smoth, but actually decrease the profit a bit. Currently I decided to use them.
//Not sure if I understand your question correctly.