- Katılım
- 23 Eki 2020
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The exit system you use is at least as important as the entry system. Below is the code for Chuck LeBeau's Chandelier Exit. The Chandelier Exit is a volatility based exit (it uses average true range) that works quite well on trend following systems. It lets "... profits run in the direction of a trend while still offering some protection against any reversal in trend." The theory is quite simple, but because of the awkwardness of defining the entry price, its implementation in MetaStock takes some work. The theory is: exit a long position at either the highest high since entry minus 3 ATRs, or at the highest close since entry minus 2.5 ATRs. The exit is descibed more fully in the Trader's Toolkit section at Chuck LeBeau's site -- http://traderclub.com/ Here is the MetaStock code: | |
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Chandelier Long Exit LongEntry:= {this your entry system, eg. Cross(CLOSE, Mov(C,20,E))}; MoneyMgmtStop:= {this is your maximum loss, in points}; {DEFINE ENTRY PRICE, WITH EXIT BEING -ENTRY PRICE AND NO TRADE BEING 0} EntryPrice:= If(PREV <= 0, {Trade entered today?} If(LongEntry, CLOSE, 0), {Trade entered before today. Stopped today?} If(LOW <= PREV - MoneyMgmtStop, -PREV, If(LOW <= HighestSince(1,PREV=0, HIGH) - 3 * ATR(10), -PREV, If(LOW <= HighestSince(1,PREV=0, CLOSE) - 2.5 * ATR(10), -PREV, PREV)))); {EXIT IF ENTRY PRICE < 0 (MEANING EXIT)} EntryPrice < 0 | |
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Chandelier Short Exit ShortEntry:= {this your entry system, eg. Cross(Mov(C,20,E), CLOSE)}; MoneyMgmtStop:= {this is your maximum loss, in points}; {DEFINE ENTRY PRICE, WITH EXIT BEING -ENTRY PRICE AND NO TRADE BEING 0} EntryPrice:= If(PREV <= 0, {Trade entered today?} If(ShortEntry, CLOSE, 0), {Trade entered before today. Stopped today?} If(HIGH >= PREV + MoneyMgmtStop, -PREV, If(HIGH >= LowestSince(1,PREV=0, LOW) + 3 * ATR(10), -PREV, If(HIGH >= LowestSince(1,PREV=0, CLOSE) + 2.5 * ATR(10), -PREV, PREV)))); {EXIT IF ENTRY PRICE < 0 (MEANING EXIT)} EntryPrice < 0 | |
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from Glen Wallace | |
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Source / From: http://www.guppytraders.com | |
