chandelier: Chandelier Exit

In pverspeelt/Quantfunctions: Contains a diverse set of functions and indicators to add functionality to Quantmod, TTR and Quantstrat

Description

Calculates the chandelier exits in an up or down trend. The calculated exit points are used as a stop loss in a trend following trading strategy.

Usage

chandelier(x, n = 22, coef = 3, trend = "up")

Arguments

x	Object that is coercible to xts or matrix and contains High-Low-Close prices.
n	Number of periods for chandelier period. Default is 22.
coef	ATR coefficient. Default is 3
trend	Indicates if chandelier should be calculated for the up-trend or down-trend. Default is up. Possible values are "up" or "down".

Details

In an up-trend the default formula is: Highest High in last 22 days - 3 * ATR for 22 days

In a down-trend the formula is reversed: Lowest Low in last 22 days + 3 * ATR for 22 days

Value

Returns the chandelier exit points which can be used as stop loss in a trend following strategy.

See Also

Other protective stops: ATR_stop(), safezone()

Examples

## Not run: 
libary(quantmod)
ADM <- getSymbols("ADM", 
                  from = "2018-01-01", 
                  to = "2018-07-01",
                  auto.assign = FALSE)
chartSeries(ADM)
addTA(chandelier(ADM), on = 1)

## End(Not run)

pverspeelt/Quantfunctions documentation built on Oct. 10, 2021, 1:01 p.m.