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Chandelier Exit

Created by Charles Le Beau, the Chandelier Exit is an adjusted Average True Range (ATR) offset from price that is is typically used for stop-loss and can be computed for both long or short types. [Discuss] 💬

chart for Chandelier Exit

// C# usage syntax
IEnumerable<ChandelierResult> results =
  quotes.GetChandelier(lookbackPeriods, multiplier, type);

Parameters

lookbackPeriods int - Number of periods (N) for the lookback evaluation. Default is 22.

multiplier double - Multiplier number must be a positive value. Default is 3.

type ChandelierType - Direction of exit. See ChandelierType options below. Default is ChandelierType.Long.

Historical quotes requirements

You must have at least N+1 periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

ChandelierType options

ChandelierType.Long - Intended as stop loss value for long positions. (default)

ChandelierType.Short - Intended as stop loss value for short positions.

Response

IEnumerable<ChandelierResult>

This method returns a time series of all available indicator values for the quotes provided.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first N periods will have null Chandelier values since there’s not enough data to calculate.

ChandelierResult

Date DateTime - Date from evaluated TQuote

ChandelierExit double - Exit line

Utilities

See Utilities and helpers for more information.

Chaining

Results can be further processed on ChandelierExit with additional chain-enabled indicators.

// example
var results = quotes
    .GetChandelier(..)
    .GetEma(..);

This indicator must be generated from quotes and cannot be generated from results of another chain-enabled indicator or method.