Chelier Stop Indicator

[LZDogo]

Hi

I want to know if someone to know the code of "Chelier Stop Indicator".

Thanks.

[elmagd2000]

I have Metastock version is it what you are looking for ?

Hani

[LZDogo]

Hi elmagd2000

Actually I'm using VisualTrading ( VT lenguage) (CTL lenguage) but if you have the code in Metastock is fine for my I want to have some idea about ChelierStop code later I will go to convert it to VT.

Could you please send me the code.

Thank Doug

[elmagd2000]

Chuck LeBeau's Chelier Exit

You need to define your entry system . pip loss in code

Chelier Long Exit
LongEntry:= {this your entry system eg. Cross(CLOSE Mov(C20E))};
MoneyMgmtStop:= {this is your imum loss in points};

{DEFINE ENTRY PRICE WITH EXIT BEING -ENTRY PRICE 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(1PREV=0 HIGH) - 3 * ATR(10) -PREV
If(LOW <= HighestSince(1PREV=0 CLOSE) - 2.5 * ATR(10) -PREV
PREV))));

{EXIT IF ENTRY PRICE < 0 (MEANING EXIT)}
EntryPrice < 0


Chelier Short Exit

ShortEntry:= {this your entry system eg. Cross(Mov(C20E) CLOSE)};
MoneyMgmtStop:= {this is your imum loss in points};

{DEFINE ENTRY PRICE WITH EXIT BEING -ENTRY PRICE 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(1PREV=0 LOW) + 3 * ATR(10) -PREV
If(HIGH >= LowestSince(1PREV=0 CLOSE) + 2.5 * ATR(10) -PREV
PREV))));

{EXIT IF ENTRY PRICE < 0 (MEANING EXIT)}
EntryPrice < 0

[LZDogo]

Thank elmagd2000

I will go to convert the code test it on VT.

[szczupak]

could you tell us sth more about this indic?

[LZDogo]

Hi szczupak

About this indicator I have the next information (see ANEXO).
I hope that this information can help you.

I try to find the code of this indicator used on "Fibonacci Trader" but it is imposible because is necessary to be your client's.


Bye LZDogo
***********************************************
ANEXO - Trailing Stops - The Chelier Exit (Bulletin #35)

By Chuck Le Beau Terence Tan


In Bulletin #34 we discussed the Channel Exit which trails a stop based on previous LOW points. In this Bulletin we will discuss a stop placement strategy that trails our stop based on previous HIGH points.

The Chelier Exit hangs a trailing stop either the highest high of the trade or the highest close of the trade. The distance the high point to the trailing stop is probably best measured in units of Average True Range. However the distance the high point could also be measured in dollars or in contract based points.

Here are three simple examples: (As usual we will use long side examples. Simply reverse the logic for short trades.)

1. Place a stop at the highest high since we entered the trade minus three Average True Ranges. 2. Place a stop at the highest high of the trade minus $1500.00. 3. Place a stop at the highest high of the trade minus 150 points.

The value of this trailing stop is that it moves upward very promptly as higher highs are reached. The Chelier name seems appropriate should help us to remember the logic of this very effective exit. Just as a chelier hangs down the ceiling of a room the Chelier Exit hangs down the high point or the ceiling of our trade.

The reason we prefer to use units of Average True Range to measure the distance the high to our stop is that the ATR is applicable across markets is adaptive to changes in volatility. We can use the same formula to trade corn yen coffee or stocks. If the trading ranges exp or contract our stop will automatically adjust move to the appropriate level continuously staying in tune with changing market conditions. (Members who are not already familiar with the many valuable applications of Average True Range should be sure to review Bulletins #10 11 13 14.)

In Dr. Van K. Tharp's excellent book Trade Your Way to Financial Freedom he refers to a study he conducted to demonstrate that an effective exit strategy could produce profits even with rom entries. We were not surprised to see that the exit methodology he used to produce the profitable test results across a diversified portfolio of futures markets was the Chelier Exit. (Tharp used three ATRs trailing the highest or lowest close used a ten-day exponential moving average to calculate the ATR.)


Protecting Open Profits

When we discussed the Channel Exit in Bulletin #34 we suggested that at the beginning of a trade we should use a wide stop then as profits are accumulated tighten the stop by reducing the number of bars in the Channel. The same profit-protection logic can be applied using the Chelier Exit. At the beginning of a trade the distance to the stop in most futures markets should probably be in the neighborhood of 2.5 to 4 Average True Ranges. As the trade becomes increasingly profitable we can bring the stop closer by reducing the units of ATR the high to our stop.

Let's assume that we started with 3 ATRs at the beginning of the trade. After we have reached our first profit level we might tighten the stop to trail the high point at only 1.5 ATRs. After the second profit level is reached we might want to tighten the trailing stop to only one ATR. We have had good results with some highly profitable trades by trailing exits as close as a half an ATR. We have found that some markets have better trending characteristics than others we prefer to adjust the trailing stops on a market by market basis so there is no universal formula that we would recommend. The important message we want to convey is that to capture the imum profit potential of trend-following trades the trailing stops need to be tightened as significant profits are accumulated.

Keep in mind that although the highs used to hang the Chelier move only upward the changes in volatility can shorten or lengthen the distance to the actual stop. If you want to see less fluctuation in the stop distance use a longer moving average to calculate ATR. If you want the stop placement to be more adaptive to changing market conditions use a shorter moving average. We normally use about twenty bars to calculate the ATR unless there is a specific reason to adjust it. In our experience the use of very short averages (3 or 4 bars) for the ATR can often create problems when there are brief periods of small ranges that tend to bring the stops too close. These abnormally close stops may cause us to exit prematurely. If we want to have a short highly adaptive ATR without risking placing stops that are too close we can calculate a short average a longer average (maybe four bars twenty bars) use the average that produces the widest stop. This technique allows our stops to move away quickly during periods of high volatility without the risk of being unnecessarily whipsawed during brief periods of low volatility.

Combining the Channel Exit the Chelier

We like to start our trades with the trailing Channel Exit then add the Chelier Exit after the price has moved away our entry point so that the open trade is profitable. The Channel Exit is pegged at a low point does not move up as new profits are reached. The Channel Exit will move up only when enough time has passed that the previous low is dropped the data period of the channel. The Channel Exit moves up very gradually over time but it does not move up relative to any recent highs that are being made. This is why we need the Chelier Exit in place to make sure that our exits are never too far away the high point of the trade.

By combining the two exit techniques we can use the Channel Exit as an appropriate stop that very gradually rises at the beginning of the trade. However if the trade makes a run in our favor the prices will quickly move very far away our slowly trailing Channel Exit. Once we are profitable we need to have a better exit that protects more of our profit. At this point it would make sense to switch to the Chelier Exit which will rise instantly whenever new highs are reached. This valuable feature of the Chelier makes it one of our most logical exits our profitable trades.