Chandelier Exit

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

// C# usage syntax
IReadOnlyList<ChandelierResult> results =
  bars.ToChandelier(lookbackPeriods, multiplier, type);

Parameters

param	type	description
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	Direction	Direction of exit. Default is Direction.Long.

Historical price bars requirements

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

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

Direction enum options

The direction of a held trade position

enum	int	description
Direction.Long	0	Long trade positions
Direction.Short	1	Short trade positions

Response

IReadOnlyList<ChandelierResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• 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

property	type	description
Timestamp	DateTime	Date from evaluated TBar
ChandelierExit	double	Exit line

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

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

// example
var results = bars
    .ToChandelier(..)
    .ToEma(..);

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

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

ChandelierList chandelierList = new(lookbackPeriods, multiplier, type);

foreach (IBar bar in bars)  // simulating stream
{
  chandelierList.Add(bar);
}

// based on `ICollection<ChandelierResult>`
IReadOnlyList<ChandelierResult> results = chandelierList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
ChandelierHub observer = barHub.ToChandelierHub(lookbackPeriods, multiplier, type);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<ChandelierResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.