ChandeKrollStopDownReturn value of the technical indicator “Chande Kroll Stop” upper band, usually used for placing stoploss on long positions.
Syntax:
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ChandeKrollStopDown[Pp,Qq,X] |
This indicator is a potential stop for a long position. It is displayed as a green line overlaid on the price chart. The green line is the stop level for a long position.
Calculation :
First low stop = Lowest[p](low) + x * Average True Range[p]
Stop long = Lowest[q](first low stop)
The parameters which the user can set include : the number of periods for the calculation of the average true range (default : 20), the multiplier in the formula (default : 3).
Interpretation :
This indicator is a potential stop for any position (short or long). It is calibrated on the true range and for this reason, it is independent from the security’s volatility. Remember, true range is the highest in the absolute of the 3 following values :
(today’s high – today’s low)
(today’s high – yesterday’s close)
(today’s low – yesterday’s close)
The difference is proportionnal to the average true range of P bars.
It is possible to place a buy upon breakout of the upper band and a stop sell upon breakout of the lower band.
Example:
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i1 = ChandeKrollStopDown[10,20,3] //initiate a short position when price cross the ChandeKrollStop lower band if(Open>i1 AND Close<i1) THEN SELLSHORT 1 share AT MARKET ENDIF |
Bonsoir
je pense qu’il y a une erreur dans la formule :
Il faut remplacer “high” par “LOW”
FAUX => First low stop = Lowest[p](high) + x * Average True Range[p]
CORRIGE => First low stop = Lowest[p](LOW) + x * Average True Range[p]
Avec cette correction on retrouve les mêmes données que la fonction : ChandeKrollStopDown[10,20,3]
@+ RV
Merci beaucoup, en effet il s’agit bien d’une erreur dans la description, je viens de la corriger 🙂