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ChandelierExit

Incremental, causal technical analysis documentation

Summary

ChandelierExit is RTTA's streaming Chandelier Exit: ATR-based trailing long and short stop levels hung from the rolling highest high and lowest low.

Update API

result = rtta.ChandelierExit(window=22, multiplier=3.0, fillna=True).update(
    close, high, low
)
# result.long_exit, result.short_exit

With fillna=False, both fields are NaN until window samples have been seen and ATR is available.

Theory Of Operation

Chuck LeBeau's Chandelier Exit trails a multiple of ATR below the highest high of the lookback for long positions, and above the lowest low for short positions. The name comes from the stop "hanging" from the extreme like a chandelier. As the extreme ratchets in the trend direction, the exit trails; when price crosses the exit level, the trend may be over.

Recurrence

Let \(C_t, H_t, L_t\) be close, high, low; \(n\) be window (default \(22\)); and \(m\) be multiplier (default \(3.0\)).

\[H^{\max}_t = \max_{0\le i < n} H_{t-i}, \qquad L^{\min}_t = \min_{0\le i < n} L_{t-i}\]
\[A_t = \operatorname{ATR}_n(C_t, H_t, L_t)\]
\[\begin{aligned} \operatorname{long\_exit}_t &= H^{\max}_t - m\, A_t \\ \operatorname{short\_exit}_t &= L^{\min}_t + m\, A_t \end{aligned}\]

Rolling high uses a max extreme; rolling low uses a min extreme. Nested ATR inherits the outer fillna flag.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class ChandelierExit with RollingExtreme highs/lows and ATR. Result fields are long_exit and short_exit. See also ATR.

Reference