/* 
Formula Name: Turtle trading system 
Author/Uploader: DrZingaro 
E-mail: drzingaro@gmail.com 
Date Added: 2009-01-12 
Origin: Turtle trading experimemnt Chandelier exit based on Chuck Lebeau's work 
Keywords: Trend trading 
Level: Basic 
Flags: System 
*/ 
//=============================SETUP================ ====================== 
//Strengths: volatility-based. 
//Weaknesses: lag AND since volatility increases at the end of a trend, traders exits early. 
//Description: Indicator is used to keep track of a trade. Once a stop is hit, it waits for the next entry Signal (Short OR long). Use on DAILY values only. 
//Algorithm: Lebeau recommends that an exits hangs from the HHV (long) OR LLV (Short) since the trade was triggered. Some traders use the Highest Close as the base for hanging the exit. 

pds = 20; 
MAFAST = EMA( Close, 20 ); 
MASLOW = EMA( Close, 40 ); 

DonchianUpper = HHV( Ref( H, -1 ), pds ); // Highest high value of highs in last 20 periods 
DonchianLower = LLV( Ref( L, -1 ), pds ); // Lowest low value of low in last 20 periods 
DonchianMiddle = ( DonchianUpper + DonchianLower ) / 2; 

UpTrend = C > ( LLV( L, 20 ) + 2 * ATR( 10 ) ) AND EMA( Close, 20 ) > EMA( Close, 40 ); 
DnTrend = C < ( HHV( H, 20 ) - 2 * ATR( 10 ) ) AND EMA( Close, 20 ) < EMA( Close, 40 ); 
Color = IIf( UpTrend, colorBlue, IIf( DnTrend, colorOrange, colorCustom11 ) ); 

// Plots a 20 period Donchian channel 
Plot( C, "Price", Color, styleBar | styleThick ); 
Plot( DonchianUpper, "Donchian U", ParamColor( "DU Color", colorBlue ), ParamStyle( "DU Style", styleLine ) ); 
Plot( DonchianMiddle, "Donchian M", ParamColor( "DM Color", colorBrightGreen ), ParamStyle( "DM Style", styleNoLine ) ); 
Plot( DonchianLower, "Donchian L", ParamColor( "DL Color", colorRed ), ParamStyle( "DL Style", styleLine ) ); 

Title = WriteVal( DonchianUpper, 1.2 ) + WriteVal( DonchianLower, 1.2 ) + WriteVal( DonchianMiddle, 1.2 ); 
//=============================TRIGGERS AND ENTRIES======================= 
Buy = High > Ref( HHV( High, 20 ), -1 ) AND MAFAST > MASLOW; // Enters long trade 

Short = Low < Ref( LLV( Low, 20 ), -1 ) AND MAFAST < MASLOW; // Enters short trade 



//=============================EXITS================ ====================== 
_SECTION_BEGIN( "Chandelier Exit" ); 

SetBarsRequired( 50, 50 ); 

Multiple = Param( "Multiple", 3, 0.5, 10, 0.1 ); // How many ATR’s to be allowed below the highest high since latest "buy" bar 
ATRPeriods = Param( "ATR Periods", 20, 1, 50, 1 ); // How many periods to use for the ATR 

stopArray = Null; 
atrArray = ATR( ATRPeriods ); 
HHArray = Null; 
LLArray = Null; 
exitArray = Null; 
trendDirection = 0; 

for ( i = 0; i < BarCount; i++ ) 
{ 
    if ( Short[i] ) 
    { 
        // we just triggered a short trade. Set up starting values 
        stopArray[i] = Low[i] + ( Multiple * atrArray[i] ); 
        LLArray[i] = Low[i]; // initialize the lowest low array 
        trendDirection = 0 - 1; // going short. Base bar. 
    } 

    if ( Buy[i] ) 
    { 
        // we just triggered a long trade. Set up starting values 
        stopArray[i] = High[i] - ( Multiple * atrArray[i] ); 
        HHArray[i] = High[i]; // initialize the highest high array 
        trendDirection = 1; // going long. Base bar flag is now set. 
    } 

    exitArray[i] = 0; 

    if ( trendDirection > 0 ) 
    { 
        // keep track of the highest high, highest close, highest low, etc.. 
        if ( trendDirection > 1 ) 
        { 
            // We are in the trade (2nd day or later) 
            if ( Low[i] < stopArray[i-1] ) 
            { 
                //stop got hit. Reset the trade. 
                trendDirection = 0; // OK. wait until we trigger another trade. 
                exitArray[i] = 1; 
            } 
            else 
            { 
                // keep track of the HHV since trade was entered. 
                if ( High[i] > HHArray[i-1] ) 
                    HHArray[i] = High[i]; 
                else 
                    HHArray[i] = HHArray[i-1]; 

                // Compute the stop based on the HHV. 
                stopArray[i] = HHArray[i] - ( Multiple * atrArray[i] ); 
            } 
        } 

        trendDirection = trendDirection + 1; 
    } 

    if ( trendDirection < 0 ) 
    { 
        // keep track of the lowest low, lowest close, lowest high, etc.. 
        if ( trendDirection < 0 - 1 ) 
        { 
            // We are in the trade (2nd day or later) 
            if ( High[i] > stopArray[i-1] ) 
            { 
                // our stop got hit. Reset the trade. 
                trendDirection = 0; 
                exitArray[i] = 0 - 1; 
            } 
            else 
            { 
                // keep track of the LLV since trade was entered. 
                if ( Low[i] < LLArray[i-1] ) 
                    LLArray[i] = Low[i]; 
                else 
                    LLArray[i] = LLArray[i-1]; 

        // Compute the stop based on the LLV. 
                stopArray[i] = LLArray[i] + ( Multiple * atrArray[i] ); 
            } 
        } 

        trendDirection = trendDirection - 1; 
    } 

    if ( trendDirection == 0 ) 
    { 
        stopArray[i] = 0; 
        LLArray[i] = 0; 
        HHArray[i] = 0; 
    } 
} 

Sell = Cover = exitarray; 

Buy = ExRem( Buy, Sell ); 
Sell = ExRem( Sell, Buy ); 
Short = ExRem( Short, Cover ); 
Cover = ExRem( Cover, Short ); 

PlotShapes( Buy*shapeUpArrow, colorBrightGreen, 0, Low ); 
PlotShapes( Short*shapeDownArrow, colorRed, 0, High ); 
PlotShapes( abs( exitArray )*shapeHollowCircle, colorYellow, 0, ValueWhen( stopArray, stopArray, 1 ), 0 ); 
Plot( stopArray, "Chand", ParamColor( "Chand Color:", colorYellow ), ParamStyle( "Chand Style", styleDashed ) ); 

_N( Title = EncodeColor( colorYellow ) + StrFormat( "{{NAME}} - {{INTERVAL}} - {{DATE}}--Turtle_System_Rev_A \n OP= %g Hi= %g Lo= %g CL= %g (%.1f%%) \n Vol= " + WriteVal( V, 1.0 ) + "\n" + " {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ) );//=cnb 

//_N(Title = "LLArray: " + LLArray + ", HHArray:" + HHArray +", stopArray"+stopArray); 

//PlotShapes(shapeCircle * Sell, colorRed); 
//PlotShapes(shapeCircle * Cover, colorGreen); 
_SECTION_END();