/*
Author: DrZingaro
E-mail: drzingaro@gmail.com

Turtle trading experimemnt Chandelier exit based on Chuck Lebeau's work
*/
//=============================SETUP================ ======================

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();