Chandelier Exit (Heiken Ashi)

Category: trend, volatility

A trend-following volatility indicator that calculates trailing stops based on Heiken Ashi price action and ATR. It plots entry arrows when the price trend reverses relative to the volatility-adjusted stop level.

Formula

LongStop_{i} = \begin{cases} \max(HH_{HA(n)} - ATR \cdot Mult, LongStop_{i-1}) & \text{if } HA\_Close_{i-1} > LongStop_{i-1} \\ HH_{HA(n)} - ATR \cdot Mult & \text{otherwise} \end{cases} \\ ShortStop_{i} = \begin{cases} \min(LL_{HA(n)} + ATR \cdot Mult, ShortStop_{i-1}) & \text{if } HA\_Close_{i-1} < ShortStop_{i-1} \\ LL_{HA(n)} + ATR \cdot Mult & \text{otherwise} \end{cases} \\ Dir_{i} = \begin{cases} 1 & \text{if } HA\_Close_{i} > ShortStop_{i-1} \\ -1 & \text{if } HA\_Close_{i} < LongStop_{i-1} \\ Dir_{i-1} & \text{otherwise} \end{cases}

Inputs

• ATRPeriod (default: 1)
• ATRMult (default: 0.75)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.