// CHANDELIER EXIT
public static IEnumerable <ChandelierResult> GetChandelier(
IEnumerable <Quote> history, int lookbackPeriod = 22,
decimal multiplier = 3.0m, ChandelierType type = ChandelierType.Long)
{
// clean quotes
Cleaners.PrepareHistory(history);
// validate inputs
ValidateChandelier(history, lookbackPeriod, multiplier);
// initialize
List <Quote> historyList = history.ToList();
List <ChandelierResult> results = new List <ChandelierResult>();
List <AtrResult> atrResult = GetAtr(history, lookbackPeriod).ToList(); // uses ATR
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
ChandelierResult result = new ChandelierResult
{
Index = (int)h.Index,
Date = h.Date
};
// add exit values
if (h.Index >= lookbackPeriod)
{
List <Quote> period = historyList
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.ToList();
decimal atr = (decimal)atrResult[i].Atr;
switch (type)
{
case ChandelierType.Long:
decimal maxHigh = period.Select(x => x.High).Max();
result.ChandelierExit = maxHigh - atr * multiplier;
break;
case ChandelierType.Short:
decimal minLow = period.Select(x => x.Low).Min();
result.ChandelierExit = minLow + atr * multiplier;
break;
default:
break;
}
}
results.Add(result);
}
return(results);
}
// CHANDELIER EXIT
public static IEnumerable <ChandelierResult> GetChandelier <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 22,
decimal multiplier = 3.0m,
ChandelierType type = ChandelierType.Long)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateChandelier(history, lookbackPeriod, multiplier);
// initialize
List <ChandelierResult> results = new List <ChandelierResult>(historyList.Count);
List <AtrResult> atrResult = GetAtr(history, lookbackPeriod).ToList(); // uses ATR
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
ChandelierResult result = new ChandelierResult
{
Date = h.Date
};
// add exit values
if (index >= lookbackPeriod)
{
decimal atr = (decimal)atrResult[i].Atr;
switch (type)
{
case ChandelierType.Long:
decimal maxHigh = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
if (d.High > maxHigh)
{
maxHigh = d.High;
}
}
result.ChandelierExit = maxHigh - atr * multiplier;
break;
case ChandelierType.Short:
decimal minLow = decimal.MaxValue;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
if (d.Low < minLow)
{
minLow = d.Low;
}
}
result.ChandelierExit = minLow + atr * multiplier;
break;
default:
break;
}
}
results.Add(result);
}
return(results);
}
// CHANDELIER EXIT
public static IEnumerable <ChandelierResult> GetChandelier(
IEnumerable <Quote> history, int lookbackPeriod = 22, decimal multiplier = 3.0m, string variant = "long")
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// validate inputs
ValidateChandelier(history, lookbackPeriod, multiplier, variant);
// initialize
List <ChandelierResult> results = new List <ChandelierResult>();
IEnumerable <AtrResult> atrResult = GetAtr(history, lookbackPeriod); // uses ATR
decimal prevClose = 0;
// roll through history
foreach (Quote h in history)
{
ChandelierResult result = new ChandelierResult
{
Index = (int)h.Index,
Date = h.Date
};
// add exit values
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
decimal atr = (decimal)atrResult
.Where(x => x.Index == h.Index).FirstOrDefault().Atr;
switch (variant)
{
case "long":
decimal maxHigh = period.Select(x => x.High).Max();
result.ChandelierExit = maxHigh - atr * multiplier;
result.IsExitCross = (prevClose >= result.ChandelierExit && h.Close < result.ChandelierExit);
result.IsCrossed = (h.Close < result.ChandelierExit);
break;
case "short":
decimal minLow = period.Select(x => x.Low).Min();
result.ChandelierExit = minLow + atr * multiplier;
result.IsExitCross = (prevClose <= result.ChandelierExit && h.Close > result.ChandelierExit);
result.IsCrossed = (h.Close > result.ChandelierExit);
break;
default:
break;
}
}
prevClose = h.Close;
results.Add(result);
}
return(results);
}
// CHANDELIER EXIT
public static IEnumerable <ChandelierResult> GetChandelier(
IEnumerable <Quote> history, int lookbackPeriod = 22,
decimal multiplier = 3.0m, ChandelierType type = ChandelierType.Long)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// validate inputs
ValidateChandelier(history, lookbackPeriod, multiplier);
// initialize
List <ChandelierResult> results = new List <ChandelierResult>();
List <AtrResult> atrResult = GetAtr(history, lookbackPeriod).ToList(); // uses ATR
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
ChandelierResult result = new ChandelierResult
{
Index = (int)h.Index,
Date = h.Date
};
// add exit values
if (h.Index >= lookbackPeriod)
{
decimal atr = (decimal)atrResult[i].Atr;
switch (type)
{
case ChandelierType.Long:
decimal maxHigh = 0;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
if (d.High > maxHigh)
{
maxHigh = d.High;
}
}
result.ChandelierExit = maxHigh - atr * multiplier;
break;
case ChandelierType.Short:
decimal minLow = decimal.MaxValue;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
if (d.Low < minLow)
{
minLow = d.Low;
}
}
result.ChandelierExit = minLow + atr * multiplier;
break;
default:
break;
}
}
results.Add(result);
}
return(results);
}
