This Thinkscript indicator is a volatility-based trailing stop, similar to the Chandelier Stop. When direction switches from short to long (or vice versa), the initial stop level is a specified number of multiples of the Average True Range (ATR) of the last ‘n’ bars. Then the value is trailed, getting tighter should volatility decrease or price move to new extremes. A close through the stop level signifies a trend change in this indicator; crossing the value and closing back on the other side does not.
https://tos.mx/mE3lJU
https://tos.mx/mE3lJU
thinkScript Code
Code:
# Volatility-Based Trailing Stop
# By Prospectus @ http://readtheprospectus.wordpress.com
#
# Input Declarations:
#
input mult = 3.0; #Multiple of Average True Range to use
input length = 10; #Average True Range period
#
# Input to select Close or High/Low for switching:
#
input Style={default Close, HighLow};
def type;
switch(Style){
case Close:
type=1;
case HighLow:
type=0;
}
#
# Set parameters based on switch selection:
#
def uu=if type then close else high;
def ll=if type then close else low;
def na=double.nan;
#
# Calculate average range for volatility:
#
def atr = expaverage(high-low,length);
#
# Calculate initial short and long volatility stop values:
#
def svs =low+ceil(mult*atr/ticksize())*ticksize();
def lvs =high-ceil(mult*atr/ticksize())*ticksize();
#
# Set up the trailing stop logic:
#
rec shortvs=if isnan(shortvs[1]) then svs else if uu>shortvs[1] then svs else min(svs,shortvs[1]);
rec longvs=if isnan(longvs[1]) then lvs else if ll<longvs[1] then lvs else max(lvs,longvs[1]);
#
# Detect if we breached the trailing stop (close or high/low):
#
def longswitch=if uu>=shortvs[1] and uu[1]<shortvs[1] then 1 else 0;
def shortswitch=if ll<=longvs[1] and ll[1]>longvs[1] then 1 else 0;
#
# This logic remembers the direction and changes when needed:
#
rec direction= compoundvalue(1,if isnan(direction[1]) then 0 else
if direction[1]<=0 and longswitch then 1
else if direction[1]>=0 and shortswitch then -1
else direction[1],0);
#
# Set up the two plots. "na" makes the current value disappear
# if we�re trading in the opposite direction:
#
plot short=if direction>0 then na else shortvs;
plot long=if direction<0 then na else longvs;
#
# Formatting:
#
long.SetDefaultColor(color.dark_green);
long.SetStyle(curve.points);
long.SetLineWeight(5);
short.SetDefaultColor(color.dark_red);
short.SetStyle(curve.points);
short.SetLineWeight(5);
#
# Alerts:
#
def alerttrigger= if direction[1]<=0 and longswitch then 1
else if direction[1]>=0 and shortswitch then 1 else 0;
input alerttext="Alert Text";
# BLOCK CODE BELOW
input UseAlerts = {false, default true};
input AlertType = {default "BAR", "ONCE", "TICK"};
def at=AlertType;
input AlertSound = {"Bell", "Chimes", default "Ding", "NoSound", "Ring"};
alert(alerttrigger AND UseAlerts, alerttext, if at==1 then Alert.ONCE else if at==2 then Alert.TICK else Alert.BAR, AlertSound);
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