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| Original file line number | Diff line number | Diff line change |
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| /* | ||
| * Tulip Indicators | ||
| * https://tulipindicators.org/ | ||
| * Copyright (c) 2010-2019 Tulip Charts LLC | ||
| * Lewis Van Winkle (LV@tulipcharts.org) | ||
| * | ||
| * This file is part of Tulip Indicators. | ||
| * | ||
| * Tulip Indicators is free software: you can redistribute it and/or modify it | ||
| * under the terms of the GNU Lesser General Public License as published by the | ||
| * Free Software Foundation, either version 3 of the License, or (at your | ||
| * option) any later version. | ||
| * | ||
| * Tulip Indicators is distributed in the hope that it will be useful, but | ||
| * WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or | ||
| * FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License | ||
| * for more details. | ||
| * | ||
| * You should have received a copy of the GNU Lesser General Public License | ||
| * along with Tulip Indicators. If not, see <http://www.gnu.org/licenses/>. | ||
| * | ||
| */ | ||
|
|
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| #include "../indicators.h" | ||
| #include <stdio.h> | ||
|
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|
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| int ti_ce_start(TI_REAL const *options) { | ||
| return (int)options[0]; | ||
| } | ||
|
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| /* Name: Chandelier Exit | ||
| * Sources: | ||
| * - Alexander Elder. Come Into My Trading Room, 2002, pp. 180-181. CE, original description | ||
| * ISBN: 9780471225348 | ||
| * - J. Welles Wilder. New Concepts in Technical Trading Systems, 1978, pp. 21-23. ATR, original description | ||
| * ISBN: 9780894590276 | ||
| */ | ||
|
|
||
| int ti_ce(int size, TI_REAL const *const *inputs, TI_REAL const *options, TI_REAL *const *outputs) { | ||
| TI_REAL const *high = inputs[0]; | ||
| TI_REAL const *low = inputs[1]; | ||
| TI_REAL const *close = inputs[2]; | ||
| const int period = options[0]; | ||
| const TI_REAL coef = options[1]; | ||
| TI_REAL *ce_high = outputs[0]; | ||
| TI_REAL *ce_low = outputs[1]; | ||
|
|
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| if (size <= ti_ce_start(options)) return TI_OKAY; | ||
| if (period < 1) return TI_INVALID_OPTION; | ||
|
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| int i; | ||
| TI_REAL atr = 0.; | ||
|
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| #define MAX3(a, b, c) ((a) > (b) ? (a) : (b) > (c) ? (b) : (c)) | ||
| #define TR(i) (MAX3(high[i] - low[i], fabs(high[i] - close[i-1]), fabs(low[i] - close[i-1]))) | ||
|
|
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| for (i = 1; i < period; ++i) { | ||
| atr += TR(i); | ||
| } | ||
| atr /= period; | ||
|
|
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| TI_REAL HP = high[0]; | ||
| int HP_idx = 0; | ||
| TI_REAL LP = low[0]; | ||
| int LP_idx = 0; | ||
| int trail; | ||
|
|
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| /* performance reasons */ | ||
| const TI_REAL smth = (period - 1) / period; | ||
| const TI_REAL per = 1. / period; | ||
|
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| for (i = period; i < size; ++i) { | ||
| atr = atr * smth + TR(i) * per; | ||
|
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| TI_REAL val; | ||
| if (HP <= (val = high[i])) { | ||
| HP = val; | ||
| HP_idx = i; | ||
| } else if (HP_idx < (trail = i - period + 1)) { | ||
| HP = high[trail]; | ||
| HP_idx = i; | ||
| int j; | ||
| for (j = trail+1; j <= i; ++j) { | ||
| if (HP <= (val = high[j])) { | ||
| HP = val; | ||
| HP_idx = j; | ||
| } | ||
| } | ||
| } | ||
| if (LP >= (val = low[i])) { | ||
| LP = val; | ||
| LP_idx = i; | ||
| } else if (LP_idx < (trail = i - period + 1)) { | ||
| LP = low[trail]; | ||
| LP_idx = i; | ||
| int j; | ||
| for (j = trail+1; j <= i; ++j) { | ||
| if (LP >= (val = low[j])) { | ||
| LP = val; | ||
| LP_idx = j; | ||
| } | ||
| } | ||
| } | ||
|
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| *ce_high++ = HP - coef * atr; | ||
| *ce_low++ = LP + coef * atr; | ||
| } | ||
|
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| #undef TR | ||
| #undef MAX3 | ||
|
|
||
| return TI_OKAY; | ||
| } |
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