The Chandelier Exits trend dangles a multiple of Average True Range from Highs during an up-trend and adds them to Lows during a down-trend. There are several similar systems that use ATR, each with their own strengths and weaknesses. The RJ CRB Commodities Index late 2008 down-trend is displayed with Chandelier Exit (short, 22 days and 3 x ATR) and 63-day exponential moving average used as a trend filter. Entries are taken when price makes a new 5-day low while below the moving average (or 5-day high when above the MA).
1. Go short [S] when price is below the Chandelier Exit and closes below the 63-day exponential moving average
2. Exit [X] when price crosses above the Chandelier Exit
3. Go short [S] when price makes a new 5-day low while below the 63-day exponential moving average
4. Exit [X] when price crosses above the Chandelier Exit
5. Go short [S] when price makes a new 5-day low while below the 63-day exponential moving average
6. Exit [X] when price crosses above the Chandelier Exit