Description
A trailing stop indicator that adapts to market volatility using ATR and rolling extremes.
Implementation Logic
Implement a two-pass extreme calculation. Pass one utilizes the ATR and rolling extremes over period p to create initial high and low stops. Pass two smooths these initial stops by finding their rolling extremes over a secondary period q. This requires strict sequential ordering in the data pipeline.
Suggested Package
volatility
Labels
Description
A trailing stop indicator that adapts to market volatility using ATR and rolling extremes.
Implementation Logic
Implement a two-pass extreme calculation. Pass one utilizes the ATR and rolling extremes over period p to create initial high and low stops. Pass two smooths these initial stops by finding their rolling extremes over a secondary period q. This requires strict sequential ordering in the data pipeline.
Suggested Package
volatilityLabels