Chandelier Exit
The Chandelier Exit is an ATR-based trailing stop-loss indicator developed by Chuck LeBeau that hangs a stop price a fixed number of ATR multiples below the highest high (for long positions) or above the lowest low (for short positions) reached since trade entry.
Chuck LeBeau, co-author of Computer Analysis of the Futures Market (1992), designed the Chandelier Exit as a technically rigorous, volatility-adaptive method for trailing stops in trending positions. The name derives from the visual: the stop 'hangs' from the ceiling (the highest high of the trade) like a chandelier.
The calculation for a long position is: Chandelier Exit (Long) = Highest High over the lookback period - (ATR × Multiplier). The standard parameters are a 22-period lookback and a multiplier of 3.0, though these are adjustable. As price advances to new highs, the highest high rises and the trailing stop rises with it — always maintaining the same ATR-multiple distance below the ceiling. The stop can only move upward for a long position, never downward, ensuring that profits are locked in as price advances.
The ATR component makes the Chandelier Exit adaptive to market volatility. In a low-volatility, smoothly trending environment (such as a large-cap stock in a steady uptrend), the ATR is small and the stop trails relatively close to price, locking in profits efficiently. In a high-volatility environment — such as during NSE's results season or index expiry weeks — the ATR expands and the stop widens, giving the position more room to breathe and reducing the probability of being stopped out by a temporary spike.
A key feature distinguishing the Chandelier Exit from a simple percentage trailing stop is its responsiveness to changes in realised volatility. If a stock's daily ATR doubles due to an earnings shock, the Chandelier stop automatically adjusts to reflect the new volatility regime, maintaining a consistent risk-to-volatility relationship throughout the hold.
In Indian equity markets, the Chandelier Exit is particularly valued by positional traders who hold Nifty 500 stocks for weeks to months. The 22-period ATR represents roughly one calendar month of trading days, making the standard Chandelier a monthly-volatility-anchored trailing stop on daily charts. It is available as a built-in indicator on TradingView (label: 'Chandelier Exit'), and third-party AFL implementations are widely available for Amibroker users in India.