Indicators: risk and stops (ATR stop, Chandelier, MAE)
The risk family draws theoretical stop and target geometry from bars: ATR stops, Chandelier exits, a volatility stop, R-multiple levels, MAE in ticks, daily range projection, volatility regime, drawdown and run-up, range expansion streak, session risk budget and gap fill level. None of them are orders.
Senzoukria · Documentation · Updated September 2026
Where to find it
- Where
- Chart → Indicators button → groups Volatility and Profiles & levels
- Studies
- atr-stop-long, atr-stop-short, chandelier-exit-long, chandelier-exit-short, volatility-stop, risk-reward-levels, max-adverse-excursion, daily-range-projection, volatility-regime, drawdown-from-high, runup-from-low, consecutive-range-expansion, session-risk-budget, gap-fill-level
- ATR
- Wilder ATR shared with the atr study: seed = mean of the first N true ranges, then (ATR·(N−1)+TR)/N
- Orders
- No level here is sent to a broker; the studies know no position, account or size
What the levels are
ATR Stop (long) is close − mult × ATR and ATR Stop (short) is close + mult × ATR, delivered as two separate studies so the stop of the direction you do not hold is not permanent noise. Their guide cards are explicit: a graphical reference that can move against you, with no entry or trailing state. Chandelier Exit (long) is the highest high of N bars minus mult × ATR over the same N; the short version mirrors it from the lowest low. Volatility Stop is a single line that ratchets (max of the previous stop and close − mult × ATR in a long regime) and flips side when the close crosses the previous bar's stop strictly.
Risk/Reward Levels anchors R = mult × ATR at the close of the last loaded bar and draws −1R, 1R, 2R and 3R to the right edge; with no ATR yet or R ≤ 0 nothing is drawn. Max Adverse Excursion is the signed move against the bar's own direction from its open, in ticks: low − open for an up bar, high − open otherwise, exact integer tick arithmetic, no point without a tick size.
Daily Range Projection draws session open ± the mean range of the N previous sessions. Volatility Regime is ATR fast / ATR slow, a dimensionless ratio. Drawdown from High and Run-up from Low are the percentage distance of the close from the N-bar high or low. Range Expansion Streak counts consecutive bars whose range strictly exceeds the previous one. Session Risk Budget is the developing session range divided by the mean range of the N previous sessions, in percent. Gap Fill Level is the previous session close, shown only while price has never touched it since the session opened.
Settings
| Study | Setting | Default | What it changes |
|---|---|---|---|
| ATR Stop (long) / (short) | ATR period / ATR multiplier | 14 (1 to 200) / 2 (0.1 to 10) | ATR length and distance from the close |
| Chandelier Exit (long) / (short) | Period / ATR multiplier | 22 / 3 | One period for both the extreme window and the ATR |
| Volatility Stop | ATR period / ATR multiplier | 14 / 3 | ATR length and ratchet distance |
| Risk/Reward Levels | ATR period / R = ATR × | 14 / 1.5 | ATR length and size of one R |
| Max Adverse Excursion | Positive/Negative color, Smoothing | red / green / 1 | Histogram colors and post-smoothing |
| Daily Range Projection | Sessions | 20 (2 to 200) | Previous sessions in the average range |
| Volatility Regime | Fast ATR period / Slow ATR period | 14 (1 to 200) / 100 (2 to 1000) | Numerator and denominator ATR lengths |
| Drawdown from High / Run-up from Low | Lookback (bars) | 50 (2 to 1000) | Window of the reference extreme |
| Range Expansion Streak | Positive/Negative color, Smoothing | orange / gray / 1 | Histogram colors; no period, it compares with the previous bar only |
| Session Risk Budget | Reference sessions | 5 (1 to 60) | Previous sessions in the mean range |
| Gap Fill Level | Color | orange | Level color |
Warm-up and gaps
- Every ATR-based line is null for the first N bars. Chandelier needs a full window and a defined ATR, which coincide at bar N−1.
- Rolling extremes (Chandelier, drawdown, run-up) wait until the window is full; a 22-bar high computed on 3 bars would misstate its period.
- Zero denominators produce no value: a zero slow ATR, a zero mean session range or a non-positive price reference all leave a gap rather than 0 %.
- Session-based studies (Daily Range Projection, Session Risk Budget, Gap Fill Level) use the source session convention; the others are continuous and do not reset.
Limits
- ATR values are not rounded to the instrument tick.
- Session Risk Budget is not an account loss limit; its guide card says so, and partial history biases the baseline.
- The first loaded session may be truncated by the left edge of the chart, which under-estimates its range in the Daily Range Projection average; load more than N sessions.
- Nothing here places, modifies or cancels an order. Trading actions stay in the order ticket and the explicitly armed autopilot.
Related pages
- Session structure and pivots
- Developing profile levels
- ATR Stop (long)
- Chandelier Exit (long)
- Session Risk Budget
This page in other languages
Frequently asked questions
- Why are the long and short ATR stops separate studies?
- A stop for the direction you are not in would be permanent visual noise, so the long and short sides ship as separate studies, each with its own colour and on/off switch.
- Does Volatility Stop reverse on a close equal to the stop?
- No. The break test is strict and uses the previous bar's stop, so a close exactly equal to it does not flip the regime.
- Is Max Adverse Excursion based on my trades?
- No. It measures each bar against its own open and final direction, in ticks. It is not tied to a recorded entry; the trade journal handles real fills.