Chande Kroll Stop (CKSTOP)

// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Chande Kroll Stop (CKSTOP)", "CKSTOP", overlay=true)

//@function Chande Kroll Stop — adaptive trailing stop using ATR-smoothed volatility
//          envelopes around rolling extremes, then smoothed through a second window.
//          Stage 1: first_high_stop = HH(p) - m*ATR, first_low_stop = LL(p) + m*ATR
//          Stage 2: StopShort = highest(first_high_stop, x), StopLong = lowest(first_low_stop, x)
//@param atr_period ATR and first-stop extreme lookback (default 10)
//@param multiplier ATR scaling factor (default 1.0)
//@param stop_period Second smoothing window (default 9)
//@returns [stop_long, stop_short] — two overlay stop levels
//@reference Chande & Kroll, "The New Technical Trader" (1994)
//@optimized O(1) per bar using ta.rma, ta.highest, ta.lowest
ckstop(simple int atr_period = 10, simple float multiplier = 1.0, simple int stop_period = 9) =>
    if atr_period < 1
        runtime.error("ATR period must be >= 1")
    if multiplier <= 0
        runtime.error("Multiplier must be > 0")
    if stop_period < 1
        runtime.error("Stop period must be >= 1")

    // True Range
    float tr = na(close[1]) ? high - low : math.max(high - low, math.max(math.abs(high - close[1]), math.abs(low - close[1])))

    // ATR via Wilder's RMA
    float atr = ta.rma(tr, atr_period)

    // Stage 1: First stops (volatility envelope)
    float hh = ta.highest(high, atr_period)
    float ll = ta.lowest(low, atr_period)
    float first_high_stop = hh - multiplier * atr
    float first_low_stop  = ll + multiplier * atr

    // Stage 2: Smoothed stops over stop_period
    float stop_short = ta.highest(first_high_stop, stop_period)
    float stop_long  = ta.lowest(first_low_stop, stop_period)

    [stop_long, stop_short]

// ── Inputs ──
int   i_atr_period  = input.int(10, "ATR Period", minval=1)
float i_multiplier  = input.float(1.0, "Multiplier", minval=0.01, step=0.1)
int   i_stop_period = input.int(9, "Stop Period", minval=1)

// ── Calculation ──
[stop_long, stop_short] = ckstop(i_atr_period, i_multiplier, i_stop_period)

// ── Plot ──
plot(stop_long,  "Stop Long",  color=color.green, linewidth=2)
plot(stop_short, "Stop Short", color=color.red,   linewidth=2)