I have developed a slightly different approach that works well for me so far.
I attempt to calculate a very accurate ATR right before opening a new position using something like this:
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ATR = average[max(1,10)](((AverageTrueRange[5](close)[17])+(AverageTrueRange[5](close)[12])+(AverageTrueRange[8](close)[2]))/3) |
Then using this ATR value I calculate the following levels once at open using WF optimization:
- Target i.e. 10*ATR
- Trailing Initiate i.e. 6*ATR
- Stop i.e. 5*ATR
Only once a close beyond the Trailing Initiate level is registered I start trailing. Here is a example of how I do it:
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If longonmarket and close < positionprice + (highest[barindex-tradeindex](close) - positionprice)*0.6 Then Sell at Market ElsIf shortonmarket and close > positionprice - (positionprice - lowest[barindex-tradeindex](close))*0.6 Then Exitshort at Market EndIf |
