ATR TRAILING STOP

• 09/22/2019 at 8:42 AM #108134
  simoncar

  Hi everyone, I have imported the ATR STOP  indicator from the library as shown below.  It works great although  I would like the indicator  to move closer to the original stop level if ATR reduces ( but not move further away if ATR increases). In my attached file I have set the trailing stop at 5 x ATR. From the vertical line I have drawn on the chart you can see as ATR reduces, the  trailing stop  remains horizontal. Can someone produce the code that would ratchet the stoploss closer?

  Kind Regards Simon

  // Période p = 14 // Average True Range X ATRx = AverageTrueRange[p](close) * 3.5 // ATRts = ATR Trailing Stop // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF // Cacul de l'ATRts lors de la même tendance IF close > ATRts THEN ATRnew = close - ATRx IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF ELSIF close < ATRts THEN ATRnew = close + ATRx IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF ENDIF return ATRts as "ATR Trailing Stop"

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  // Période p = 14   // Average True Range X ATRx = AverageTrueRange[p](close) * 3.5   // ATRts = ATR Trailing Stop   // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF   // Cacul de l'ATRts lors de la même tendance IF close > ATRts THEN ATRnew = close - ATRx IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF ELSIF close < ATRts THEN ATRnew = close + ATRx IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF ENDIF   return ATRts as "ATR Trailing Stop"

   

  

  simoncar

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  09/22/2019 at 9:31 AM #108137
  Vonasi

  simoncar – Welcome to the forums – please follow the forum rules and always use the ‘Insert PRT Code’ button when posting code to make it easier for others to read. I have tidied up your post for you. 🙂

  

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  09/22/2019 at 9:50 AM #108138
  simoncar

  Hi Vonasi, thanks for the welcome and also for the tidy up.

  Regards Simon

  

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  09/22/2019 at 11:21 AM #108146
  Vonasi

  You could do something like this. If ATR is lower than the previous bars ATR then the distance calculation is adjusted by a factor from 0.1 to 1. This means that if ATR reduces then the stoploss level moves faster towards price.

  // Période p = 14 factor = 0.7 // Average True Range X ATRx = AverageTrueRange[p](close) * 3.5 // ATRts = ATR Trailing Stop // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF // Cacul de l'ATRts lors de la même tendance if atrx < atrx[1] then atrtemp = atrx*factor else atrtemp = atrx endif IF close > ATRts THEN ATRnew = close - ATRtemp IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF endif IF close < ATRts THEN ATRnew = close + ATRtemp IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF endif return ATRts as "ATR Trailing Stop"

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  // Période p = 14 factor = 0.7   // Average True Range X ATRx = AverageTrueRange[p](close) * 3.5   // ATRts = ATR Trailing Stop   // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF   // Cacul de l'ATRts lors de la même tendance if atrx < atrx[1] then atrtemp = atrx*factor else atrtemp = atrx endif   IF close > ATRts THEN   ATRnew = close - ATRtemp IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF endif   IF close < ATRts THEN ATRnew = close + ATRtemp IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF endif   return ATRts as "ATR Trailing Stop"

   

  

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  09/22/2019 at 11:42 AM #108149
  simoncar

  Thanks Vonasi, that looks like exactly what I need. Just noticed on the far right hand side of your attached chart that price breaks down through the trailing stop at around 11,250. Now that the blue and black lines are above the current price, why aren’t they at exactly the same level? Shouldn’t both lines commence at the same point at activation and then the blue line should move closer if ATR reduces?

  Cheers Simon

  

  simoncar

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  09/22/2019 at 3:47 PM #108167
  Vonasi

  That is because the ATR < ATR[1] adjustment is carried out in the code after the initial calculation of the ATRts value. A simple re-organising of the code fixes this hopefully (not tested).

  // Période p = 14 factor = 0.7 // Average True Range X ATRx = AverageTrueRange[p](close) * 3.5 // Cacul de l'ATRts lors de la même tendance if atrx < atrx[1] then atrtemp = atrx*factor else atrtemp = atrx endif // ATRts = ATR Trailing Stop IF close > ATRts THEN ATRnew = close - ATRtemp IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF endif IF close < ATRts THEN ATRnew = close + ATRtemp IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF endif // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF return ATRts coloured(0,0,255)as "ATR Trailing Stop"

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  // Période p = 14 factor = 0.7   // Average True Range X ATRx = AverageTrueRange[p](close) * 3.5   // Cacul de l'ATRts lors de la même tendance if atrx < atrx[1] then atrtemp = atrx*factor else atrtemp = atrx endif   // ATRts = ATR Trailing Stop IF close > ATRts THEN ATRnew = close - ATRtemp IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF endif   IF close < ATRts THEN ATRnew = close + ATRtemp IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF endif   // Inversion de tendance IF close crosses over ATRts THEN ATRts = close - ATRx ELSIF close crosses under ATRts THEN ATRts = close + ATRx ENDIF   return ATRts coloured(0,0,255)as "ATR Trailing Stop"

   

   

   

  

  Vonasi

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  09/22/2019 at 9:24 PM #108184
  Vonasi

  Another way of doing it is to set a flag when the line flips from one side to the other to ensure that no factor is applied at that point.

  p = 14 factor = 0.7 ATRx = AverageTrueRange[p](close) * 3.5 IF close crosses over ATRts THEN ATRts = close - ATRx flag = 1 ELSIF close crosses under ATRts THEN ATRts = close + ATRx flag = 1 ENDIF if atrx < atrx[1] and not flag then atrtemp = atrx*factor flag = 0 else atrtemp = atrx flag = 0 endif IF close > ATRts THEN ATRnew = close - ATRtemp IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF endif IF close < ATRts THEN ATRnew = close + ATRtemp IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF endif return ATRts coloured(0,0,255)as "ATR Trailing Stop"

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  p = 14 factor = 0.7   ATRx = AverageTrueRange[p](close) * 3.5   IF close crosses over ATRts THEN ATRts = close - ATRx flag = 1 ELSIF close crosses under ATRts THEN ATRts = close + ATRx flag = 1 ENDIF   if atrx < atrx[1] and not flag then atrtemp = atrx*factor flag = 0 else atrtemp = atrx flag = 0 endif   IF close > ATRts THEN ATRnew = close - ATRtemp IF ATRnew > ATRts THEN ATRts = ATRnew ENDIF endif   IF close < ATRts THEN ATRnew = close + ATRtemp IF ATRnew < ATRts THEN ATRts = ATRnew ENDIF endif   return ATRts coloured(0,0,255)as "ATR Trailing Stop"

  Note: Code edited 20190923 16:42 as I spotted a cut and paste error!

  

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  09/24/2019 at 5:43 AM #108300
  simoncar

  Thanks for your help Vonasi.  Is it possible to code something like this? Basically an ATR based trailing stop for long or short positions that is user adjustable by ATR period and also a multiplier ( just like supertrend). That hangs from the highest/lowest CLOSE. Once price CLOSES below/above the trailing stop value , the trailing stop line flips to be a trailing stop for opposite position. The trailing stop would be calculated and move per time period bar/candle BUT would never move further away from price ONLY move closer to it.   Like the green line in the attached image ( how it moves with nearly every bar ). But without the little moves away from the current price. I hope this makes sense.

  Regards Simon

  

  simoncar

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  09/24/2019 at 7:54 AM #108313
  Nicolas

  This indicator is the Chandelier exit, here is the explanation and formula:

  Formula and Calculations

  Chandelier Exits show two lines – the chandelier exit long and the chandelier exit short. The exit long is used to close long positions whereas the exit short is used to close short positions. Therefore, the rule of the indicator is to close long positions when the price goes below the exit long and to close short positions when the price goes above exit short.

  The Chandelier long and short are used to compute the value of ATR. Then, using the recommended setting of 22 periods, the Chandelier exit will calculate the highest high or the lowest low for the same period used to calculate ATR. Lastly, subtract the multiple ATR from the figure obtained for the highest high, and add multiple ATR to the value obtained for the lowest low.

  The formulas for the two lines are as follows:

  Chandelier Exit Long: n-day Highest High – ATR (n) x Multiplier

  Chandelier Exit Short: n-day Lowest Low + ATR (n) x Multiplier

   

  Where:

  • N is the default unit period of 22 or the number that the trader chooses.
  • The multiplier is the default 3.0 Average True Range.

  

  Nicolas

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  09/24/2019 at 9:53 AM #108325
  simoncar

  Hi Nicolas, thanks for jumping in to help as well. It’s not the exact Chandelier exit but would act a bit like it. More like the Supertrend indicator.  I’m wanting the indicator to hang from the CLOSE rather than the Chandeliers highest high/lowest low. Also to flip after a CLOSE BELOW whereas the Supertrend flips once the trailing  value is TOUCHED. The Chandelier exit calculates the highest high or the lowest low for the same period used to calculate ATR. I’m wanting the indicator to do something different. Lets say I’ve got a long trade on and my exit is a close below  2x ATR(15) from the highest close.  I’m wanting the indicator  to hang 2 x current bars ATR (15) value down  from the highest close.  I want the trailing stop  to move closer to price every single bar that ATR reduces. If ATR increase from one bar to the next, I want the trailing stop line to remain horizontal rather than moving away from price. When price closes 2x ATR(15) below the highest close in the sequence It flips over to be a trailing stop for a short position. The problem I have with current ATR and Chandelier trailing stops is this. The trailing stop line often remains horizontal for certain periods whereas I would like it to tighten up bar by bar ( closer to price) as volatility decreases.

  Kind Regards Simon

  

  simoncar

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  09/24/2019 at 10:07 AM #108326
  simoncar

  I’ll add an attachment. Excuse the very crude example. From the red arrow ( highest close in sequence ) the supertrend remains horizontal whilst ATR ( in bottom window ) decreases. My drawn in black line is the trailing stop movement I’m hoping for.

  Cheers

  

  simoncar

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  09/24/2019 at 10:41 AM #108330
  Nicolas

  Something like this? Note that the trailing stop is not reset to the highest or lowest close once the trend change, but that could be an option?

  p=14 mult=2 atr = AverageTrueRange[p](close) * mult once trend=1 //once ts=close if close crosses over ts then trend=1 elsif close crosses under ts then trend=-1 endif //ts=ts[1] if trend=1 then hh=max(hh,close) ll=hh if atr<atr[1] then hhlevel=hh-atr if hhlevel>ts then ts=hhlevel endif endif r=0 g=168 else ll=min(ll,close) hh=0 if atr<atr[1] then lllevel=ll+atr if lllevel<ts then ts=lllevel endif endif r=255 g=0 endif return ts coloured(r,g,0) style(line,3)

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  p=14 mult=2   atr = AverageTrueRange[p](close) * mult   once trend=1 //once ts=close   if close crosses over ts then trend=1 elsif close crosses under ts then trend=-1 endif   //ts=ts[1]   if trend=1 then hh=max(hh,close) ll=hh if atr<atr[1] then hhlevel=hh-atr if hhlevel>ts then ts=hhlevel endif endif r=0 g=168 else ll=min(ll,close) hh=0 if atr<atr[1] then lllevel=ll+atr if lllevel<ts then ts=lllevel endif endif r=255 g=0 endif     return ts coloured(r,g,0) style(line,3)

   

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  Nicolas

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  09/24/2019 at 12:07 PM #108341
  simoncar

  Hi Nicolas, WOW THANKYOU!!  I’ve only just studied the blue square area by calculating the ATR (15 ) per bar and it looks great. It creeps closer to price perfectly and exits at the right spot. I set the indicator to 5xATR(15) GREEN and you can see it compared  to Supertrend 5/15 BLUE DASHED LINE.

  I would love that option of it to reset to the highest/lowest close once the trend changes. I hope its not too much trouble for you.

  Many thanks again….the customer support offered by you guys is amazing.

  Regards Simon

  

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  09/24/2019 at 1:16 PM #108350
  Nicolas

  Just added the final version with the 2 different modes in the library, follow the link: Another ATR Trailing Stop

   

  

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  09/24/2019 at 1:44 PM #108352
  simoncar

  Hi Nicolas, just noticed the indicator is doing some strange things. On some charts its performing perfectly and others a bit weird. See attached chart for an example. Although the same chart on a 60 min timeframe seems fine. Note…. I used parameters 5 and 15.

  Regards Simon

  

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