ATR TRAILING STOP

• 09/24/2019 at 2:20 PM #108357
  Nicolas

  There was a mistake in the code, i was trying to work with old levels to compute the new higher/lower Close.. 🙄

  Anyway, you can download the modified version in the library.

  1 user thanked author for this post.

  simoncar

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  09/24/2019 at 11:16 PM #108397
  simoncar

  Hi Nicolas, thanks for the fix. I’ve attached a Daily chart of TPM on the ASX just to highlight some little issues. I set the trailing stop to 5 x ATR(14).

  Kind Regards Simon

  Edit. I took another screenshot of the chart to see if it displayed better

  

  simoncar

  Participant

  Topics: 1

  Replies: 13

  Been thanked: 0 times
  09/25/2019 at 8:06 AM #108405
  Nicolas

  The trailing stop stay horizontal because the new calculated value is not superior to the previous one. If the ATR decrease, what value do you consider to add to the current trailing stop line to make it go up in this case?

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  09/25/2019 at 9:32 AM #108413
  simoncar

  All the following is based on a long position example.

  The current trailing stop line should just hang 2X ATR(14) from the highest close.

  For a new higher close, the trailing stop immediately moves up to be 2x ATR(14) under the new higher closing price.

  Once a new bar closes lower , the 2x ATR(14) value of that bar is now deducted from the previous highest close.

  If the current bars 2xATR(14) deducted from the highest close means the trailing stop would now hang further away, it stays horizontal.

  If the current bars 2x ATR(14) deducted from the highest close means the trailing stop would now be closer to current price, it steps up.

  It now steps up to hang down  2xATR(14) from that prior highest close.

  Hope that makes sense.

  Basically it would be a very responsive trailing stop that sometimes moves every single bar if volatility is decreasing but we are not getting new higher closes.

  The work you’ve done so far is great. The indicator is getting extremely close to perfect.

  Kind Regards Simon

  

  simoncar

  Participant

  Topics: 1

  Replies: 13

  Been thanked: 0 times
  09/25/2019 at 11:03 AM #108417
  Nicolas

  simoncar wrote:

  f the current bars 2x ATR(14) deducted from the highest close means the trailing stop would now be closer to current price, it steps up.

  Yes, that’s how it works now, but how it would step up if it can only move up if the ATR is decreasing? The trailing stop line substract ATR*multiplier to the highest close. So if the ATR is decreasing, it can’t go higher than the current trailing stop level.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  09/26/2019 at 3:57 AM #108489
  simoncar

  In a sequence of say 7 bars the trailing stop (ts) should be doing this

  a) close = 1     and       ATR x multiplier= .10      TS=.90

  b) close =1.10  and     ATR x multiplier =.10       TS =1

  c) close = 1.05  and       ATR x multiplier =.10    TS =1         lower close but ts = highest close minus current bars ATR x multiplier

  d) close=1.07  and      ATR x multiplier =.08      TS= 1.02

  e) close=1.04  and       ATR x multiplier =.09    **TS=1.01     Trailing stop can’t move away from price so it stays at 1.02

   

  f) close=1.04   and      ATR x multiplier =.07      TS=1.03

  g) close =1.16    and     ATR x multiplier =.10       TS =1.06   We now have a new higher close that we are deducting our ATR x multiplier from

   

  

  simoncar

  Participant

  Topics: 1

  Replies: 13

  Been thanked: 0 times
  09/26/2019 at 7:37 AM #108490
  simoncar

  So basically we are just calculating volatlity every bar and deducting it from the highest close.  Then hanging down a trailing stop ( from that highest close) that only moves closer or stays horizontal every bar until we have a new higher close OR price closes below the trailing stop. Then it will flip over to be a trailing stop for a short position.

   

  

  simoncar

  Participant

  Topics: 1

  Replies: 13

  Been thanked: 0 times
  09/26/2019 at 9:27 AM #108511
  Nicolas

  Between points c) and d), how do you get the 0.02 value please? Is it the difference of the decreasing ATR x multiplier between 2 last periods?

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  09/26/2019 at 1:55 PM #108601
  simoncar

  Bar C has closed at $1.05        The ATR x multiplier for bar C is .10 ( for example the 14 period ATR was .05 and the multiplier was 2)     The highest closing bar so far has been Bar B         Bar B closed at $1.10    $1.10  minus .10  which is $1.00   So trailing stop moves to $1.00 and sits directly below Bar C

   

  Bar D closes at $1.07              The ATR x multiplier for bar D is .08     The highest closing bar so far has been bar B          Bar B closed at $1.10         $1.10 minus .08 is $1.02             So trailing stop moves to $1.02 and sits directly below Bar D

   

   

   

   

   

  

  simoncar

  Participant

  Topics: 1

  Replies: 13

  Been thanked: 0 times
  09/26/2019 at 2:15 PM #108602
  Nicolas

  Try this version:

  //PRC_Another ATR trailing stop | indicator //24.09.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings p=14 //ATR period mult=2 //multiplier mode=1 //trailing stop mode (0=straight line // --- end of settings atr = AverageTrueRange[p](close) * mult once trend=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=ll //if atr<atr[1] then lllevel=ll+atr if lllevel<ts then ts=lllevel endif //endif r=255 g=0 endif if close crosses over ts then trend=1 if mode>0 then ts=ll endif elsif close crosses under ts then trend=-1 if mode>0 then ts=hh endif endif return ts coloured(r,g,200) style(line,3)

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54

  //PRC_Another ATR trailing stop | indicator //24.09.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge   // --- settings p=14 //ATR period mult=2 //multiplier mode=1 //trailing stop mode (0=straight line // --- end of settings   atr = AverageTrueRange[p](close) * mult   once trend=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=ll //if atr<atr[1] then lllevel=ll+atr if lllevel<ts then ts=lllevel endif //endif r=255 g=0 endif     if close crosses over ts then trend=1 if mode>0 then ts=ll endif elsif close crosses under ts then trend=-1 if mode>0 then ts=hh endif endif     return ts coloured(r,g,200) style(line,3)

  Seems more responsive..

  1 user thanked author for this post.

  Utku Kuzu

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  09/29/2019 at 4:51 AM #108734
  simoncar

  Thanks for your work, looks good so far.

  Regards Simon

  

  simoncar

  Participant

  Topics: 1

  Replies: 13

  Been thanked: 0 times
  09/30/2019 at 10:27 PM #108953
  nfulcher

  I’ve added this indicator to my price chart – however, adjusting the variables (ATR period, multiplier or mode) has no visible effect.

  Am I doing something wrong?

  

  nfulcher

  Participant

  Topics: 1

  Replies: 17

  Been thanked: 0 times
  10/01/2019 at 7:49 AM #108959
  Nicolas

  Because the variables at lines 7,8,9 are not commented, you can delete them or add // before each of them.

  1 user thanked author for this post.

  nfulcher

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4774 times
  10/02/2019 at 9:11 PM #109133
  nfulcher

  Many thanks – I keep making this mistake!!!!

  

  nfulcher

  Participant

  Topics: 1

  Replies: 17

  Been thanked: 0 times
• Author
  Posts