BreakEven & Trailing Profit: complete function

• 03/18/2019 at 3:07 PM #93959
  robertogozzi

  The purpose of this code is to:

  • set BreakEven after TRAILSTART profit (in Pips)
  • add a Percentage (BASEPERCENT) to lock in some profits
  • increase that Percentage each STEPSIZE chunk of pips (20% will increase BASEPERCENT by a factor of 0.20, thus, say 30%, would become 36% after the first step, then 43.2 on the second step and so on…) to lock in more profits as they move towards TP
  • make sure the exit price meets the broker’s minimun distance requirements to avoid unpredictable exits

  Breakeven & Trailing Profit

  IF Not OnMarket THEN // // when NOT OnMarket reset values to default values // TrailStart = 30 //30 Start trailing profits from this point BasePerCent = 0.200 //20.0% Profit percentage to keep when setting BerakEven StepSize = 10 //10 Pip chunks to increase Percentage PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk RoundTO = -0.5 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = 7 * pipsize //7 minimun distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN // go ahead only if N+ pips Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN // go ahead only if N+ pips Diff2 = abs(TrailStart - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions) ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF

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  IF Not OnMarket THEN    //    // when NOT OnMarket reset values to default values    //    TrailStart    = 30          //30     Start trailing profits from this point    BasePerCent   = 0.200       //20.0%  Profit percentage to keep when setting BerakEven    StepSize      = 10          //10     Pip chunks to increase Percentage    PerCentInc    = 0.100       //10.0%  PerCent increment after each StepSize chunk    RoundTO       = -0.5        //-0.5   rounds always to Lower integer,   +0.4 rounds always to Higher integer,     0 defaults PRT behaviour    PriceDistance = 7 * pipsize //7      minimun distance from current price    y1            = 0           //reset to 0    y2            = 0           //reset to 0    ProfitPerCent = BasePerCent //reset to desired default value ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN                              //LONG positions    //    // compute the value of the Percentage of profits, if any, to lock in for LONG trades    //    x1 = (close - tradeprice) / pipsize                                     //convert price to pips    IF x1 >= TrailStart THEN                                                //    go ahead only if N+ pips       Diff1         = abs(TrailStart - x1)                                 //difference from current profit and TrailStart       Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO))           //number of STEPSIZE chunks       ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent       ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100%       y1 = max(x1 * ProfitPerCent, y1)                                     //y1 = % of max profit    ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN                             //SHORT positions    //    // compute the value of the Percentage of profits, if any, to lock in for SHORT trades    //    x2 = (tradeprice - close) / pipsize                                     //convert price to pips    IF x2 >= TrailStart THEN                                                //      go ahead only if N+ pips       Diff2         = abs(TrailStart - x2)                                 //difference from current profit and TrailStart       Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO))           //number of STEPSIZE chunks       ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent       ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100%       y2 = max(x2 * ProfitPerCent, y2)                                     //y2 = % of max profit    ENDIF ENDIF IF y1 THEN                                                                 //Place pending STOP order when y1 > 0   (LONG positions)    SellPrice = Tradeprice + (y1 * pipsize)                                 //convert pips to price    //    // check the minimun distance between ExitPrice and current price    //    IF abs(close - SellPrice) > PriceDistance THEN       //       // place either a LIMIT or STOP pending order according to current price positioning   //       IF close >= SellPrice THEN          SELL AT SellPrice STOP       ELSE          SELL AT SellPrice LIMIT       ENDIF    ELSE       //       //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price   //       SELL AT Market    ENDIF ENDIF IF y2 THEN                                                                 //Place pending STOP order when y2 > 0   (SHORT positions)    ExitPrice = Tradeprice - (y2 * pipsize)                                 //convert pips to price    //    // check the minimun distance between ExitPrice and current price    //    IF abs(close - ExitPrice) > PriceDistance THEN       //       // place either a LIMIT or STOP pending order according to current price positioning   //       IF close <= ExitPrice THEN          EXITSHORT AT ExitPrice STOP       ELSE          EXITSHORT AT ExitPrice LIMIT       ENDIF    ELSE       //   //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price   //       EXITSHORT AT Market    ENDIF ENDIF

   

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  robertogozzi

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  05/07/2020 at 12:09 PM #130423
  nonetheless

  Ciao Roberto, thanks for linking to this – looks really interesting, wish I’d seen it months ago.

  If I wanted to convert both the trailing start and step to %, does this look right? not sure if it should be done onmarket or not onmarket?

  IF Not OnMarket THEN // // when NOT OnMarket reset values to default values trailingPercent = .15 stepPercent = .01// TrailStart = tradeprice(1)*(trailingpercent/100) //% Start trailing profits from this point StepSize = tradeprice(1)*(stepPercent/100) //% step

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  IF Not OnMarket THEN // // when NOT OnMarket reset values to default values trailingPercent = .15 stepPercent = .01// TrailStart    = tradeprice(1)*(trailingpercent/100)         //%    Start trailing profits from this point StepSize      = tradeprice(1)*(stepPercent/100)         //% step

   

  

  nonetheless

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  05/07/2020 at 1:20 PM #130442
  robertogozzi

  No, it changes the logic, other lines need to be changed.

  I will try to do it asss asap.

  

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  05/08/2020 at 11:55 AM #130605
  nonetheless

  robertogozzi wrote:

  it changes the logic

  yes, I see that now – both TrailStart and Stepsize are used in the calculation. I didn’t look at it that closely. Never mind, I can use it as is with fixed values. Thanks again.

  

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  05/08/2020 at 7:35 PM #130664
  nonetheless

  Astonishing result – is this even possible? to change one component and double the profit? Kills the %win but who cares. Left is with Nicolas’s %TS, right is yours with these settings:

  TrailStart = 24 //30 Start trailing profits from this point BasePerCent = 10 //20.0% Profit percentage to keep when setting BerakEven StepSize = 2.5 //10 Pip chunks to increase Percentage PerCentInc = 2 //10.0% PerCent increment after each StepSize chunk

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  TrailStart    = 24          //30     Start trailing profits from this point BasePerCent   = 10       //20.0%  Profit percentage to keep when setting BerakEven StepSize      = 2.5          //10     Pip chunks to increase Percentage PerCentInc    = 2       //10.0%  PerCent increment after each StepSize chunk

  Scarcely believable. Unfortunately I’ve not seen this kind of improvement on other algos, but there is always an improvement (and always at the cost of reduced %win).

  Sei un genio, grazie mille!

  

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  05/08/2020 at 8:13 PM #130668
  robertogozzi

  Did you change the logic?

  Because the logic I used when I wrote it was such that

  BasePerCent = 10

  1	BasePerCent   = 10

  assigns BasePerCent a percentage of 1000%, which means that any trade will be exited as soon as it reaches 24 pips.

  10%, as I wrote it, should be 0.1.

  But this may be positive if it yields more profits, provided drawdown doesn’t increase much.

   

  

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  05/08/2020 at 8:36 PM #130671
  nonetheless

  Ah, that would explain a few things. I saw the 20% rem’d out and overlooked that you had already calculated the % as a decimal. Same with PerCentInc. Strange though, that the optimiser was happy to work with integer values for both of those. I’ll run it again with decimal values.

  

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  05/08/2020 at 9:07 PM #130672
  nonetheless

  Ok, sanity is restored, all’s right with the world. A modest improvement of every metric – this is much better.

  TrailStart = 25 //30 Start trailing profits from this point BasePerCent = .05 //20.0% Profit percentage to keep when setting BerakEven StepSize = 6 //10 Pip chunks to increase Percentage PerCentInc = .02 //10.0% PerCent increment after each StepSize chunk

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  TrailStart    = 25        //30     Start trailing profits from this point BasePerCent   = .05       //20.0%  Profit percentage to keep when setting BerakEven StepSize      = 6          //10     Pip chunks to increase Percentage PerCentInc    = .02       //10.0%  PerCent increment after each StepSize chunk

   

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  05/20/2020 at 10:33 AM #132382
  stefou102

  Hello Roberto,

  trying your code, I have found that in the following case, the code is bugging.

  Case: if you have one big candle where your profit jump in one shot, and you use a small Stepsize parameter, then ProfitPerCent becomes huge and so does the sellprice/exitprice vs latest price

  

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  05/20/2020 at 11:04 AM #132388
  robertogozzi

  That’s what I intended to do, just increase the percentage as chunks (lines 20-23 and 32-35) of StepSize profits show.

  I understand what you mean, you can address it by decreasing PerCentInc or  increasing StepSize or, say, halving chunks (adding a line between 21 and 22):

  Chunks1       = max(1,Chunks1 * 0.50) //no need to round it

  1	Chunks1       = max(1,Chunks1 * 0.50)    //no need to round it

  the same between lines 33-34 with Chunks2.

   

  

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  05/20/2020 at 11:07 AM #132389
  robertogozzi

  You could also add a check that this adjustment be done only when chunks are more than N or when a candle’s body is, say, twice its 20-period average.

  There’s no limit to further development and customization.

   

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  08/06/2020 at 1:37 PM #141006
  christofferR

  Hi,

  Will this code overwrite a stop loss sett at opening of a position?

  Or is it possible to modify this so a stop loss is created at opening and then starts trailing if the position is plus?

   

  Best,

  Christoffer

  

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  08/06/2020 at 1:56 PM #141010
  robertogozzi

  You should also use SET STOP LOSS, since they are different and can be used together.

  This code deals only with trailing stop, not the stop itself.

  

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  11/24/2020 at 9:29 PM #151457
  FKNO

  Hello Roberto,

  Thank you for this very nice piece of code! I’m very new into this and have used this code in one of my first algos that I’m testing in Demo with good results. I’m very happy with the entry criterias for my algo but I find it to be in the market for too long to “keep the edge” of the entry and would therefore like to try a thought that I have to add a function so that the Trailing Stop slowly increases (for a long order) even if the market lose momentum and the close price is not moving.

  For example by counting bars since starting the trailing and increase the Breakeven x% per bar that pass.

  I have not managed to solve this in a good way on my own, so I’m now turning to you. Any thoughts of a good way to add such a feature to this code?

  THX!

  

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  11/25/2020 at 5:52 PM #151589
  robertogozzi

  I added a number of bars to add an additional percentage, so that the trade will exit shorter:

  IF Not OnMarket THEN // // when NOT OnMarket reset values to default values // TrailStart = 30 //30 Start trailing profits from this point BasePerCent = 0.200 //20.0% Profit percentage to keep when setting BerakEven StepSize = 10 //10 Pip chunks to increase Percentage PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk BarNumber = 10 //10 Add further % so that trades don't keep running too long BarPerCent = 0.100 //10% Add this additional percentage every BarNumber bars RoundTO = -0.5 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour PriceDistance = 7 * pipsize //7 minimun distance from current price y1 = 0 //reset to 0 y2 = 0 //reset to 0 ProfitPerCent = BasePerCent //reset to desired default value TradeBar = BarIndex ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN // go ahead only if N+ pips Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN // go ahead only if N+ pips Diff2 = abs(TrailStart - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent // compute number of bars elapsed and add an additionl percentage // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent) // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%) BarCount = BarIndex - TradeBar IF BarCount MOD BarNumber = 0 THEN ProfitPerCent = ProfitPerCent + BarPerCent ENDIF // ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100% y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - SellPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE // //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions) ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price // // check the minimun distance between ExitPrice and current price // IF abs(close - ExitPrice) > PriceDistance THEN // // place either a LIMIT or STOP pending order according to current price positioning // IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE // //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price // EXITSHORT AT Market ENDIF ENDIF

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  IF Not OnMarket THEN    //    // when NOT OnMarket reset values to default values    //    TrailStart    = 30          //30     Start trailing profits from this point    BasePerCent   = 0.200       //20.0%  Profit percentage to keep when setting BerakEven    StepSize      = 10          //10     Pip chunks to increase Percentage    PerCentInc    = 0.100       //10.0%  PerCent increment after each StepSize chunk    BarNumber     = 10          //10     Add further % so that trades don't keep running too long    BarPerCent    = 0.100       //10%    Add this additional percentage every BarNumber bars    RoundTO       = -0.5        //-0.5   rounds always to Lower integer,   +0.4 rounds always to Higher integer,     0 defaults PRT behaviour    PriceDistance = 7 * pipsize //7      minimun distance from current price    y1            = 0           //reset to 0    y2            = 0           //reset to 0    ProfitPerCent = BasePerCent //reset to desired default value    TradeBar      = BarIndex ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN                              //LONG positions    //    // compute the value of the Percentage of profits, if any, to lock in for LONG trades    //    x1 = (close - tradeprice) / pipsize                                     //convert price to pips    IF x1 >= TrailStart THEN                                                //    go ahead only if N+ pips       Diff1         = abs(TrailStart - x1)                                 //difference from current profit and TrailStart       Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO))           //number of STEPSIZE chunks       ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent       // compute number of bars elapsed and add an additionl percentage       // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent)       // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%)       BarCount      = BarIndex - TradeBar       IF BarCount MOD BarNumber = 0 THEN          ProfitPerCent = ProfitPerCent + BarPerCent       ENDIF       //       ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100%       y1 = max(x1 * ProfitPerCent, y1)                                     //y1 = % of max profit    ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN                             //SHORT positions    //    // compute the value of the Percentage of profits, if any, to lock in for SHORT trades    //    x2 = (tradeprice - close) / pipsize                                     //convert price to pips    IF x2 >= TrailStart THEN                                                //      go ahead only if N+ pips       Diff2         = abs(TrailStart - x2)                                 //difference from current profit and TrailStart       Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO))           //number of STEPSIZE chunks       ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent       // compute number of bars elapsed and add an additionl percentage       // (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent)       // (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%)       BarCount      = BarIndex - TradeBar       IF BarCount MOD BarNumber = 0 THEN          ProfitPerCent = ProfitPerCent + BarPerCent       ENDIF       //       ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))         //make sure ProfitPerCent doess not exceed 100%       y2 = max(x2 * ProfitPerCent, y2)                                     //y2 = % of max profit    ENDIF ENDIF IF y1 THEN                                                                 //Place pending STOP order when y1 > 0   (LONG positions)    SellPrice = Tradeprice + (y1 * pipsize)                                 //convert pips to price    //    // check the minimun distance between ExitPrice and current price    //    IF abs(close - SellPrice) > PriceDistance THEN       //       // place either a LIMIT or STOP pending order according to current price positioning   //       IF close >= SellPrice THEN          SELL AT SellPrice STOP       ELSE          SELL AT SellPrice LIMIT       ENDIF    ELSE       //       //sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price   //       SELL AT Market    ENDIF ENDIF IF y2 THEN                                                                 //Place pending STOP order when y2 > 0   (SHORT positions)    ExitPrice = Tradeprice - (y2 * pipsize)                                 //convert pips to price    //    // check the minimun distance between ExitPrice and current price    //    IF abs(close - ExitPrice) > PriceDistance THEN       //       // place either a LIMIT or STOP pending order according to current price positioning   //       IF close <= ExitPrice THEN          EXITSHORT AT ExitPrice STOP       ELSE          EXITSHORT AT ExitPrice LIMIT       ENDIF    ELSE       //   //ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price   //       EXITSHORT AT Market    ENDIF ENDIF

   

  

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