BreakEven & Trailing Profit: complete function
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Your assumption is correct because you are using SP500 o Nasdaq, or any other index with a price/pip ratio of 1. Try applying that percentage to, say, Aud/Chf which is 0.7167 with a price/pip ratio of 1/10000th!
If you want to use some code for your personal use you can do whatever you want because that suits your needs and you know what it does, but to make a code portable it must be coded so that it can be used on every instrument.
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Ok, now I see what you’re getting at – and of course it makes total sense if you want to cross over into forex.
TBH, I mostly use the original version (from page 1), still gets great results when not using cumulative orders.
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This is the new code with the addition of (optional) percentages as above (as suggested by ). I added a MINSTART to prevent TrailStart from dropping below ZERO when Equity (if you plan to use it) turns negative.
Define MyEquity somewhere in your code (even to ZERO if you don’t plan to use it):
123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142//------------------------------------------------------------------------------------------------------------------------------------------------// Trailing Start//------------------------------------------------------------------------------------------------------------------------------------------------ONCE UseCLOSE = 1 //1=use CLOSE, 0=use High/LowsrcH = close //defaults to CLOSEsrcL = close //defaults to CLOSEIF UseCLOSE = 0 THENsrcH = highsrcL = lowENDIFONCE UsePerCentage = 0 //0=use Pips (default), 1=use PercentagesONCE UseEquity = 0 //0=use price (default), 1=use current Equity (initial Capital + StrategyProfit, as defined by variable MyEquity)//DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) //True when there's been a change in the direction (likely to be due to a Stop & Reverse)//IF Not OnMarket OR DirectionSwitch THEN//// when NOT OnMarket or thare's been a change in direction, reset values to their default settings//StartPerCent = 0.25 //0.25% to start triggering Trailing Stop (when UsePerCentage=1)StepPerCent = 50 //50% (of the 0.25% above) as a Trqiling Step (when UsePerCentage=1) (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart)//TrailStart = 30 //30 Start trailing profits from this point (when UsePerCentage=0)MinStart = 10 //10 Minimum value for TrailStart (when UseEquity=1, to prevent TrailStart from dropping below ZERO when Equity turns negative)IF UsePerCentage THENTrailStart = (close / PipSize) * StartPerCent / 100 //use current price (CLOSE) for calculationsIF UseEquity THEN //alternative calculations using EQUITYTrailStart = Max(MinStart,(MyEquity / PipValue) * StartPerCent / 100) //MyEquity is the variable (feel free to use a different name) retaining your current equityENDIFENDIF//BasePerCent = 0.200 //20.0% Profit percentage to keep when setting BerakEven//StepSize = 10 //10 Pip chunks to increase PercentageIF UsePerCentage THENStepSize = TrailStart * StepPerCent / 100ENDIF//PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunkRoundTO = -0.5 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviourPriceDistance = 7 * pipsize //7 minimun distance from current pricey1 = 0 //reset to 0y2 = 0 //reset to 0ProfitPerCent = BasePerCent //reset to desired default value//PositionCount = 0SellPrice = 0SellPriceX = 0ExitPrice = 9999999ExitPriceX = 9999999ELSE//------------------------------------------------------// --- Update Stop Loss after accumulating new positions//------------------------------------------------------//PositionCount = max(PositionCount,abs(CountOfPosition))//// update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited)////IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailingIF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailingIF LongOnMarket THENq1 = PositionPrice + ((srcH - PositionPrice) * ProfitPerCent) //calculate new SLSellPriceX = max(max(SellPriceX,SellPrice),q1)SellPrice = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous oneELSIF ShortOnMarket THENr1 = PositionPrice - ((PositionPrice - srcL) * ProfitPerCent) //calculate new SLExitPriceX = min(min(ExitPriceX,ExitPrice),r1)ExitPrice = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous oneENDIFENDIF// --- Update ENDENDIF//IF LongOnMarket AND srcH > (PositionPrice + (y1 * pipsize)) THEN //LONG positions//// compute the value of the Percentage of profits, if any, to lock in for LONG trades//x1 = (srcH - PositionPrice) / pipsize //convert price to pipsIF x1 >= TrailStart THEN // go ahead only if N+ pipsDiff1 = abs(TrailStart - x1) //difference from current profit and TrailStartChunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunksProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCentProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100%y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profitENDIFELSIF ShortOnMarket AND srcL < (PositionPrice - (y2 * pipsize)) THEN //SHORT positions//// compute the value of the Percentage of profits, if any, to lock in for SHORT trades//x2 = (PositionPrice - srcL) / pipsize //convert price to pipsIF x2 >= TrailStart THEN // go ahead only if N+ pipsDiff2 = abs(TrailStart - x2) //difference from current profit and TrailStartChunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunksProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCentProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100%y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profitENDIFENDIF//------------------------------------------------------------------------------// manage actual Exit, if needed//------------------------------------------------------------------------------IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions)SellPrice = max(SellPrice,PositionPrice + (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 THENSELL AT SellPrice STOPELSESELL AT SellPrice LIMITENDIFELSE////sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price//SELL AT MarketENDIFENDIFIF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions)ExitPrice = min(ExitPrice,PositionPrice - (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 THENEXITSHORT AT ExitPrice STOPELSEEXITSHORT AT ExitPrice LIMITENDIFELSE////ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price//EXITSHORT AT MarketENDIFENDIF5 users thanked author for this post.
That’s a great addition. With forward testing it won’t matter that much whether you use % or points, but with backtesting up to 10 years ago, when index levels were a third or a quarter of what they are now, I think % is essential to get an accurate impression of past performance.
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I decided to code a new one, instead of changing the above code (tested on DAX, Daily TF):
12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455565758596061626364656667686970717273747576777879808182838485868788899091929394Avg = average[100,0](close)IF not OnMarket THENIF close CROSSES OVER Avg THENBUY AT MARKETELSIF close CROSSES UNDER Avg THENSELLSHORT AT MARKETENDIFSL = close / 100 * 2 //2% SLSET STOP LOSS SLENDIF//// incremental Trailing Stop (based on Percentages)//NewTrade = (OnMarket AND Not OnMarket[1]) OR (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket)//IF Not OnMarket OR NewTrade THEN //reset to default values when a new trade has been openedPerCentTP = 2.0 //2.0% is TPPerCentStart = 0.2 //0.2% is the Trailing Stop trigger levelPerCentStep = 0.2 //0.2% is each subsequent stepPerCentSaved = 0.1 //0.1% is how much profit has to be saved when trailing starts and every stepMultiplier = 1.5 //1.5 is how much PerCentSaved is incremented each trailing step// 1.5 is a 50% increment, so that:// 0.1% becomes 0.15%, then// 0.15% becomes 0.225%, then// 0.225% becomes 0.3375%, etc...Distance = 6 //6 pip distance from current price (if required by the broker)MySL = 0ProfitPerCent = 0ENDIFIF OnMarket THENIF MySL = 0 THENPCent = PositionPrice * PerCentTP / 100PStart = PositionPrice * PerCentStart / 100PStep = PositionPrice * PerCentStep / 100PSaved = PositionPrice * PerCentSaved / 100ENDIF//// check if Trailing Stop has to be triggered//IF MySL = 0 THENIF LongOnMarket THENIF (close - PositionPrice) >= PStart THENMySL = min(close,PositionPrice + PSaved)PSaved = PSaved * MultiplierENDIFELSIF ShortOnMarket THENIF (PositionPrice - close) >= PStart THENMySL = max(close,PositionPrice - PSaved)PSaved = PSaved * MultiplierENDIFENDIFELSE//// check if another Step has been triggered//IF LongOnMarket THENIF (close - MySL) >= PStep THENMySL = min(close,MySL + PSaved)PSaved = PSaved * MultiplierENDIFELSIF ShortOnMarket THENIF (MySL - close) >= PStep THENMySL = max(close,MySL - PSaved)PSaved = PSaved * MultiplierENDIFENDIFENDIF//// place Pending STOP orders//IF MySL > 0 THENIF (MySL = close) OR (abs(MySL - close) < Distance) THEN //exit immediately in case MySL has reached// the current price or there's not enough DISTANCESELL AT MARKETEXITSHORT AT MARKETELSESELL AT MySL STOPEXITSHORT AT MySL STOPENDIFENDIFENDIF//graphonprice PositionPrice coloured(0,0,0,255) AS "Entry"graphonprice MySL coloured(0,128,0,155) AS "Trailing Stop"IF LongOnMarket THENgraphonprice PositionPrice - SL coloured(255,0,0,255) AS "Stop Loss"ELSEgraphonprice PositionPrice + SL coloured(255,0,0,255) AS "Stop Loss"ENDIFgraph PCent coloured(0,0,0,255)graph PStart coloured(0,0,255,255)graph PStep coloured(0,128,0,155)graph PSaved coloured(255,0,0,255)graph positionperf * positionprice / pipsize AS "Gain"2 users thanked author for this post.
Link to code above added as Log 310 here …
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