calling the AverageTrueRange (ATR) value at a previous candle

• 03/18/2024 at 10:44 AM #229942
  juld63

  Hi everyone,

  I am defining my stop loss as a function of the ATR and I would like this ATR to be, not the ATR value at the current candle, but the ATR value as it was at the opening of the trade.

  I thought it would be as simple as writing

  ATR=AverageTrueRange[10](close[BarIndex-TradeIndex])

  1	ATR=AverageTrueRange[10](close[BarIndex-TradeIndex])

  but instead it throws everything off. The backtest just accumulates massive losses on the very first trade of the period. And since the formula includes “TradeIndex”, I can’t program an indicator to see what values it produces.

  Am I missing something obvious?

   

  Thanks a lot !

   

  

  juld63

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  03/18/2024 at 10:53 AM #229944
  PeterSt

  Hi there,

  You could start with a command

  Graph TradeIndex

  1	Graph TradeIndex

  in order to see whether that remains the same throughout the open position. This is not necessarily so ! (depending on what you further do when the position is running).
  If that remains the same, then consider whether the logic is OK (I can’t tell but it looks weird ?).
  Otherwise it seems to me that you could have something like this :

  Once ATR = 0 If OnMarket and not OnMarket[1] then // Just opened a new position ? ATR=AverageTrueRange[10](close) endif // And from here on use the ATR variable.

  1 2 3 4 5 6

  Once ATR = 0 If OnMarket and not OnMarket[1] then   // Just opened a new position ?   ATR=AverageTrueRange[10](close) endif   // And from here on use the ATR variable.

   

   

  

  PeterSt

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  03/18/2024 at 4:57 PM #229963
  JS

  Hi,

  What is important for such calculations is that your ATR -calculation is in the “IF-Then” statement:

  If myConditions then

  Buy 1 contract at Market

  ATR=AvarageTrueRange[10](Close[BarIndex-TradeIndex])

  EndIf

  Set Stop PLoss ATR

  Set Take Profit (2*ATR)

  If your calculation is outside the “IF-Then” then the ATR values will change every time the code is recalculated … (at the Close of the Bar)

  

  JS

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  03/22/2024 at 4:55 PM #230297
  LucasBest

  If you define ATR as :

  ATR = AverageTrueRange[10](close)

  then, ATR value at TradeIndex is :

  MyStopLoss = ATR[BarIndex-TradeIndex]

  Anyway, the best option is to define the stop loss just after th buy instruction with “Set Stop PLoss ATR”

  

  LucasBest

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  03/26/2024 at 9:28 AM #230459
  juld63

  Thanks a lot everyone!

  

  juld63

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