conversion of Swingarm ATR Trailing Stop

This topic has 11 replies, 3 voices, and was last updated 4 years ago by Nicolas.

Viewing 12 posts - 1 through 12 (of 12 total)

07/20/2020 at 9:35 PM #139711

discojones

Background from the author of the strategy including pictures:

The SwingArm is an idea I had using the ATRTrailingStop and modifying it to have FIB Retracements into it. “I am not a coder…” I hired someone to help me out in getting it done.

It can be used on any timeframe. The best for me (day trading) is the 10-minute chart. For Swing Trading, the 4 hours chart works well. Alerts can be set up using an ATRTrailingStop scan

Thank you in advance!

The Code:

# blackFLAG FTS SwingArms
# Edited by: Jose Azcarate
# blackFLAG Futures Trading - FOR EDUCATIONAL PURPOSES ONLY
# TWITTER: @blackflagfuture
# Settings Vary. My preferred setting is 28 / 5 But also use 30 / 8 and 5 / 3.5 depending on strategy.

input trailType = {default modified, unmodified};
input ATRPeriod = 28;
input ATRFactor = 5;
input firstTrade = {default long, short};
input averageType = AverageType.WILDERS;

input fib1Level = 61.8;
input fib2Level = 78.6;
input fib3Level = 88.6;

Assert(ATRFactor > 0, "'atr factor' must be positive: " + ATRFactor);

def HiLo = Min(high - low, 1.5 * Average(high - low, ATRPeriod));
def HRef = if low <= high[1] then high - close[1] else (high - close[1]) - 0.5 * (low - high[1]); def LRef = if high >= low[1]
then close[1] - low
else (close[1] - low) - 0.5 * (low[1] - high);

def trueRange;
switch (trailType) {
case modified:
trueRange = Max(HiLo, Max(HRef, LRef));
case unmodified:
trueRange = TrueRange(high, close, low);
}
def loss = ATRFactor * MovingAverage(averageType, trueRange, ATRPeriod);

def state = {default init, long, short};
def trail;
switch (state[1]) {
case init:
if (!IsNaN(loss)) {
switch (firstTrade) {
case long:
state = state.long;
trail = close - loss;
case short:
state = state.short;
trail = close + loss;
}
} else {
state = state.init;
trail = Double.NaN;
}
case long:
if (close > trail[1]) {
state = state.long;
trail = Max(trail[1], close - loss);
} else {
state = state.short;
trail = close + loss;
}
case short:
if (close < trail[1]) {
state = state.short;
trail = Min(trail[1], close + loss);
} else {
state = state.long;
trail = close - loss;
}
}

def BuySignal = Crosses(state == state.long, 0, CrossingDirection.ABOVE);
def SellSignal = Crosses(state == state.short, 0, CrossingDirection.ABOVE);

def ex = if BuySignal then high else if SellSignal then low else if state == state.long then Max(ex[1], high) else if state == state.short then Min(ex[1], low) else ex[1];

plot TrailingStop = trail;

TrailingStop.SetPaintingStrategy(PaintingStrategy.POINTS);
TrailingStop.DefineColor("Long", Color.GREEN);
TrailingStop.DefineColor("Short", Color.RED);
TrailingStop.AssignValueColor(if state == state.long
then TrailingStop.Color("Long")
else TrailingStop.Color("Short"));

plot Extremum = ex;
Extremum.SetPaintingStrategy(PaintingStrategy.POINTS);
Extremum.DefineColor("HH", Color.GREEN);
Extremum.DefineColor("LL", Color.RED);
Extremum.AssignValueColor(if state == state.long
then Extremum.Color("HH")
else Extremum.Color("LL"));
Extremum.Hide();

def f1 = ex + (trail - ex) * fib1Level / 100;
def f2 = ex + (trail - ex) * fib2Level / 100;
def f3 = ex + (trail - ex) * fib3Level / 100;
def l100 = trail + 0;

plot Fib1 = f1;
Fib1.SetPaintingStrategy(PaintingStrategy.POINTS);
Fib1.SetDefaultColor(Color.BLACK);
Fib1.Hide();

plot Fib2 = f2;
Fib2.SetPaintingStrategy(PaintingStrategy.POINTS);
Fib2.SetDefaultColor(Color.BLACK);
Fib2.Hide();

plot Fib3 = f3;
Fib3.SetPaintingStrategy(PaintingStrategy.POINTS);
Fib3.SetDefaultColor(Color.BLACK);
Fib3.Hide();

AddCloud(f1, f2, Color.LIGHT_GREEN, Color.LIGHT_RED, no);
AddCloud(f2, f3, Color.GREEN, Color.RED, no);
AddCloud(f3, l100, Color.DARK_GREEN, Color.DARK_RED, no);

def l1 = state[1] == state.long and close crosses below f1[1];
def l2 = state[1] == state.long and close crosses below f2[1];
def l3 = state[1] == state.long and close crosses below f3[1];
def s1 = state[1] == state.short and close crosses above f1[1];
def s2 = state[1] == state.short and close crosses above f2[1];
def s3 = state[1] == state.short and close crosses above f3[1];

def atr = Average(TrueRange(high, close, low), 14);

plot LS1 = if l1 then low - atr else Double.NaN;
plot LS2 = if l2 then low - 1.5 * atr else Double.NaN;
plot LS3 = if l3 then low - 2 * atr else Double.NaN;
plot SS1 = if s1 then high + atr else Double.NaN;
plot SS2 = if s2 then high + 1.5 * atr else Double.NaN;
plot SS3 = if s3 then high + 2 * atr else Double.NaN;

LS1.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
LS1.SetDefaultColor(Color.GREEN);
LS1.SetLineWeight(1);
LS1.Hide();
LS2.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
LS2.SetDefaultColor(Color.GREEN);
LS2.SetLineWeight(1);
LS2.Hide();
LS3.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
LS3.SetDefaultColor(Color.GREEN);
LS3.SetLineWeight(1);
LS3.Hide();

SS1.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
SS1.SetDefaultColor(Color.RED);
SS1.SetLineWeight(1);
SS1.Hide();
SS2.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
SS2.SetDefaultColor(Color.RED);
SS2.SetLineWeight(1);
SS2.Hide();
SS3.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
SS3.SetDefaultColor(Color.RED);
SS3.SetLineWeight(1);
SS3.Hide();

Alert(l1, "Price crossed below Fib1 level in long trend", Alert.BAR, Sound.Bell);
Alert(l2, "Price crossed below Fib2 level in long trend", Alert.BAR, Sound.Bell);
Alert(l3, "Price crossed below Fib3 level in long trend", Alert.BAR, Sound.Bell);
Alert(s1, "Price crossed above Fib1 level in short trend", Alert.BAR, Sound.Bell);
Alert(s2, "Price crossed above Fib2 level in short trend", Alert.BAR, Sound.Bell);
Alert(s3, "Price crossed above Fib3 level in short trend", Alert.BAR, Sound.Bell);`

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# blackFLAG FTS SwingArms

# Edited by: Jose Azcarate

# blackFLAG Futures Trading - FOR EDUCATIONAL PURPOSES ONLY

# TWITTER: @blackflagfuture

# Settings Vary. My preferred setting is 28 / 5 But also use 30 / 8 and 5 / 3.5 depending on strategy.

input trailType = {default modified, unmodified};

input ATRPeriod = 28;

input ATRFactor = 5;

input firstTrade = {default long, short};

input averageType = AverageType.WILDERS;

input fib1Level = 61.8;

input fib2Level = 78.6;

input fib3Level = 88.6;

Assert(ATRFactor > 0, "'atr factor' must be positive: " + ATRFactor);

def HiLo = Min(high - low, 1.5 * Average(high - low, ATRPeriod));

def HRef = if low <= high[1] then high - close[1] else (high - close[1]) - 0.5 * (low - high[1]); def LRef = if high >= low[1]

then close[1] - low

else (close[1] - low) - 0.5 * (low[1] - high);

def trueRange;

switch (trailType) {

case modified:

trueRange = Max(HiLo, Max(HRef, LRef));

case unmodified:

trueRange = TrueRange(high, close, low);

}

def loss = ATRFactor * MovingAverage(averageType, trueRange, ATRPeriod);

def state = {default init, long, short};

def trail;

switch (state[1]) {

case init:

if (!IsNaN(loss)) {

switch (firstTrade) {

case long:

state = state.long;

trail = close - loss;

case short:

state = state.short;

trail = close + loss;

}

} else {

state = state.init;

trail = Double.NaN;

}

case long:

if (close > trail[1]) {

state = state.long;

trail = Max(trail[1], close - loss);

} else {

state = state.short;

trail = close + loss;

}

case short:

if (close < trail[1]) {

state = state.short;

trail = Min(trail[1], close + loss);

} else {

state = state.long;

trail = close - loss;

}

def BuySignal = Crosses(state == state.long, 0, CrossingDirection.ABOVE);

def SellSignal = Crosses(state == state.short, 0, CrossingDirection.ABOVE);

def ex = if BuySignal then high else if SellSignal then low else if state == state.long then Max(ex[1], high) else if state == state.short then Min(ex[1], low) else ex[1];

plot TrailingStop = trail;

TrailingStop.SetPaintingStrategy(PaintingStrategy.POINTS);

TrailingStop.DefineColor("Long", Color.GREEN);

TrailingStop.DefineColor("Short", Color.RED);

TrailingStop.AssignValueColor(if state == state.long

then TrailingStop.Color("Long")

else TrailingStop.Color("Short"));

plot Extremum = ex;

Extremum.SetPaintingStrategy(PaintingStrategy.POINTS);

Extremum.DefineColor("HH", Color.GREEN);

Extremum.DefineColor("LL", Color.RED);

Extremum.AssignValueColor(if state == state.long

then Extremum.Color("HH")

else Extremum.Color("LL"));

Extremum.Hide();

def f1 = ex + (trail - ex) * fib1Level / 100;

def f2 = ex + (trail - ex) * fib2Level / 100;

def f3 = ex + (trail - ex) * fib3Level / 100;

def l100 = trail + 0;

plot Fib1 = f1;

Fib1.SetPaintingStrategy(PaintingStrategy.POINTS);

Fib1.SetDefaultColor(Color.BLACK);

Fib1.Hide();

plot Fib2 = f2;

Fib2.SetPaintingStrategy(PaintingStrategy.POINTS);

Fib2.SetDefaultColor(Color.BLACK);

Fib2.Hide();

plot Fib3 = f3;

Fib3.SetPaintingStrategy(PaintingStrategy.POINTS);

Fib3.SetDefaultColor(Color.BLACK);

Fib3.Hide();

AddCloud(f1, f2, Color.LIGHT_GREEN, Color.LIGHT_RED, no);

AddCloud(f2, f3, Color.GREEN, Color.RED, no);

AddCloud(f3, l100, Color.DARK_GREEN, Color.DARK_RED, no);

def l1 = state[1] == state.long and close crosses below f1[1];

def l2 = state[1] == state.long and close crosses below f2[1];

def l3 = state[1] == state.long and close crosses below f3[1];

def s1 = state[1] == state.short and close crosses above f1[1];

def s2 = state[1] == state.short and close crosses above f2[1];

def s3 = state[1] == state.short and close crosses above f3[1];

def atr = Average(TrueRange(high, close, low), 14);

plot LS1 = if l1 then low - atr else Double.NaN;

plot LS2 = if l2 then low - 1.5 * atr else Double.NaN;

plot LS3 = if l3 then low - 2 * atr else Double.NaN;

plot SS1 = if s1 then high + atr else Double.NaN;

plot SS2 = if s2 then high + 1.5 * atr else Double.NaN;

plot SS3 = if s3 then high + 2 * atr else Double.NaN;

LS1.SetPaintingStrategy(PaintingStrategy.ARROW_UP);

LS1.SetDefaultColor(Color.GREEN);

LS1.SetLineWeight(1);

LS1.Hide();

LS2.SetPaintingStrategy(PaintingStrategy.ARROW_UP);

LS2.SetDefaultColor(Color.GREEN);

LS2.SetLineWeight(1);

LS2.Hide();

LS3.SetPaintingStrategy(PaintingStrategy.ARROW_UP);

LS3.SetDefaultColor(Color.GREEN);

LS3.SetLineWeight(1);

LS3.Hide();

SS1.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);

SS1.SetDefaultColor(Color.RED);

SS1.SetLineWeight(1);

SS1.Hide();

SS2.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);

SS2.SetDefaultColor(Color.RED);

SS2.SetLineWeight(1);

SS2.Hide();

SS3.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);

SS3.SetDefaultColor(Color.RED);

SS3.SetLineWeight(1);

SS3.Hide();

Alert(l1, "Price crossed below Fib1 level in long trend", Alert.BAR, Sound.Bell);

Alert(l2, "Price crossed below Fib2 level in long trend", Alert.BAR, Sound.Bell);

Alert(l3, "Price crossed below Fib3 level in long trend", Alert.BAR, Sound.Bell);

Alert(s1, "Price crossed above Fib1 level in short trend", Alert.BAR, Sound.Bell);

Alert(s2, "Price crossed above Fib2 level in short trend", Alert.BAR, Sound.Bell);

Alert(s3, "Price crossed above Fib3 level in short trend", Alert.BAR, Sound.Bell);`

1 user thanked author for this post.

Razz

discojones

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Topics: 2

Replies: 3

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07/22/2020 at 9:13 AM #139802

Nicolas

I added this conversion on my list, please remind me if you don’t get it before August! Thanks 😉

2 users thanked author for this post.

discojones,

Razz

Nicolas

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07/22/2020 at 1:46 PM #139849

discojones

Thanks Nicolas!

discojones

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Replies: 3

Been thanked: 1 time

07/26/2020 at 9:00 AM #140119

Razz

Hello Nicolas the indicator looks very good I hope you can integrate it in Pro Realtime. Thanks in advance .

1 user thanked author for this post.

discojones

Razz

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Been thanked: 23 times

07/26/2020 at 9:13 AM #140120

Nicolas

Seems to be a simple ATR trailing stop with bands made with Fibonacci levels. Will look at that conversion asap.

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discojones

Nicolas

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Replies: 20863

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08/01/2020 at 1:01 PM #140605

Razz

Hello Nicolas did you have some time to have a look at it? Think they probably have more important things to do.

greetings

Razz

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08/03/2020 at 2:45 PM #140743

Nicolas

I’m working on it, please be patient 😉

1 user thanked author for this post.

Razz

Nicolas

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Replies: 20863

Been thanked: 4775 times

08/03/2020 at 3:12 PM #140745

Nicolas

Here is the translated code, please confirm it works as the original one so I can make it available in the library, thank you.

//PRC_Swingarm ATR Trailing Stop | indicator
//03.08.2020
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//converted from TOS
//https://www.prorealcode.com/topic/conversion-of-swingarm-atr-trailing-stop/

// --- settings 
trailType = 1  //1=modified, 0=unmodified
ATRPeriod = 28
ATRFactor = 5
firstTrade = 0 //0= long, 1= short
averageType = 3 //0 = SMA 1 = EMA 2 = WMA 3 = Wilder 4 = Triangular 5 = End point 6 = Time series 7 = Hull (PRT v11 only) 8 = ZeroLag  (PRT v11 only)
//--- end of settings
 
fib1Level = 61.8
fib2Level = 78.6
fib3Level = 88.6

HiLo = Min(high - low, 1.5 * Average[ATRPeriod](range))
 
if low <= high[1] then 
Href = high - close[1] 
else 
Href = (high - close[1]) - 0.5 * (low - high[1])
endif

if high >= low[1] then 
Lref = close[1] - low
else 
Lref = (close[1] - low) - 0.5 * (low[1] - high)
endif

//case modified:
if trailType = 1 then 
trueRange = Max(HiLo, Max(HRef, LRef))
else
//case unmodified
trueRange = tr(close) // TrueRange(high, close, low)
endif

iloss = ATRFactor * Average[ATRPeriod,averageType](trueRange)

once init=0
if init=0 then 
if firsttrade=0 then
state = 0
trail = close - iloss
else
state = 1 
trail = close + iloss
endif
init=1
endif 

//case long:
if state[1] = 0 then 
if (close > trail[1]) then 
state = 0
trail = Max(trail[1], close - iloss)
else 
state = 1
trail = close + iloss
endif
endif
//case short:
if state[1] = 1 then 
if (close < trail[1]) then 
state = 1
trail = Min(trail[1], close + iloss)
else 
state = 0
trail = close - iloss
endif
endif

BuySignal = state<>state[1] and state = 0 
SellSignal = state<>state[1] and state = 1 
 
if BuySignal then 
ex = high 
elsif SellSignal then 
ex = low 
else 
if state = 0 then 
ex = Max(ex[1], high) 
elsif state = 1 then 
ex = Min(ex[1], low) 
else 
ex = ex[1]
endif
endif
 
TrailingStop = trail
if state = 0 then 
r=0
g=255
else
r=255
g=0
endif

f1 = ex + (trail - ex) * fib1Level / 100
f2 = ex + (trail - ex) * fib2Level / 100
f3 = ex + (trail - ex) * fib3Level / 100

l1 = state[1] = 0 and close crosses under f1[1]
l2 = state[1] = 0 and close crosses under f2[1]
l3 = state[1] = 0 and close crosses under f3[1]
s1 = state[1] = 1 and close crosses over f1[1]
s2 = state[1] = 1 and close crosses over f2[1]
s3 = state[1] = 1 and close crosses over f3[1]

atr = AverageTrueRange[14](close)
 
if l1 then 
y =low - atr 
elsif l2 then 
y=low - 1.5 * atr 
elsif l3 then 
y=low - 2 * atr 
elsif s1 then 
y=high + atr 
elsif s2 then 
y=high + 1.5 * atr 
elsif s3 then 
y=high + 2 * atr 
else 
y=0
endif

if y>0 then 
if y>close then 
drawarrowdown(barindex,y) coloured(r,g,0)
else
drawarrowup(barindex,y) coloured(r,g,0)
endif
endif

return TrailingStop coloured(r,g,0) style(line,3) as "ATR Trailing Stop" ,state as "state", ex coloured(r,g,0) style(point,4) as "Extremum", f1 coloured(168,168,168), f2 coloured(168,168,168), f3 coloured(168,168,168)

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//PRC_Swingarm ATR Trailing Stop | indicator

//03.08.2020

//Nicolas @ www.prorealcode.com

//Sharing ProRealTime knowledge

//converted from TOS

//https://www.prorealcode.com/topic/conversion-of-swingarm-atr-trailing-stop/

// --- settings

trailType = 1 //1=modified, 0=unmodified

ATRPeriod = 28

ATRFactor = 5

firstTrade = 0 //0= long, 1= short

averageType = 3 //0 = SMA 1 = EMA 2 = WMA 3 = Wilder 4 = Triangular 5 = End point 6 = Time series 7 = Hull (PRT v11 only) 8 = ZeroLag (PRT v11 only)

//--- end of settings

fib1Level = 61.8

fib2Level = 78.6

fib3Level = 88.6

HiLo = Min(high - low, 1.5 * Average[ATRPeriod](range))

if low <= high[1] then

Href = high - close[1]

else

Href = (high - close[1]) - 0.5 * (low - high[1])

endif

if high >= low[1] then

Lref = close[1] - low

else

Lref = (close[1] - low) - 0.5 * (low[1] - high)

endif

//case modified:

if trailType = 1 then

trueRange = Max(HiLo, Max(HRef, LRef))

else

//case unmodified

trueRange = tr(close) // TrueRange(high, close, low)

endif

iloss = ATRFactor * Average[ATRPeriod,averageType](trueRange)

once init=0

if init=0 then

if firsttrade=0 then

state = 0

trail = close - iloss

else

state = 1

trail = close + iloss

endif

init=1

endif

//case long:

if state[1] = 0 then

if (close > trail[1]) then

state = 0

trail = Max(trail[1], close - iloss)

else

state = 1

trail = close + iloss

endif

//case short:

if state[1] = 1 then

if (close < trail[1]) then

state = 1

trail = Min(trail[1], close + iloss)

else

state = 0

trail = close - iloss

endif

BuySignal = state<>state[1] and state = 0

SellSignal = state<>state[1] and state = 1

if BuySignal then

ex = high

elsif SellSignal then

ex = low

else

if state = 0 then

ex = Max(ex[1], high)

elsif state = 1 then

ex = Min(ex[1], low)

else

ex = ex[1]

endif

TrailingStop = trail

if state = 0 then

r=0

g=255

else

r=255

g=0

endif

f1 = ex + (trail - ex) * fib1Level / 100

f2 = ex + (trail - ex) * fib2Level / 100

f3 = ex + (trail - ex) * fib3Level / 100

l1 = state[1] = 0 and close crosses under f1[1]

l2 = state[1] = 0 and close crosses under f2[1]

l3 = state[1] = 0 and close crosses under f3[1]

s1 = state[1] = 1 and close crosses over f1[1]

s2 = state[1] = 1 and close crosses over f2[1]

s3 = state[1] = 1 and close crosses over f3[1]

atr = AverageTrueRange[14](close)

if l1 then

y =low - atr

elsif l2 then

y=low - 1.5 * atr

elsif l3 then

y=low - 2 * atr

elsif s1 then

y=high + atr

elsif s2 then

y=high + 1.5 * atr

elsif s3 then

y=high + 2 * atr

else

y=0

endif

if y>0 then

if y>close then

drawarrowdown(barindex,y) coloured(r,g,0)

else

drawarrowup(barindex,y) coloured(r,g,0)

endif

return TrailingStop coloured(r,g,0) style(line,3) as "ATR Trailing Stop" ,state as "state", ex coloured(r,g,0) style(point,4) as "Extremum", f1 coloured(168,168,168), f2 coloured(168,168,168), f3 coloured(168,168,168)

I think that the arrows are way too far from the price, but that’s how it is coded in the original code?!

2 users thanked author for this post.

discojones,

Razz

Nicolas

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Topics: 81

Replies: 20863

Been thanked: 4775 times

08/03/2020 at 7:05 PM #140785

Razz

Hello Nicolas Thank you for your implementation, I do not know the original indicator but your version looks good. I think I will deactivate the arrows first. Great job thanks

Razz

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Topics: 30

Replies: 157

Been thanked: 23 times

08/03/2020 at 8:49 PM #140793

discojones

Thanks Nicolas that looks great!

I agree regarding the arrows

discojones

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Replies: 3

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08/04/2020 at 8:36 AM #140814

Nicolas

Ok, I will replace the arrows closer to the price and post it in the library for everyone to benefit of this trend following indicator.

1 user thanked author for this post.

discojones

Nicolas

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Topics: 81

Replies: 20863

Been thanked: 4775 times

08/04/2020 at 8:55 AM #140819

Nicolas

I published the final version in our ProRealTime code library here: SwingARM ATR Trailing Stop

1 user thanked author for this post.

discojones

Nicolas

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Topics: 81

Replies: 20863

Been thanked: 4775 times

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