Normal atr trailingstop

• 04/15/2022 at 5:06 AM #191778
  Franro

  Thanks for the answer none. Well it is not random going back in time when indices was much lower you could see that for example a distance of 5 could have MFE for example 50 euro and be a win still. But when indicies or the market has 2x that price the MFE tends to higher to make it a win (easily checked in bt). And btw.. I use it with atr distances > 10 also.

  grahal I run it on all tf basicly but I have noticed it is less robust with fewer trades and when the most trades are for example at a much lower level and the market has gone up much recently. As it would require a much higher MFE which does not seem logical to me.

  

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  04/15/2022 at 5:15 AM #191780
  Franro

  I must add does not seem logical to me and robust that way? But still it is the best trailingstop in times of results (gain, drawdown, losses).

  This type of atr trailing would be really good I think with scale with time acceleration (the longer time in market a bigger step). Because I run this on 1 hour tf also. Let say a system consolidates and you are at 1000 euro gain. Then ts wont move and after x days the system is still open with same gain and stoploss. That both costs money (overnight fees etc.) and maybe the entry that was taken days ago is not so validate anymore.

  

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  04/15/2022 at 5:30 AM #191781
  robertogozzi

  You can increase your trailing stop by an additional X pips every N bars on market:

  Once N = 50 //50 bars Once X = 20 * PipSize //20 pips Once M = 1.10 //1.10 multiplier MyTrailingStop = … . . If OnMarket and (((BarIndex - TradeIndex) MOD N) = 0) then MyTrailingStop = MyTrailingStop + X //MyTrailingStop = MyTrailingStop * M Endif

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  Once N = 50            //50  bars Once X = 20 * PipSize  //20  pips Once M = 1.10          //1.10  multiplier MyTrailingStop = … . . If OnMarket and (((BarIndex - TradeIndex) MOD N) = 0) then    MyTrailingStop = MyTrailingStop + X    //MyTrailingStop = MyTrailingStop * M Endif

  I also included a MULTIPLIER line, instead of a constant value. You can choose between the two.

   

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  04/15/2022 at 5:37 AM #191782
  Franro

  ts

  Once N = 50 //50 bars Once X = 20 * PipSize //20 pips Once M = 1.10 //1.10 multiplier MyTrailingStop = atrtrail If OnMarket and (((BarIndex - TradeIndex) MOD N) = 0) then MyTrailingStop = MyTrailingStop + X Endif ONCE trailingStopType = 1 ONCE trailingstoplong = 10 ONCE trailingstopshort = 6 ONCE atrtrailingperiod = 100 ONCE minstop = 1 atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) .... goes on with my stop posted.

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  Once N = 50            //50  bars Once X = 20 * PipSize  //20  pips Once M = 1.10          //1.10  multiplier MyTrailingStop = atrtrail   If OnMarket and (((BarIndex - TradeIndex) MOD N) = 0) then MyTrailingStop = MyTrailingStop + X Endif   ONCE trailingStopType     = 1 ONCE trailingstoplong     = 10 ONCE trailingstopshort    = 6 ONCE atrtrailingperiod    = 100 ONCE minstop              = 1 atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) .... goes on with my stop posted.

  Where am I doing wrong here?

  

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  04/15/2022 at 6:52 AM #191783
  robertogozzi

  Firstly you have to reference any variable AFTER it’s been defined (the code is executed sequentially), as atrtrail has not yet been defined in line 4.

  Secondly, if you write line 4 that way, you’ll always change it’s value each bar, thus making increases vanish. You should make sure it NEVER drops (if LongOnMarket) below the previous one:

  MyTrailingStop = max(atrtrail,MyTrailingStop) //LONG side MyTrailingStop = min(atrtrail,MyTrailingStop) //SHORT side

  1 2	MyTrailingStop = max(atrtrail,MyTrailingStop)  //LONG  side MyTrailingStop = min(atrtrail,MyTrailingStop)  //SHORT side

  

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  04/15/2022 at 6:57 AM #191784
  Franro

  Okay, how should it be correctly implemented with original ts posted from start of thread?

  

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  04/15/2022 at 8:14 AM #191785
  robertogozzi

  There you go:

  /* beyond adding the above lines, I also changed it a bit to make sure it never drops (when LongOnMarket) or rises (when ShortOnMarket) compared to the currently retained value */ if not OnMarket then if close crosses over average[100] then buy at market elsif close crosses under average[100] then sellshort at market endif endif set stop ploss 250 set target pprofit 500 ONCE trailingStopType = 1 ONCE trailingstoplong = 10 ONCE trailingstopshort = 6 ONCE atrtrailingperiod = 100 ONCE minstop = 1 Once N = 5 //5 bars Once X = 5 * PipSize //5 pips Once M = 1.10 //1.10 Long multiplier Once P = 0.90 //0.90 Short multiplier atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = max(MAXPRICE-TGL*pointsize,PREZZOUSCITA) ELSE PREZZOUSCITA = max(MAXPRICE - MINSTOP*pointsize,PREZZOUSCITA) ENDIF If ((BarIndex - TradeIndex) MOD N) = 0 then PREZZOUSCITA = PREZZOUSCITA + X //PREZZOUSCITA = PREZZOUSCITA * M Endif ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then IF PREZZOUSCITA = 0 THEN PREZZOUSCITA = 9999999 //make sure there's a value large enough to be later used with MIN() ENDIF if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = min(MINPRICE+TGS*pointsize,PREZZOUSCITA) ELSE PREZZOUSCITA = min(MINPRICE + MINSTOP*pointsize,PREZZOUSCITA) ENDIF If ((BarIndex - TradeIndex) MOD N) = 0 then PREZZOUSCITA = PREZZOUSCITA - X //PREZZOUSCITA = PREZZOUSCITA * P Endif ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF graphonprice PREZZOUSCITA coloured(255,0,0,255)

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  /* beyond adding the above lines, I also changed it a bit to make sure it never drops (when LongOnMarket) or rises (when ShortOnMarket) compared to the currently retained value */ if not OnMarket then if close crosses over average[100] then buy at market elsif close crosses under average[100] then sellshort at market endif endif set stop   ploss   250 set target pprofit 500   ONCE trailingStopType     = 1 ONCE trailingstoplong     = 10 ONCE trailingstopshort    = 6 ONCE atrtrailingperiod    = 100 ONCE minstop              = 1 Once N                    = 5             //5  bars Once X                    = 5 * PipSize   //5  pips Once M                    = 1.10          //1.10  Long  multiplier Once P                    = 0.90          //0.90  Short multiplier atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = max(MAXPRICE-TGL*pointsize,PREZZOUSCITA) ELSE PREZZOUSCITA = max(MAXPRICE - MINSTOP*pointsize,PREZZOUSCITA) ENDIF If ((BarIndex - TradeIndex) MOD N) = 0 then PREZZOUSCITA = PREZZOUSCITA + X //PREZZOUSCITA = PREZZOUSCITA * M Endif ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then IF PREZZOUSCITA = 0 THEN PREZZOUSCITA = 9999999      //make sure there's a value large enough to be later used with MIN() ENDIF if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = min(MINPRICE+TGS*pointsize,PREZZOUSCITA) ELSE PREZZOUSCITA = min(MINPRICE + MINSTOP*pointsize,PREZZOUSCITA) ENDIF If ((BarIndex - TradeIndex) MOD N) = 0 then PREZZOUSCITA = PREZZOUSCITA - X //PREZZOUSCITA = PREZZOUSCITA * P Endif ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF graphonprice PREZZOUSCITA coloured(255,0,0,255)

   

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  robertogozzi

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  04/15/2022 at 8:17 AM #191786
  robertogozzi

  Lines 1-3 are the newly supported multi-line comments. The “ADD PRT CODE” button doesn’t recognize them yet (ProOrder does, though), but will be updated asap.

   

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  04/15/2022 at 10:24 AM #191791
  Franro

  Thanks alot for that!!

  variabel N is number of bars it has gone when trailing has started (correct?) or is it when algo has entried?

  

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  04/15/2022 at 10:38 AM #191792
  Franro

  Either one, it would be good testing the other one.

  Example 1. count bars from entry (if trailing has started and it has gone like x bars on 1hour chart maybe the trade just got lucky and would be better to close faster as trailing has kicked in)

  Example 2. count bars from trailing (if trade was not “lucky” but has been a long time in trailing phase but not proceed)

  Which one is the code above and how can I change it to the other one.

  

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  04/15/2022 at 11:22 AM #191793
  GraHal

  Good questions Franro and good ideas!

  I read ‘N’ as number of bars since trade entry without Trailing Stop started and so … get out quick with small profit as ExitPrice + X?

  This TS is getting better all the time and I am making myself learn stuff as I go along … onward and upward!!!  🙂

  Let’s see what Roberto has to say?

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  04/15/2022 at 12:36 PM #191794
  robertogozzi

  N is related to the start of the trade (TradeIndex). A difference is then computed each bar, with the current BarIndex, to detect when it reaches a multiple of N (I set it to 5, but yoyu can set it to any value, if yoy set it to, say, 99999 it will automatically be disabled, as it’s such a huge number that it will not easily reach a multiple of it!), each time that occurs it’s an increase of your trailing stop.

  Use GRAPH extensively to spot values and expressions:

  graph BarIndex graph TradeIndex graph (Barindex - TradeIndex) MOD N

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  graph BarIndex graph TradeIndex graph (Barindex - TradeIndex) MOD N

  

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  04/15/2022 at 1:52 PM #191796
  Franro

  Ok so if I put for example 5 to N
  and X to 5.

  Does this mean after 5 bars, 5 pips will be added to trailing when its starting? And lets say after 20 bars.. and trailing has not started, when its starts it is going to add 5×20=100 pips to it and so on?

  If it is like that there will not be a possiblity to get it better? Because finding a combination that suits N and X would be almost impossible? Then it would be better to just after ANY bars close trade.

  ..

  I hope it works like this: If I put N to 5 it counts the bars and X is started FIRST when trailing is started (which I guess how it will work also)? And then X (in pips will be added each time trailing updates in this case 1hour timeframe)

  

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