Strange behaviour MFE Trailing Stop

• 11/22/2018 at 5:59 PM #85515
  PZonda5

  When playing around with a MFE Trailing Stop, I came across this very strange problem.

  On the 9th of may 2018 at 9:21 on the Germany 30 Cash (€1)(3min) a Long trade is entered for a price of 12,920.9. At 11:39 a first temporary top is reached at 12,960.7 (closing price). A difference of 39.8 points.

  In my code the MFE Trailing Stop is set to be activated after 100 points. Despite the fact that the top was not higher than 39.8 points the Long trade will be sold at 14:03.

  When I changed the parameter of the priceexit I noticed the following.

  Formula: priceexit = MAXPRICE-trailingstop*pointsize*0.63

  When the value is between 0.63 and 0.70 the problem will arise and the Long trade will be sold at 14:03.

  But when this value is lower than 0.63 or higher than 0.71, the MFE Trailing Stop will work normal again. In those instances the system will sell the Long trade on the 10th of may, after 10:00, when a top of 110.90 points is reached.

  This seems like a very strange and range specific problem and I don’t know what is causing it. It also only seems to happen at the 9th of may. On the 8th of june, for example, a similar Long trade is activated, but there don’t seem to be any problems with the MFE Trailing Stop.

  // Common Rules Defparam Cumulateorders = False Defparam Preloadbars = 1000 // On/off Extratradecriteria = 1 // I.e. Long; Only Enters When The Current Bar High Is Lower Then The Lowest Daily High From Today, Yesterday And Day Before. // Settings Positionsize = 1 SL = 0.88 // % Stoploss PT = 1.41 // % Profit Target Nopl=13 //number of points long Nops=14 //number of points short // Day & Time Once Entertime = 090000 Once Lasttime = 100000 Once Closetimefriday=173000 Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 // [mc] Main Criteria If Time = Entertime Then Dayopen=open Endif If High > Dayopen+nopl Then Mclong=1 Else Mclong=0 Endif If Low < Dayopen-nops Then Mcshort=1 Else Mcshort=0 Endif // [ec] Extra Criteria If Extratradecriteria Then Min1 = Min(Dhigh(0),dhigh(1)) Min2 = Min(Dhigh(1),dhigh(2)) Max1 = Max(Dlow(0),dlow(1)) Max2 = Max(Dlow(1),dlow(2)) Eclong = High < Min(Min1,min2) Ecshort = Low > Max(Max1,max2) else Eclong=1 Ecshort=1 Endif // Long & Short Entry If Tradetime Then If Mclong and Eclong Then Buy Positionsize Contract At Market Endif If Mcshort and Ecshort Then Sellshort Positionsize Contract At Market Endif Endif //trailing stop trailingstop = 100 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize*0.63 //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then SELL AT priceexit STOP endif // Exit At Closetime Friday If Onmarket Then If (Currentdayofweek=5 And Time>=closetimefriday) Then Sell At Market Exitshort At Market Endif Endif //Profit & Stop Loss SET TARGET %PROFIT PT Set Stop %loss SL

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99

  // Common Rules Defparam Cumulateorders = False Defparam Preloadbars = 1000   // On/off Extratradecriteria   = 1 // I.e. Long; Only Enters When The Current Bar High Is Lower Then The Lowest Daily High From Today, Yesterday And Day Before.   // Settings Positionsize = 1 SL   = 0.88 // % Stoploss PT   = 1.41 // % Profit Target   Nopl=13 //number of points long Nops=14 //number of points short   // Day & Time Once Entertime = 090000 Once Lasttime  = 100000 Once Closetimefriday=173000   Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2   // [mc] Main Criteria If Time = Entertime Then Dayopen=open Endif   If High > Dayopen+nopl Then Mclong=1 Else Mclong=0 Endif   If Low < Dayopen-nops Then Mcshort=1 Else Mcshort=0 Endif   // [ec] Extra Criteria If Extratradecriteria Then Min1 = Min(Dhigh(0),dhigh(1)) Min2 = Min(Dhigh(1),dhigh(2))   Max1 = Max(Dlow(0),dlow(1)) Max2 = Max(Dlow(1),dlow(2))   Eclong = High < Min(Min1,min2) Ecshort = Low > Max(Max1,max2) else Eclong=1 Ecshort=1 Endif   // Long & Short Entry If Tradetime Then If Mclong and Eclong Then Buy Positionsize Contract At Market Endif If Mcshort and Ecshort Then Sellshort Positionsize Contract At Market Endif Endif   //trailing stop trailingstop = 100 //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 priceexit = 0 endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize*0.63 //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then SELL AT priceexit STOP endif   // Exit At Closetime Friday If Onmarket Then If (Currentdayofweek=5 And Time>=closetimefriday) Then Sell At Market Exitshort At Market Endif Endif   //Profit & Stop Loss SET TARGET %PROFIT PT Set Stop %loss SL

  If anyone could explain the reason behind this problem (something in the code?), I would be very grateful.

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  Paul

  

  PZonda5

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  11/23/2018 at 2:20 AM #85542
  robertogozzi

  There are two major logical errors to correct:

  1 – as from my pic, when the trade on May 9th is opened PRICEEXIT still retains the previous value because the second previous price on May 7th was not properly closed, but automatically closed when a new one was entered on the 8th, so the status ONMARKET has always been true and lines 72-73 have NEVER been executed (my suggestion is to add a condition at line 58 to check OnMarket status:

  If Tradetime AND Not OnMarket Then

  1	If Tradetime AND Not OnMarket Then

  2 – you trail stops when LONGONMARKET (lines 77-82) but not when SHORTONMARKET.

  I also suggest adding these invaluable lines (only 5 variables for real accounts, unlimited for demo ones?) to debug your code using your dearest friend GRAPH:

  graph PT graph SL graph Tradeprice graph close graph Currentdayofweek graph closetimefriday graph priceexit graph onmarket

  1 2 3 4 5 6 7 8

  graph PT graph SL graph Tradeprice graph close graph Currentdayofweek graph closetimefriday graph priceexit graph onmarket

   

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  PZonda5, Paul

  

  robertogozzi

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  11/23/2018 at 8:11 AM #85549
  robertogozzi

  The trade opened on the 8th was obviously opposite to the one opened on the 7th.

  

  robertogozzi

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