Updated version of trailing SL

tob107 · Fri, 18 Aug 2017 10:44:47 +0000

Hi, I tried to post a comment here in another thread (https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/) but could add code, so I’ll post it here instead. This has been in the back of my mind for quite some time, and I finally got around to work on it. I have changed the way that the SL is updated after first being initialized. Instead of moving in increments of TrailingStep, the newSL is now based on the close of the highest candle since the trade was entered. So imagine if a trade goes our way, with 5 30 pip candles (!) after the SL was first initialized. Then, to use TrailingStep of 5 (as above), the SL would move 5*5 (=25) pips in the original version. If we instead base the SL on the previously closed candle and we use the TrailingStart of 20 as above, we lock in 130 out of the 150 pips. Since I’m working on pretty short time frames, this suits me better. Hopefully someone else can make use of it as well. I had to introduce the variable CAND to find the highest/lowest close from the time the trade was entered, instead of simply use higher/lower close since there can be spikes and dips. And, like I mentioned before – TrailingStart is now the difference between the highest/lowest close and the SL (aka how much leg room you’ll allow price) and the TrailingStep is how much you’d like to lock in when price have gone TrailingStart in your way. No offence, Nicolas – I’m just trying to improve it! Comments are more than welcome! Tobias IF TSL = 1 THEN //reset the stoploss value IF NOT ONMARKET THEN newSL = 0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL = 0 AND CLOSE - TRADEPRICE(1) >= TrailingStart*PipSize THEN newSL = TRADEPRICE(1) + TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] > HIGHEST[CAND](CLOSE) THEN newSL = CLOSE[1] - TrailingStart*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL = 0 AND TRADEPRICE(1) - CLOSE[1] >= TrailingStart*PipSize THEN newSL = TRADEPRICE(1) - TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] < LOWEST[CAND](CLOSE) THEN newSL = CLOSE[1] + TrailingStart*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF SET STOP pLOSS SL ENDIF

This topic has 19 replies, 3 voices, and was last updated 8 months ago by Acivi90.

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04/17/2024 at 9:46 PM #231636

JS

Hi

I know that the “Set Stop %Trailing” doesn’t work (yet) at IB (Interactive Brokers)…

Somewhere in the code it says “//first move (breakeven)” but that “breakeven” doesn’t really happen because then the newSL=TradePrice(1)… What does happen (immediately) is that the trailing starts… I don’t know if you want this…

JS
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04/17/2024 at 10:40 PM #231637

JS

You can also use these types of trailing stops in combination with the “new trading instructions“ for example: Set Stop BreakEven, Set Target Price, Set Stop Price… With these instructions, you will avoid constantly placing “pending orders“… @Nicolas is the use of these “new trading instructions“ better than the use of the “pending“ variant, and by better I mean for example: better for the communication of the PRT servers with the broker? I can imagine that because it saves a lot of pending orders…

JS
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04/18/2024 at 7:56 AM #231642

Nicolas

Indeed, that instructions are “better”.

Nicolas
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04/18/2024 at 11:30 AM #231657

JS

Thanks Nicolas…. So it‘s fair to say that, for the “robustness“ of communication with the broker, it‘s better to use these new instructions in your system than the “pending“ variant…

JS
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04/18/2024 at 8:11 PM #231672

Acivi90

Okay, i am not that at codeing this, how should a good trailing stopp look like if i want 0.6% trailing from highest candel from start and when i am 0.6% profit i want the trailing to change start from 0.4% from highest candel.

Acivi90
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