The purpose of this code is to:
- set BreakEven after TRAILSTART profit (in Pips)
- add a Percentage (BASEPERCENT) to lock in some profits
- increase that Percentage each STEPSIZE chunk of pips (20% will increase BASEPERCENT by a factor of 0.20, thus, say 30%, would become 36% after the first step, then 43.2 on the second step and so on…) to lock in more profits as they move towards TP
- make sure the exit price meets the broker’s minimun distance requirements to avoid unpredictable exits
IF Not OnMarket THEN
//
// when NOT OnMarket reset values to default values
//
TrailStart = 30 //30 Start trailing profits from this point
BasePerCent = 0.200 //20.0% Profit percentage to keep when setting BerakEven
StepSize = 10 //10 Pip chunks to increase Percentage
PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk
RoundTO = -0.5 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour
PriceDistance = 7 * pipsize //7 minimun distance from current price
y1 = 0 //reset to 0
y2 = 0 //reset to 0
ProfitPerCent = BasePerCent //reset to desired default value
ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG positions
//
// compute the value of the Percentage of profits, if any, to lock in for LONG trades
//
x1 = (close - tradeprice) / pipsize //convert price to pips
IF x1 >= TrailStart THEN // go ahead only if N+ pips
Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart
Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100%
y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit
ENDIF
ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN //SHORT positions
//
// compute the value of the Percentage of profits, if any, to lock in for SHORT trades
//
x2 = (tradeprice - close) / pipsize //convert price to pips
IF x2 >= TrailStart THEN // go ahead only if N+ pips
Diff2 = abs(TrailStart - x2) //difference from current profit and TrailStart
Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100%
y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit
ENDIF
ENDIF
IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions)
SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price
//
// check the minimun distance between ExitPrice and current price
//
IF abs(close - SellPrice) > PriceDistance THEN
//
// place either a LIMIT or STOP pending order according to current price positioning
//
IF close >= SellPrice THEN
SELL AT SellPrice STOP
ELSE
SELL AT SellPrice LIMIT
ENDIF
ELSE
//
//sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price
//
SELL AT Market
ENDIF
ENDIF
IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions)
ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price
//
// check the minimun distance between ExitPrice and current price
//
IF abs(close - ExitPrice) > PriceDistance THEN
//
// place either a LIMIT or STOP pending order according to current price positioning
//
IF close <= ExitPrice THEN
EXITSHORT AT ExitPrice STOP
ELSE
EXITSHORT AT ExitPrice LIMIT
ENDIF
ELSE
//
//ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price
//
EXITSHORT AT Market
ENDIF
ENDIF
Ciao Roberto, thanks for linking to this – looks really interesting, wish I’d seen it months ago.
If I wanted to convert both the trailing start and step to %, does this look right? not sure if it should be done onmarket or not onmarket?
IF Not OnMarket THEN
//
// when NOT OnMarket reset values to default values
trailingPercent = .15
stepPercent = .01//
TrailStart = tradeprice(1)*(trailingpercent/100) //% Start trailing profits from this point
StepSize = tradeprice(1)*(stepPercent/100) //% step
No, it changes the logic, other lines need to be changed.
I will try to do it asss asap.
it changes the logic
yes, I see that now – both TrailStart and Stepsize are used in the calculation. I didn’t look at it that closely. Never mind, I can use it as is with fixed values. Thanks again.
Astonishing result – is this even possible? to change one component and double the profit? Kills the %win but who cares. Left is with Nicolas’s %TS, right is yours with these settings:
TrailStart = 24 //30 Start trailing profits from this point
BasePerCent = 10 //20.0% Profit percentage to keep when setting BerakEven
StepSize = 2.5 //10 Pip chunks to increase Percentage
PerCentInc = 2 //10.0% PerCent increment after each StepSize chunk
Scarcely believable. Unfortunately I’ve not seen this kind of improvement on other algos, but there is always an improvement (and always at the cost of reduced %win).
Sei un genio, grazie mille!
Did you change the logic?
Because the logic I used when I wrote it was such that
BasePerCent = 10
assigns BasePerCent a percentage of 1000%, which means that any trade will be exited as soon as it reaches 24 pips.
10%, as I wrote it, should be 0.1.
But this may be positive if it yields more profits, provided drawdown doesn’t increase much.
Ah, that would explain a few things. I saw the 20% rem’d out and overlooked that you had already calculated the % as a decimal. Same with PerCentInc. Strange though, that the optimiser was happy to work with integer values for both of those. I’ll run it again with decimal values.
Ok, sanity is restored, all’s right with the world. A modest improvement of every metric – this is much better.
TrailStart = 25 //30 Start trailing profits from this point
BasePerCent = .05 //20.0% Profit percentage to keep when setting BerakEven
StepSize = 6 //10 Pip chunks to increase Percentage
PerCentInc = .02 //10.0% PerCent increment after each StepSize chunk
Hello Roberto,
trying your code, I have found that in the following case, the code is bugging.
Case: if you have one big candle where your profit jump in one shot, and you use a small Stepsize parameter, then ProfitPerCent becomes huge and so does the sellprice/exitprice vs latest price
That’s what I intended to do, just increase the percentage as chunks (lines 20-23 and 32-35) of StepSize profits show.
I understand what you mean, you can address it by decreasing PerCentInc or increasing StepSize or, say, halving chunks (adding a line between 21 and 22):
Chunks1 = max(1,Chunks1 * 0.50) //no need to round it
the same between lines 33-34 with Chunks2.
You could also add a check that this adjustment be done only when chunks are more than N or when a candle’s body is, say, twice its 20-period average.
There’s no limit to further development and customization.
Hi,
Will this code overwrite a stop loss sett at opening of a position?
Or is it possible to modify this so a stop loss is created at opening and then starts trailing if the position is plus?
Best,
Christoffer
You should also use SET STOP LOSS, since they are different and can be used together.
This code deals only with trailing stop, not the stop itself.
Hello Roberto,
Thank you for this very nice piece of code! I’m very new into this and have used this code in one of my first algos that I’m testing in Demo with good results. I’m very happy with the entry criterias for my algo but I find it to be in the market for too long to “keep the edge” of the entry and would therefore like to try a thought that I have to add a function so that the Trailing Stop slowly increases (for a long order) even if the market lose momentum and the close price is not moving.
For example by counting bars since starting the trailing and increase the Breakeven x% per bar that pass.
I have not managed to solve this in a good way on my own, so I’m now turning to you. Any thoughts of a good way to add such a feature to this code?
THX!
I added a number of bars to add an additional percentage, so that the trade will exit shorter:
IF Not OnMarket THEN
//
// when NOT OnMarket reset values to default values
//
TrailStart = 30 //30 Start trailing profits from this point
BasePerCent = 0.200 //20.0% Profit percentage to keep when setting BerakEven
StepSize = 10 //10 Pip chunks to increase Percentage
PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk
BarNumber = 10 //10 Add further % so that trades don't keep running too long
BarPerCent = 0.100 //10% Add this additional percentage every BarNumber bars
RoundTO = -0.5 //-0.5 rounds always to Lower integer, +0.4 rounds always to Higher integer, 0 defaults PRT behaviour
PriceDistance = 7 * pipsize //7 minimun distance from current price
y1 = 0 //reset to 0
y2 = 0 //reset to 0
ProfitPerCent = BasePerCent //reset to desired default value
TradeBar = BarIndex
ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG positions
//
// compute the value of the Percentage of profits, if any, to lock in for LONG trades
//
x1 = (close - tradeprice) / pipsize //convert price to pips
IF x1 >= TrailStart THEN // go ahead only if N+ pips
Diff1 = abs(TrailStart - x1) //difference from current profit and TrailStart
Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) //number of STEPSIZE chunks
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) //compute new size of ProfitPerCent
// compute number of bars elapsed and add an additionl percentage
// (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent)
// (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%)
BarCount = BarIndex - TradeBar
IF BarCount MOD BarNumber = 0 THEN
ProfitPerCent = ProfitPerCent + BarPerCent
ENDIF
//
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100%
y1 = max(x1 * ProfitPerCent, y1) //y1 = % of max profit
ENDIF
ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN //SHORT positions
//
// compute the value of the Percentage of profits, if any, to lock in for SHORT trades
//
x2 = (tradeprice - close) / pipsize //convert price to pips
IF x2 >= TrailStart THEN // go ahead only if N+ pips
Diff2 = abs(TrailStart - x2) //difference from current profit and TrailStart
Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) //number of STEPSIZE chunks
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) //compute new size of ProfitPerCent
// compute number of bars elapsed and add an additionl percentage
// (this percentage is different from PerCentInc, since it's a direct percentage, not a Percentage of BasePerCent)
// (if BasePerCent is 20% and this is 10%, the whole percentage will be 30%, not 22%)
BarCount = BarIndex - TradeBar
IF BarCount MOD BarNumber = 0 THEN
ProfitPerCent = ProfitPerCent + BarPerCent
ENDIF
//
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) //make sure ProfitPerCent doess not exceed 100%
y2 = max(x2 * ProfitPerCent, y2) //y2 = % of max profit
ENDIF
ENDIF
IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions)
SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price
//
// check the minimun distance between ExitPrice and current price
//
IF abs(close - SellPrice) > PriceDistance THEN
//
// place either a LIMIT or STOP pending order according to current price positioning
//
IF close >= SellPrice THEN
SELL AT SellPrice STOP
ELSE
SELL AT SellPrice LIMIT
ENDIF
ELSE
//
//sell AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price
//
SELL AT Market
ENDIF
ENDIF
IF y2 THEN //Place pending STOP order when y2 > 0 (SHORT positions)
ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price
//
// check the minimun distance between ExitPrice and current price
//
IF abs(close - ExitPrice) > PriceDistance THEN
//
// place either a LIMIT or STOP pending order according to current price positioning
//
IF close <= ExitPrice THEN
EXITSHORT AT ExitPrice STOP
ELSE
EXITSHORT AT ExitPrice LIMIT
ENDIF
ELSE
//
//ExitShort AT MARKET when EXITPRICE does not meet the broker's minimun distance from current price
//
EXITSHORT AT Market
ENDIF
ENDIF
