ATR Stop Loss query

• 01/14/2020 at 10:07 PM #116821
  sulimaster

  Hi

  In the below code, is the ATR related stop loss level re-calculated after close of every bar when trade is on market? I want to use the ATR of the bar just before the trade was executed. Any ideas how this can be coded please?

  Thanks

  Sachin

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated x = AroonUp[10] y = AroonDown[10] // Conditions to enter long positions IF (x > y) THEN BUY 1 PERPOINT AT MARKET ENDIF // Conditions to exit long positions IF (y > x) THEN SELL AT MARKET ENDIF // Conditions to enter short positions // IF (y > x) THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF // Conditions to exit short positions IF (x > y) THEN EXITSHORT AT MARKET ENDIF SET STOP LOSS AverageTrueRange[14](close)

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   x = AroonUp[10] y = AroonDown[10]   // Conditions to enter long positions   IF (x > y) THEN BUY 1 PERPOINT AT MARKET ENDIF   // Conditions to exit long positions   IF (y > x) THEN SELL AT MARKET ENDIF   // Conditions to enter short positions // IF (y > x) THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF   // Conditions to exit short positions   IF (x > y) THEN EXITSHORT AT MARKET ENDIF   SET STOP LOSS AverageTrueRange[14](close)

   

  

  sulimaster

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  01/14/2020 at 10:51 PM #116825
  robertogozzi

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated IF OnMarket THEN SL = 0 ELSE SL = AverageTrueRange[14](close) ENDIF x = AroonUp[10] y = AroonDown[10] // Conditions to enter long positions IF (x > y) THEN BUY 1 PERPOINT AT MARKET ENDIF // Conditions to exit long positions IF (y > x) THEN SELL AT MARKET ENDIF // Conditions to enter short positions // IF (y > x) THEN SELLSHORT 1 PERPOINT AT MARKET ENDIF // Conditions to exit short positions IF (x > y) THEN EXITSHORT AT MARKET ENDIF IF SL > 0 THEN SET STOP LOSS SL ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   IF OnMarket THEN    SL = 0 ELSE    SL = AverageTrueRange[14](close) ENDIF   x = AroonUp[10] y = AroonDown[10] // Conditions to enter long positions IF (x > y) THEN    BUY 1 PERPOINT AT MARKET ENDIF // Conditions to exit long positions IF (y > x) THEN    SELL AT MARKET ENDIF // Conditions to enter short positions // IF (y > x) THEN    SELLSHORT 1 PERPOINT AT MARKET ENDIF // Conditions to exit short positions IF (x > y) THEN    EXITSHORT AT MARKET ENDIF   IF SL > 0 THEN    SET STOP LOSS SL ENDIF

  you need to calculate and set SL only when not Onmarket, once a trade is opened it must no be set anymore.

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  sulimaster

  

  robertogozzi

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  01/14/2020 at 10:54 PM #116826
  Vonasi

  Try this (not tested). The ATR stop is fixed at the ATR value at the close of the decision bar which is the one before the trade is actually executed. Not sure if you mean this bar or the one before the decision bar so just change the [0] to [1] in AverageTrueRange[14](close[0]) if it is the the ATR of the bar before the decision bar that you mean.

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated x = AroonUp[10] y = AroonDown[10] // Conditions to enter long positions IF not longonmarket and(x > y) THEN BUY 1 PERPOINT AT MARKET SET STOP LOSS AverageTrueRange[14](close[0]) ENDIF // Conditions to exit long positions IF (y > x) THEN SELL AT MARKET ENDIF // Conditions to enter short positions // IF not shortonmarket and (y > x) THEN SELLSHORT 1 PERPOINT AT MARKET SET STOP LOSS AverageTrueRange[14](close[0]) ENDIF // Conditions to exit short positions IF (x > y) THEN EXITSHORT AT MARKET ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   x = AroonUp[10] y = AroonDown[10]   // Conditions to enter long positions   IF not longonmarket and(x > y) THEN BUY 1 PERPOINT AT MARKET SET STOP LOSS AverageTrueRange[14](close[0]) ENDIF   // Conditions to exit long positions   IF (y > x) THEN SELL AT MARKET ENDIF   // Conditions to enter short positions // IF not shortonmarket and (y > x) THEN SELLSHORT 1 PERPOINT AT MARKET SET STOP LOSS AverageTrueRange[14](close[0]) ENDIF   // Conditions to exit short positions   IF (x > y) THEN EXITSHORT AT MARKET ENDIF

   

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  Vonasi

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  01/14/2020 at 10:57 PM #116827
  Vonasi

  Roberto – you beat me by three minutes but your code will not set the stop loss until the trade has been open for one bar.

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  Vonasi

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  01/14/2020 at 11:30 PM #116829
  sulimaster

  Thanks Vonasi

  Yes, ATR at close of the decision bar. Your code will execute both rows 10 and 11? No need for AND or anything else after MARKET on row 10 and before SET on row 11?

  

  sulimaster

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  01/14/2020 at 11:53 PM #116831
  Vonasi

  No. Any time SET is read in the code it sends an order to your broker. That order stays on the market till it is either filled or it is cancelled or changed by another SET instruction being read in the code.

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  Vonasi

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  01/15/2020 at 12:18 AM #116833
  sulimaster

  Thank you Vonasi. Learnt something very useful today.

  FYI – I’ve done a quick test and it seems to work

  

  sulimaster

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