ATR trailing stop exit problem

• 01/07/2018 at 12:41 PM #57580
  rdcarvajal

  Hi,

  I have been learning the PRT-language for coding a proven system that i currently trade manually on daily bars. I have done a Montecarlo and it should work on other timeframes hence the need for automated trading . I use an ATR-trailing stop and when price during the day touches the ATR-trail it gets out of the position. The problem i have is that ProOrder always exits on the next candle, which is a big problem since it can lead to bigger losses. I know there is no way around this when using the EXIT command, but i think there might be a solution with some sort of adaptive stop (or trailing stop) that changes as the trade progresses, I just haven’t been able to work around it. Please have a look at the attached graph for better understanding.

  Any help will be greatly appreciated. Thank you.

  This is a simplified sample code for reference.

  Attempted solution (it didn't work)

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Conditions to enter long positions indicator1 = ExponentialAverage[8](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 AND not daysForbiddenEntry THEN BUY 5 CONTRACT AT MARKET ENDIF // Conditions to exit long positions indicator3 = CALL "2ATR trailing stop" c2 = (low < indicator3) StopLoss=Close[1]-indicator3[1] IF c2 THEN SET STOP TRAILING StopLoss ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   // Conditions to enter long positions indicator1 = ExponentialAverage[8](close) indicator2 = ExponentialAverage[50](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 AND not daysForbiddenEntry THEN BUY 5 CONTRACT AT MARKET ENDIF   // Conditions to exit long positions indicator3 = CALL "2ATR trailing stop" c2 = (low < indicator3) StopLoss=Close[1]-indicator3[1]   IF c2 THEN SET STOP TRAILING StopLoss ENDIF

   

   

  

  rdcarvajal

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  01/07/2018 at 2:50 PM #57609
  Vonasi

  Use a SELL STOP at the chosen price.

  SELL at <your chosen price> STOP

  1	SELL at <your chosen price> STOP

   

  

  Vonasi

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  01/08/2018 at 9:38 AM #57670
  rdcarvajal

  Hi Vonasi:

  It worked! and so simple… Thanks a lot.

  Cheers,

  

  rdcarvajal

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