Thank you robertogozzi for this excellent code! I’ve adopt it as my new standard.
Through various backtests, I observed that with a single set of parameters, you can leave sizeable chunk of money on the table for (P10 trades) high stake trades. So, I thought of making staged parameters, i.e. parameters change after a certain level of profit to take the maximum juice. Please don’t pay attention to the performance of the System itself, it was just quick and dirty one for the test.
To test the concept, I run the simulation on 10k (1) with the original code (right hand side picture), and (2) with my suggested code below (left hand side) . We can see with the original code the sum of the difference between MFE and actual performance is 432, i.e. loss of opportunity to make another 432. On the left hand side, the same difference makes only 236. So with is a tighter trailing system after a certain threshold of gain, we generate +196 of additional profit (45% of the 432!), but gained less on certain trades, but overall we are +100 over the base case. Another side benefit is the drawdown which went from -383 to -224. This is I think a proof of concept, but optimisation needs to take place on a much larger units >100k.
Now, my coding skills are far from being perfect, so anyone who can please review the change and suggest improvements. Obviously, we can continue the serie and create Threshold1, Threshold2, etc. to reduce the difference between MFE and actual performance as the profits grow.
// NewTrade is true whenever a new trade is opened, be it:
//
// - a trade when there was none previously
// - a trade that has changed direction due to a Stop & Reverse (it's Long and previously was Short and viceversa)
//
// This will be useful to reset variables to their initial values after a trade has been opened.
//
NewTrade = (OnMarket AND Not OnMarket[1]) OR (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket)
//
// Reset variables to their initial value when a new trade shows
//
IF Not OnMarket OR NewTrade THEN //reset to default values when a new trade has been opened (or none is OnMarket)
PerCentTP = 2.0 //2.0% is TP
PerCentStart = 0.2 //0.2% is the Trailing Stop trigger level
PerCentStep = 0.2 //0.2% is each subsequent step
PerCentSaved = 0.1 //0.1% is how much profit has to be saved when trailing starts and every step
Multiplier = 1.5 //1.5 is how much PerCentSaved is incremented each trailing step
// 1.5 is a 50% increment, so that:
// 0.1% becomes 0.15%, then
// 0.15% becomes 0.225%, then
// 0.225% becomes 0.3375%, etc...
PerCentTP1 = PerCentTP //2.0 //2.0% is TP
PerCentStart1 = PerCentStart //0.2 //0.2% is the Trailing Stop trigger level
PerCentStep1 = 0.2 //0.2% is each subsequent step
PerCentSaved1 = 0.1 //0.1% is how much profit has to be saved when trailing starts and every step
Multiplier1 = 1.5 //1.5 is how much PerCentSaved is incremented each trailing step
Distance = 4//6 //6 pip distance from current price (if required by the broker)
MySL = 0
MySL1 = 0
ProfitPerCent = 0
ENDIF
//
// The trailing stop can operate only when OnMarket
//
IF OnMarket THEN
//
// before the trailing stop is triggered some calculations need to be done, accordin to settings
//
IF MySL = 0 THEN
PCent = PositionPrice * PerCentTP / 100
PStart = PositionPrice * PerCentStart / 100
PStep = PositionPrice * PerCentStep / 100
PSaved = PositionPrice * PerCentSaved / 100
ENDIF
//
// check if Trailing Stop has to be triggered
//
IF MySL = 0 THEN
IF LongOnMarket THEN
IF (close - PositionPrice) >= PStart THEN
MySL = min(close,PositionPrice + PSaved)
PSaved = PSaved * Multiplier
ENDIF
ELSIF ShortOnMarket THEN
IF (PositionPrice - close) >= PStart THEN
MySL = max(close,PositionPrice - PSaved)
PSaved = PSaved * Multiplier
ENDIF
ENDIF
ELSE
//
// check if another Step has been triggered
//
IF LongOnMarket THEN
IF (close - MySL) >= PStep THEN
MySL = min(close,MySL + PSaved)
PSaved = PSaved * Multiplier
ENDIF
ELSIF ShortOnMarket THEN
IF (MySL - close) >= PStep THEN
MySL = max(close,MySL - PSaved)
PSaved = PSaved * Multiplier
ENDIF
ENDIF
ENDIF
//
// place Pending STOP orders
//
IF MySL > 0 THEN
IF (MySL = close) OR (abs(MySL - close) < Distance) THEN //exit immediately in case MySL has reached
// the current price or there's not enough DISTANCE
SELL AT MARKET
EXITSHORT AT MARKET
ELSE
SELL AT MySL STOP
EXITSHORT AT MySL STOP
ENDIF
ENDIF
/////////
IF (longonmarket and (close-tradeprice)>=limit1) or (shortonmarket and (tradeprice-close)>=limit1) then
IF MySL1 = 0 THEN
PCent1 = PositionPrice * PerCentTP1 / 100
PStart1 = PositionPrice * PerCentStart1 / 100
PStep1 = PositionPrice * PerCentStep1 / 100
PSaved1 = PositionPrice * PerCentSaved1 / 100
ENDIF
//
// check if Trailing Stop has to be triggered
//
IF MySL1 = 0 THEN
IF LongOnMarket THEN
IF (close - PositionPrice) >= PStart1 THEN
MySL1 = min(close,PositionPrice + PSaved1)
PSaved1 = PSaved1 * Multiplier1
ENDIF
ELSIF ShortOnMarket THEN
IF (PositionPrice - close) >= PStart1 THEN
MySL1 = max(close,PositionPrice - PSaved1)
PSaved1 = PSaved1 * Multiplier1
ENDIF
ENDIF
ELSE
//
// check if another Step has been triggered
//
IF LongOnMarket THEN
IF (close - MySL1) >= PStep1 THEN
MySL1 = min(close,MySL1 + PSaved1)
PSaved1 = PSaved1 * Multiplier1
ENDIF
ELSIF ShortOnMarket THEN
IF (MySL1 - close) >= PStep1 THEN
MySL1 = max(close,MySL1 - PSaved1)
PSaved1 = PSaved1 * Multiplier1
ENDIF
ENDIF
ENDIF
//
// place Pending STOP orders
//
IF MySL1 > 0 THEN
IF (MySL1 = close) OR (abs(MySL1 - close) < Distance) THEN //exit immediately in case MySL has reached
// the current price or there's not enough DISTANCE
SELL AT MARKET
EXITSHORT AT MARKET
ELSE
SELL AT MySL1 STOP
EXITSHORT AT MySL1 STOP
ENDIF
ENDIF
ENDIF
////////
ENDIF
