BreakEven & Trailing Profit: complete function

• 11/12/2021 at 6:41 AM #181482
  robertogozzi

  It’s lines 45 and 50.
  There’s no MyEquity.

  

  robertogozzi

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  01/05/2022 at 3:56 PM #184646
  Khaled

  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.

  Staged Trailing

  // 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

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  // 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

   

  

  Khaled

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  01/06/2022 at 6:54 PM #184779
  robertogozzi

  Good job Khaled, it actually can be improved like any other code.

  I improved mine this way:

  • when the strategy takes too long to reach the target, it might mean it could  soon retrace, so I added code to multiply the percentage (or the number of pips) saved by a factor of 1.2 (or 1,5,  or so) every, say, 100 or 200 candles; doing so will ensure that a retracement will still end in a higher profit;
  • when the profit reaches 75% target, I use another multiplier to lock in more profits.

  You can think of any kind of improvement. This may imply having a trailing stop management longer more than the strategy itself, but this is not an issue in most cases.

   

  1 user thanked author for this post.

  Khaled

  

  robertogozzi

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  01/21/2022 at 11:34 AM #186149
  paisantrader

  I had a short position where the trailing stop never got moved yesterday and I can’t find why.

  It opened at 14711.4 (close before it opened was at 14712.8), lowest close was at 14620.2 and TS was set at 0.4%.
  TrailStartShort: 14712.8*0.4/100 = 58.9
  14711.4-58.9 = 14652.5

  It should have kicked in ~30p before the lowest close. What am I missing here?

  //------------------------------------------------------------------------------------------------------------------------------------------------ // Trailing Start //------------------------------------------------------------------------------------------------------------------------------------------------ DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCentLong = 0.4 //0.25% to start triggering Trailing Stop StartPerCentShort = 0.4 StepPerCent = 10 //50% (of the 0.25% above) as a Trailing Step (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) BasePerCent = 1.0 //0.1-1 Profit percentage to keep when setting BreakEven PerCentInc = 0.8 // 0.1-1 PerCent increment after each StepSize chunk // TrailStartLong = (close / PipSize) * StartPerCentLong / 100 //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100 //use current price (CLOSE) for calculations StepSizeLong = TrailStartLong * StepPerCent / 100 StepSizeShort = TrailStartShort * StepPerCent / 100 // 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 //PositionCount = 0 SellPrice = 0 SellPriceX = 0 ExitPrice = 9999999 ExitPriceX = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1 = PositionPrice + ((Close - PositionPrice) * ProfitPerCent) //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1 = PositionPrice - ((PositionPrice - Close) * ProfitPerCent) //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND Close > (PositionPrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (Close - PositionPrice) / pipsize //convert price to pips IF x1 >= TrailStartLong THEN // go ahead only if N+ pips Diff1 = abs(TrailStartLong - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSizeLong) + 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 < (PositionPrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - Close) / pipsize //convert price to pips IF x2 >= TrailStartShort THEN // go ahead only if N+ pips Diff2 = abs(TrailStartShort - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSizeShort) + 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 //------------------------------------------------------------------------------ // manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = max(SellPrice,PositionPrice + (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 = min(ExitPrice,PositionPrice - (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

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  //------------------------------------------------------------------------------------------------------------------------------------------------ //                     Trailing Start //------------------------------------------------------------------------------------------------------------------------------------------------   DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket)  //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCentLong  = 0.4    //0.25%  to start triggering Trailing Stop StartPerCentShort = 0.4 StepPerCent       = 10     //50%    (of the 0.25% above) as a Trailing Step (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) BasePerCent       = 1.0    //0.1-1  Profit percentage to keep when setting BreakEven PerCentInc        = 0.8    // 0.1-1    PerCent increment after each StepSize chunk //   TrailStartLong = (close / PipSize) * StartPerCentLong / 100        //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100       //use current price (CLOSE) for calculations   StepSizeLong   = TrailStartLong * StepPerCent / 100 StepSizeShort   = TrailStartShort * StepPerCent / 100   // 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 //PositionCount = 0 SellPrice     = 0 SellPriceX    = 0 ExitPrice     = 9999999 ExitPriceX    = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1         = PositionPrice + ((Close - PositionPrice) * ProfitPerCent)      //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice  = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1         = PositionPrice - ((PositionPrice - Close) * ProfitPerCent)      //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice  = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND Close > (PositionPrice + (y1 * pipsize)) THEN                              //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (Close - PositionPrice) / pipsize                                     //convert price to pips IF x1 >= TrailStartLong THEN                                                //    go ahead only if N+ pips Diff1         = abs(TrailStartLong - x1)                                 //difference from current profit and TrailStart Chunks1       = max(0,round((Diff1 / StepSizeLong) + 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 < (PositionPrice - (y2 * pipsize)) THEN                             //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - Close) / pipsize                                     //convert price to pips IF x2 >= TrailStartShort THEN                                                //      go ahead only if N+ pips Diff2         = abs(TrailStartShort - x2)                                 //difference from current profit and TrailStart Chunks2       = max(0,round((Diff2 / StepSizeShort) + 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 //------------------------------------------------------------------------------ //                    manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN                                                                 //Place pending STOP order when y1 > 0   (LONG positions) SellPrice = max(SellPrice,PositionPrice + (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 = min(ExitPrice,PositionPrice - (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

  

  paisantrader

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  01/21/2022 at 12:54 PM #186177
  robertogozzi

  Please post the code, otherwise it’s impossible to tell.

  What istrument and TF were you trading?

   

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  paisantrader

  

  robertogozzi

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  01/21/2022 at 2:43 PM #186195
  paisantrader

  Instrument: Nasdaq
  TF: 3min
  TZ: UTC-5

  The below code will replicate it. The trade opened 20:54 US/Eastern on January 20.

  But as I state in the code below, if I put “date = 20220121”, it opens the trade on 19th instead for some reason.

  defparam cumulateorders = false defparam preloadbars = 50000 // Should be january 20, be if I put 20220120 it opens on 19th instead if date = 20220121 and time = 205400 then sellshort 1 contract at market set stop %loss 1.3 endif //------------------------------------------------------------------------------------------------------------------------------------------------ // Trailing Start //------------------------------------------------------------------------------------------------------------------------------------------------ DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket) //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCentLong = 0.4 //0.25% to start triggering Trailing Stop StartPerCentShort = 0.4 StepPerCent = 10 //50% (of the 0.25% above) as a Trailing Step (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) BasePerCent = 1.0 //0.1-1 Profit percentage to keep when setting BreakEven PerCentInc = 0.8 // 0.1-1 PerCent increment after each StepSize chunk // TrailStartLong = (close / PipSize) * StartPerCentLong / 100 //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100 //use current price (CLOSE) for calculations StepSizeLong = TrailStartLong * StepPerCent / 100 StepSizeShort = TrailStartShort * StepPerCent / 100 // 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 //PositionCount = 0 SellPrice = 0 SellPriceX = 0 ExitPrice = 9999999 ExitPriceX = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1 = PositionPrice + ((Close - PositionPrice) * ProfitPerCent) //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1 = PositionPrice - ((PositionPrice - Close) * ProfitPerCent) //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND Close > (PositionPrice + (y1 * pipsize)) THEN //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (Close - PositionPrice) / pipsize //convert price to pips IF x1 >= TrailStartLong THEN // go ahead only if N+ pips Diff1 = abs(TrailStartLong - x1) //difference from current profit and TrailStart Chunks1 = max(0,round((Diff1 / StepSizeLong) + 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 < (PositionPrice - (y2 * pipsize)) THEN //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - Close) / pipsize //convert price to pips IF x2 >= TrailStartShort THEN // go ahead only if N+ pips Diff2 = abs(TrailStartShort - x2) //difference from current profit and TrailStart Chunks2 = max(0,round((Diff2 / StepSizeShort) + 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 //------------------------------------------------------------------------------ // manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN //Place pending STOP order when y1 > 0 (LONG positions) SellPrice = max(SellPrice,PositionPrice + (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 = min(ExitPrice,PositionPrice - (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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136

  defparam cumulateorders = false defparam preloadbars = 50000   // Should be january 20, be if I put 20220120 it opens on 19th instead if date = 20220121 and time = 205400 then sellshort 1 contract at market set stop %loss 1.3 endif   //------------------------------------------------------------------------------------------------------------------------------------------------ //                     Trailing Start //------------------------------------------------------------------------------------------------------------------------------------------------   DirectionSwitch = (LongOnMarket AND ShortOnMarket[1]) OR (LongOnMarket[1] AND ShortOnMarket)  //True when there's been a change in the direction (likely to be due to a Stop & Reverse) // IF Not OnMarket OR DirectionSwitch THEN // // when NOT OnMarket or thare's been a change in direction, reset values to their default settings // StartPerCentLong  = 0.4    //0.25%  to start triggering Trailing Stop StartPerCentShort = 0.4 StepPerCent       = 10     //50%    (of the 0.25% above) as a Trailing Step (set to 100 to make StepSize=TrailStart, set to 200 to make it twice TrailStart) BasePerCent       = 1.0    //0.1-1  Profit percentage to keep when setting BreakEven PerCentInc        = 0.8    // 0.1-1    PerCent increment after each StepSize chunk //   TrailStartLong = (close / PipSize) * StartPerCentLong / 100        //use current price (CLOSE) for calculations TrailStartShort = (close / PipSize) * StartPerCentShort / 100       //use current price (CLOSE) for calculations   StepSizeLong   = TrailStartLong * StepPerCent / 100 StepSizeShort   = TrailStartShort * StepPerCent / 100   // 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 //PositionCount = 0 SellPrice     = 0 SellPriceX    = 0 ExitPrice     = 9999999 ExitPriceX    = 9999999 ELSE //------------------------------------------------------ // --- Update Stop Loss after accumulating new positions //------------------------------------------------------ //PositionCount = max(PositionCount,abs(CountOfPosition)) // // update Stop Loss only when PositionPrice has changed (actually when increased, we don't move it if there's been some positions exited) // //IF PositionCount <> PositionCount[1] AND (ExitPrice + SellPrice)<>9999999 THEN //go on only if Trailing Stop had already started trailing IF PositionPrice <> PositionPrice[1] AND (ExitPrice + SellPrice) <> 9999999 THEN //go on only if Trailing Stop had already started trailing IF LongOnMarket THEN q1         = PositionPrice + ((Close - PositionPrice) * ProfitPerCent)      //calculate new SL SellPriceX = max(max(SellPriceX,SellPrice),q1) SellPrice  = max(max(SellPriceX,SellPrice),PositionPrice + (y1 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ELSIF ShortOnMarket THEN r1         = PositionPrice - ((PositionPrice - Close) * ProfitPerCent)      //calculate new SL ExitPriceX = min(min(ExitPriceX,ExitPrice),r1) ExitPrice  = min(min(ExitPriceX,ExitPrice),PositionPrice - (y2 * pipsize)) //set exit price to whatever grants greater profits, comopared to the previous one ENDIF ENDIF // --- Update END ENDIF // IF LongOnMarket AND Close > (PositionPrice + (y1 * pipsize)) THEN                              //LONG positions // // compute the value of the Percentage of profits, if any, to lock in for LONG trades // x1 = (Close - PositionPrice) / pipsize                                     //convert price to pips IF x1 >= TrailStartLong THEN                                                //    go ahead only if N+ pips Diff1         = abs(TrailStartLong - x1)                                 //difference from current profit and TrailStart Chunks1       = max(0,round((Diff1 / StepSizeLong) + 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 < (PositionPrice - (y2 * pipsize)) THEN                             //SHORT positions // // compute the value of the Percentage of profits, if any, to lock in for SHORT trades // x2 = (PositionPrice - Close) / pipsize                                     //convert price to pips IF x2 >= TrailStartShort THEN                                                //      go ahead only if N+ pips Diff2         = abs(TrailStartShort - x2)                                 //difference from current profit and TrailStart Chunks2       = max(0,round((Diff2 / StepSizeShort) + 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 //------------------------------------------------------------------------------ //                    manage actual Exit, if needed //------------------------------------------------------------------------------ IF y1 THEN                                                                 //Place pending STOP order when y1 > 0   (LONG positions) SellPrice = max(SellPrice,PositionPrice + (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 = min(ExitPrice,PositionPrice - (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

  

  paisantrader

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  01/21/2022 at 3:42 PM #186208
  paisantrader

  Isn’t it line 87 above that is the culprit?

  The + should be a – ?

  With original +, it sets ExitPrice way past the current price.

  

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  01/21/2022 at 5:36 PM #186216
  robertogozzi

  Change line 23 as:

  BasePerCent = 0.1 //10% (1=100%)

  1	BasePerCent       = 0.1    //10%     (1=100%)

  

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  01/21/2022 at 5:38 PM #186217
  robertogozzi

  You can also append these lines:

  graphonprice ExitPrice coloured(255,0,0,255) graphonprice SellPrice coloured(0,128,0,155)

  1 2	graphonprice ExitPrice coloured(255,0,0,255) graphonprice SellPrice coloured(0,128,0,155)

  to plot the trailing stop on your chart while backtesting.

  

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  01/21/2022 at 6:50 PM #186234
  paisantrader

  Alright, I think I got it sorted now.

  I basically wanted a quick trailing stop (almost a TP), sort of. But if you add a PerCentInc on top of a high BasePerCent, you go past the current price when it’s triggered and price have to chase the stop instead of it trailing you or going straight to an exit. That was my problem.

  I also think I have misunderstood how it works, it’s quite clear now when you add the lines and tested different values.

  StartPerCent = 0.4 //0.4% to start triggering Trailing Stop BasePerCent = 0.5 //50.0% Profit percentage to keep when setting BerakEven PerCentInc = 0.5 //50.0% PerCent increment after each StepSize chunk

  1 2 3

  StartPerCent  = 0.4        //0.4%  to start triggering Trailing Stop BasePerCent   = 0.5       //50.0%  Profit percentage to keep when setting BerakEven PerCentInc    = 0.5       //50.0%  PerCent increment after each StepSize chunk

  TrailStartShort: 14712.8*0.4/100 = 58.9
  14711.4-58.9 = 14652.5

  I thought it would keep 50% (BasePerCent) of the 58.9, so once it hits 14652.5 it sets the first SL at 14682.0. After that you factor in StepPerCent and PercentInc. But both values are used when it initially sets the SL.

  For example with the example above (0.5 and 0.5). If you use “2” for StepPerCent, it sets it way past the price (see pic). 100 sets it pretty close to the +50%.

  Not sure if I’m any wiser, but I now I know what the problem was 😉

  1 user thanked author for this post.

  GraHal

  

  paisantrader

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  02/11/2022 at 4:54 PM #188109
  SnorreDK

  Thanks alot robertogozzi for ur great code.

  Would it be posssible to make a version of it without trailing stoploss

  Only use the Limit-line (takeprofit) I like how its dynamic .

  

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  02/11/2022 at 4:56 PM #188110
  SnorreDK

  Modify ur code to only get the line dynamic

  

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  02/13/2022 at 2:16 PM #188188
  robertogozzi

  It’s a trailing stop code snippet, what do you mean by Would it be posssible to make a version of it without trailing stoploss Only use the Limit-line (takeprofit)?

   

  

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  02/13/2022 at 2:34 PM #188191
  SnorreDK

  The line I marked in post #188110 is takeorofit-line and dynamic?

  Would it possible to make thos snippet without The stoploss-line?

  

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  02/13/2022 at 5:56 PM #188196
  paisantrader

  SnorreDK wrote:

  The line I marked in post #188110 is takeorofit-line and dynamic?

  My guess is that you ran in to the same problem I did. If you have too high start, base and increase (in some combination), it becomes a trailing take profit after an increase.

  

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