BreakEven & Trailing Profit: complete function

• 10/03/2022 at 2:19 AM #201803
  robertogozzi

  Sorry for the delay, I’ll be back to you in a couple of days.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
  10/03/2022 at 2:48 PM #201842
  SnorreDK

  Hi Roberto.

  If i understand your code correct it moves limit and stolploss.

  Would you make a version with trailing limit. Where stoploss is not part of the code at all?

  

  SnorreDK

  Participant

  Topics: 12

  Replies: 75

  Been thanked: 3 times
  10/04/2022 at 5:14 AM #201883
  robertogozzi

  @SnorreDK

  This is the working strategy I created for testing:

  SL = 300 TP = SL * 5 Sma = average[50,0](close) IF close CROSSES OVER Sma and Not OnMarket THEN BUY at Market ELSIF close CROSSES UNDER Sma and Not OnMarket THEN SELLSHORT at Market ENDIF SET STOP pLOSS SL SET TARGET pPROFIT TP // //------------------------------------------------------------------------------------------------------------------------------------------------ // Trailing Start //------------------------------------------------------------------------------------------------------------------------------------------------ If 1 = 1 then 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 = 0.25 //0.25% to start triggering Trailing Stop StartPerCentShort = 0.25 StepPerCent = 0.5 //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 = 0.08 //0.1-1 Profit percentage to keep when setting BreakEven PerCentInc = 0.1 // 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 = 8 * 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 Endif // EntryPrice = TradePrice IF Not OnMarket THEN EntryPrice = 0 StopPrice = 0 TargetPrice = 0 TrailPrice = 0 ENDIF IF LongOnMarket THEN StopPrice = EntryPrice - (SL * PipSize) TargetPrice = EntryPrice + (TP * PipSize) TrailPrice = SellPrice ELSIF ShortOnMarket THEN StopPrice = EntryPrice + (SL * PipSize) TargetPrice = EntryPrice - (TP * PipSize) TrailPrice = ExitPrice ENDIF IF OnMarket THEN graphonprice TradePrice graphonprice StopPrice coloured(255,0,0,255) graphonprice TargetPrice coloured(0,128,0,155) graphonprice TrailPrice coloured(155,48,255,255) 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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162

  SL = 300 TP = SL * 5 Sma = average[50,0](close) IF close CROSSES OVER Sma and Not OnMarket THEN BUY at Market ELSIF close CROSSES UNDER Sma and Not OnMarket THEN SELLSHORT at Market ENDIF SET STOP   pLOSS   SL SET TARGET pPROFIT TP // //------------------------------------------------------------------------------------------------------------------------------------------------ //                     Trailing Start //------------------------------------------------------------------------------------------------------------------------------------------------ If 1 = 1 then 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  = 0.25    //0.25%  to start triggering Trailing Stop StartPerCentShort = 0.25 StepPerCent       = 0.5     //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       = 0.08    //0.1-1  Profit percentage to keep when setting BreakEven PerCentInc        = 0.1     // 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 = 8 * 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 Endif // EntryPrice = TradePrice IF Not OnMarket THEN EntryPrice  = 0 StopPrice   = 0 TargetPrice = 0 TrailPrice  = 0 ENDIF IF LongOnMarket THEN StopPrice   = EntryPrice - (SL * PipSize) TargetPrice = EntryPrice + (TP * PipSize) TrailPrice  = SellPrice ELSIF ShortOnMarket THEN StopPrice   = EntryPrice + (SL * PipSize) TargetPrice = EntryPrice - (TP * PipSize) TrailPrice  = ExitPrice ENDIF IF OnMarket THEN graphonprice TradePrice graphonprice StopPrice   coloured(255,0,0,255) graphonprice TargetPrice coloured(0,128,0,155) graphonprice TrailPrice  coloured(155,48,255,255) ENDIF

  change values in lines 1-3, then lines 22-26, according to your preferences.

  Then post:

  • new settings
  • instrument and TF used

  so that I can test it.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
  10/09/2022 at 5:42 AM #202126
  ausrod

  Hi one thing I notice is that you are coding for the markets allowed exit price – how do you know that for a given market?

   

  IF y2 THEN                                                                 //Place pending STOP order when y2 > 0   (SHORT positions)

  ExitPrice = min(ExitPrice,PositionPrice – (y2 * pipsize))     

  I have often when manually trading on charts been able to love a guaranteed stop (now in profit) and I can see on charts how far I can move it as it wont let you place it too close. Is there a way of coding for that (to absolutely lock in profits) – I think would have to start with guaranteed stops but thats ok.

  Lastly – the above post which has a strategy – if I wanted to use my own entry – am I correct that I would just omit lines 1 – 10? The rest seems to be an exit strategy

  

  ausrod

  Participant

  Topics: 3

  Replies: 10

  Been thanked: 0 times
  10/11/2022 at 10:47 AM #202299
  robertogozzi

  As to your last question, YES, just replace the first ten lines with your code, as the trailing stop snippet is not tied to any code (provided you name your variables differently from mine).

  As to the first part of your questions, will you please post a drawing with an example of what you mean. Thanks 🙂

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
  10/22/2022 at 12:44 PM #202922
  ausrod

  I thought I had replied. Essentially with guaranteed stops there is a high ‘gap’ you cant set it in – and with ‘standard’ it still applies but is smaller. I have had issues with trailing stops (or if trailing stops are protecting profit) with the algo being stopped as its tried to place an ‘illegal order’. On charts I can see where I can place it and it wont let me move it to anywhere not allowed as per below. Is there a way of coding for this? ie knowing for that market what the closest I can go is? I think your algo above kind of does this?

  

  ausrod

  Participant

  Topics: 3

  Replies: 10

  Been thanked: 0 times
  10/30/2022 at 2:09 AM #203200
  ausrod

  When I trade manually (in this case IG) there is a minimum distance for stop loss- higher if guaranteed is selected. Sometimes my algos fail as they try to set it too close to current price. The number seems to be dynamic and is certainly different on each market. Is there a way to determine and code for this?

  

  ausrod

  Participant

  Topics: 3

  Replies: 10

  Been thanked: 0 times
  10/30/2022 at 2:27 AM #203202
  robertogozzi

  There’s no way to know when it changes. You must know it when you start your strategy and can’t change it while it’s running.

  You may want to add some points to (try to) accomodate for those increases.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
  10/30/2022 at 5:20 AM #203213
  PeterSt

  @ausrod,

  As far as I can tell this is related to the changing spread. Thus, when between USA Stock market’s closing and  midnight (22:00 to 00:00 Amsterdam as long as daylight savings is equal to USA (which is not so the upcoming week)) … spread is increased to crazy numbers (e.g. 5 for NasDaq). This can be incorporated in the program, so you don’t need to deal with that distance (which is what it comes down to) throughout. Example :

  // When daylight savings are equal for our side and USA : If Time >= 153000 and Time < 220000 then Spread = 1 elsif Time >= 220000 and Time < 235959 then // IG says that this is >= 230000 but this can't be correct, IMO. Spread = 5 else Spread = 2 endif

  1 2 3 4 5 6 7 8 9

  // When daylight savings are equal for our side and USA :   If Time >= 153000 and Time < 220000 then   Spread = 1 elsif Time >= 220000 and Time < 235959 then   // IG says that this is >= 230000 but this can't be correct, IMO.   Spread = 5 else   Spread = 2 endif

  This in itself is to be incorporated in the stop distance.
  … which I don’t do myself with the below as the result (Strategy stopped).
  N.b.: I merely feel this is an anomaly at IG’s because the content of the message – 289 points – can’t be correct anyway, or I just don’t get it. What solves it, is not trading during that hour (only counts for 22:00 – 23:00 Amsterdam as after that it is closed for 1 hour), but net this is not worth it because it is a volatile time (earnings) and good trades may occur.

  Only once in a while this error occurs and only during that time, BUT have your distance correct in the first place.

  Important : When the Strategy is run in Demo (account) this goes far more often wrong (say 10 times more). So this is a bit misleading and not so comfortable.

  

  PeterSt

  Participant

  Topics: 70

  Replies: 2287

  Been thanked: 695 times
• Author
  Posts