Breakeven- and trailing stop problem

• 01/30/2019 at 8:55 PM #90086
  Paul

  If a strategy uses a long and short criteria and a breakeven- or trailing stop there’s a problem.

  The case is that they both need a scenario where there’s no market position, and that “not on market” is used to enter a new position.

  If there’s no market position, the breakeven and trailing stop are correctly calculated when a position is entered.

  If there’s i.e. a long position and there’s short signal, the position should go the opposite.

  Problem is that the breakevenstop and trailingstop are not correctly calculated for the short position, there was never a “not on market” moment.

  As a result to have good strategy calculations, you need to enter “not on market” when the position enters the market, but then it ignores the short (opposite) signal and stays long.

  Not an obvious flaw, but one which can impact a strategy in a good or bad way.

  So my goal is:

  use correct values for breakeven and trailing stop, regardless if the position goes the opposite direction, so replace the “not on market” check for the breakeven- and trailingstop with something else.

  That “not on market” is not used as criteria to enter a new position, since it skips an valid opposite signal

  Any solutions?

  // mfe trailing stop if mfewtrailingstop then trailingstop = (tradeprice/100)*mwts if not onmarket then maxprice = 0 minprice = close priceexit = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pipsize then priceexit = maxprice-trailingstop*pipsize endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pipsize then priceexit = minprice+trailingstop*pipsize endif endif endif

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  // mfe trailing stop if mfewtrailingstop then trailingstop = (tradeprice/100)*mwts if not onmarket then maxprice = 0 minprice = close priceexit = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pipsize then priceexit = maxprice-trailingstop*pipsize endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pipsize then priceexit = minprice+trailingstop*pipsize endif endif endif

  if breakevenstop then if not onmarket then newsl=0 endif if longonmarket and close-tradeprice(1)>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)+((tradeprice/100)*besl)*pipsize endif if shortonmarket and tradeprice(1)-close>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)-((tradeprice/100)*besl)*pipsize endif if newsl>0 then sell at newsl stop exitshort at newsl stop endif endif

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  if breakevenstop then if not onmarket then newsl=0 endif if longonmarket and close-tradeprice(1)>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)+((tradeprice/100)*besl)*pipsize endif if shortonmarket and tradeprice(1)-close>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)-((tradeprice/100)*besl)*pipsize endif if newsl>0 then sell at newsl stop exitshort at newsl stop endif endif

  if tradetime and not onmarket then if pclong and mclong and eclong and iclong and trendup then buy positionsize contract at market longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 endif if pcshort and mcshort and ecshort and icshort and trenddown then sellshort positionsize contract at market shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 endif endif

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  if tradetime and not onmarket then if pclong and mclong and eclong and iclong and trendup then buy positionsize contract at market longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 endif if pcshort and mcshort and ecshort and icshort and trenddown then sellshort positionsize contract at market shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 endif endif

   

  

  Paul

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  01/31/2019 at 1:04 AM #90108
  robertogozzi

  When On Market is true you should save your TRADEPRICE in a variable each bar, so that as soon as you detect that the current value is different from that of the previous bar and On Market is still true it’s because there’s been a change and you can reset your Trailing Stop/Breakeven settings to the default ones for the new trade.

  Not tested but sounds logically correct.

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  01/31/2019 at 9:16 AM #90116
  Nicolas

  Or something like: (not tested).

  changed = onmarket[1] and ( (longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket) )

  1	changed = onmarket[1] and ( (longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket) )

   

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  01/31/2019 at 7:01 PM #90183
  Paul

  Thank you both. The easiest try was Nicolas suggestion so I tried that to start with.

  Focussed on the trailing stop.

  1. if I use “not on market’ as a criteria to enter a new position, a new position is not entered with a valid opposite signal. So removed “not on market’ to start with
  2. If the trailing stop is not used, a long signal goes short with a valid opposite signal
  3. But a trailing stop (0.35) is used but not reached, the long signal goes short, but short is immediately closed.  So there’s the problem and it’s in the trailing stop I believe.

  // mfe trailing stop if mfewtrailingstop then trailingstop = (tradeprice/100)*mwts if not onmarket then maxprice = 0 minprice = close priceexit = 0 elsif onmarket[1] and ( (longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket) ) then maxprice = 0 minprice = close priceexit = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pipsize then priceexit = maxprice-trailingstop*pipsize endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pipsize then priceexit = minprice+trailingstop*pipsize endif endif endif

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  // mfe trailing stop if mfewtrailingstop then trailingstop = (tradeprice/100)*mwts if not onmarket then maxprice = 0 minprice = close priceexit = 0 elsif onmarket[1] and ( (longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket) ) then maxprice = 0 minprice = close priceexit = 0 endif if longonmarket then maxprice = max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pipsize then priceexit = maxprice-trailingstop*pipsize endif endif if shortonmarket then minprice = min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pipsize then priceexit = minprice+trailingstop*pipsize endif endif endif

  In de added suggestion, I tried with onmarket[1] or onmarket[0], or without onmarket but that made no difference

  tried with elsif, and with new if command no difference

   

   

  

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  01/31/2019 at 7:06 PM #90189
  Paul

  I will try to replicate the problem with a clean test code and post later.

  

  Paul

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  01/31/2019 at 8:44 PM #90201
  Paul

  Here’s a clean code.

  To test the differences optimize tss and bes with 0 and 1 and see the differences with the added suggestion from Nicolas.

  It has no effect on breakeven.

  DEFPARAM CumulateOrders = false ONCE enabletrailingstop=1 ONCE enablebreakevenstop=1 ONCE TSsuggestion=tss ONCE BEsuggestion=bes SL = 1.50 //stoploss TS = 0.75 //trailing stop besg = 0.50 //breakeven minimum gain besl = 0 //breakeven stoploss // reset at start if intradaybarindex = 0 then longtradecounter = 0 shorttradecounter = 0 endif pclong = longtradecounter < 1 pcshort = shorttradecounter < 1 SMA5 = Average[5](close) SMA10 = Average[10](close) STOCH = Stochastic[14,3](close) indicator4 = Average[5](STOCH) RSIind = RSI[14](close) // Conditions to enter long positions l1 = (SMA5 CROSSES OVER SMA10) l2 = (STOCH - indicator4 >10)//Stochastic upward momentum l3 = (RSIind > 45)//RSI upward momentum l5 = (average[10](STOCH)<45)// Stochastic not yet overbought //Conditions to enter short s1 = (SMA5 CROSSES UNDER SMA10) s2 = (STOCH - indicator4 <-10)//Stochastic downward momentum s3 = (RSIind < 55)//RSI downward momentum s5 = (average[10](STOCH)>55)//Stochastic not yet oversold IF pclong and l1 AND l2 AND l3 AND l5 tHEN buy 1 CONTRACT AT MARKET longtradecounter=longtradecounter + 1 ENDIF IF pcshort and s1 AND s2 AND s3 AND s5 THEN sellshort 1 CONTRACT AT MARKET shorttradecounter=shorttradecounter + 1 ENDIF // break even stop if enablebreakevenstop then if not onmarket then newsl=0 endif if BEsuggestion then if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif endif if longonmarket and close-tradeprice(1)>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)+((tradeprice/100)*besl)*pipsize endif if shortonmarket and tradeprice(1)-close>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)-((tradeprice/100)*besl)*pipsize endif if newsl>0 then sell at newsl stop exitshort at newsl stop endif endif //trailing stop if enabletrailingstop then ts=0.35 trailingstop = (tradeprice/100)*ts //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif if TSsuggestion=1 then if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif endif //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif endif SET STOP %LOSS SL graphonprice priceexit graph 0 coloured(300,0,0) as "zeroline" graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

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  DEFPARAM CumulateOrders = false ONCE enabletrailingstop=1 ONCE enablebreakevenstop=1   ONCE TSsuggestion=tss ONCE BEsuggestion=bes   SL   = 1.50    //stoploss TS   = 0.75 //trailing stop besg = 0.50 //breakeven minimum gain besl = 0    //breakeven stoploss   // reset at start if intradaybarindex  = 0 then longtradecounter  = 0 shorttradecounter = 0 endif   pclong  = longtradecounter  < 1 pcshort = shorttradecounter < 1   SMA5 = Average[5](close) SMA10 = Average[10](close) STOCH = Stochastic[14,3](close) indicator4 = Average[5](STOCH) RSIind = RSI[14](close)   // Conditions to enter long positions l1 = (SMA5 CROSSES OVER SMA10) l2 = (STOCH - indicator4 >10)//Stochastic upward momentum l3 = (RSIind > 45)//RSI upward momentum l5 = (average[10](STOCH)<45)// Stochastic not yet overbought   //Conditions to enter short s1 = (SMA5 CROSSES UNDER SMA10) s2 = (STOCH - indicator4 <-10)//Stochastic downward momentum s3 = (RSIind < 55)//RSI downward momentum s5 = (average[10](STOCH)>55)//Stochastic not yet oversold   IF pclong and l1 AND l2 AND l3 AND l5 tHEN buy 1 CONTRACT AT MARKET longtradecounter=longtradecounter + 1 ENDIF   IF pcshort and s1 AND s2 AND s3 AND s5 THEN sellshort 1 CONTRACT AT MARKET shorttradecounter=shorttradecounter + 1 ENDIF   // break even stop if enablebreakevenstop then if not onmarket then newsl=0 endif   if BEsuggestion then if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif endif   if longonmarket and close-tradeprice(1)>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)+((tradeprice/100)*besl)*pipsize endif if shortonmarket and tradeprice(1)-close>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)-((tradeprice/100)*besl)*pipsize endif if newsl>0 then sell at newsl stop exitshort at newsl stop endif endif   //trailing stop if enabletrailingstop then ts=0.35 trailingstop = (tradeprice/100)*ts   //resetting variables when no trades are on market if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif   if TSsuggestion=1 then if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif endif   //case SHORT order if shortonmarket then MINPRICE = MIN(MINPRICE,close) //saving the MFE of the current trade if tradeprice(1)-MINPRICE>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MINPRICE+trailingstop*pointsize //set the exit price at the MFE + trailing stop price level endif endif   //case LONG order if longonmarket then MAXPRICE = MAX(MAXPRICE,close) //saving the MFE of the current trade if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then //if the MFE is higher than the trailingstop then priceexit = MAXPRICE-trailingstop*pointsize //set the exit price at the MFE - trailing stop price level endif endif   //exit on trailing stop price levels if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif endif   SET STOP %LOSS SL   graphonprice priceexit graph 0 coloured(300,0,0) as "zeroline" graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

   

  

  Paul

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  02/01/2019 at 9:17 AM #90226
  Nicolas

  Since you use market orders, you already know that you are on market, so why not flagging a variable when you enter an order. In this case, if new conditions are met to put a contrarian order on market, you can reset the breakeven variables at that point of the code.

  Bear in mind that code is read from top to bottom, conditions testing in the right order is crucial to solve your problem.

  

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  02/01/2019 at 6:54 PM #90263
  Paul

  I made everything visual. Didn’t work on the flag yet. Maybe I’am missing something obvious.

   

  //tested on dax // The goal is use notonmarket=0 with correct TS and BE values // If useNOTonmarket=1 then everything is correct //i.e. dax 10 min //everything 1, exept ONCE useNOTonmarket = 0 //problem example 23 january 2019 16:20 DEFPARAM CumulateOrders = false ONCE enableSL = 1 // stop loss ONCE enablePT = 1 // profit target ONCE enableBE = 1 // breakeven stop ONCE enableTS = 1 // trailing stop ONCE displaySL = 1 // stop loss ONCE displayPT = 1 // profit target ONCE displayBE = 1 // breakeven stop ONCE displayTS = 1 // trailing stop ONCE TSsuggestion=1 //optimize 0 and 1 to see difference ONCE BEsuggestion=1 //optimize 0 and 1 to see difference //test what's it is all about. ONCE useNOTonmarket = 0 //with entry criteria sl = 2.00 // % stop loss pt = 1.50 // % profit target ts = 0.50 // % trailing stop besg = 0.25 // % break even stop gain besl = 0.00 // % break even stop level // reset at start if intradaybarindex = 0 then longtradecounter = 0 shorttradecounter = 0 endif pclong = longtradecounter < 1 pcshort = shorttradecounter < 1 SMA5 = Average[5](close) SMA10 = Average[10](close) STOCH = Stochastic[14,3](close) indicator4 = Average[5](STOCH) RSIind = RSI[14](close) // Conditions to enter long positions l1 = (SMA5 CROSSES OVER SMA10) l2 = (STOCH - indicator4 >10)//Stochastic upward momentum l3 = (RSIind > 45)//RSI upward momentum l5 = (average[10](STOCH)<45)// Stochastic not yet overbought //Conditions to enter short s1 = (SMA5 CROSSES UNDER SMA10) s2 = (STOCH - indicator4 <-10)//Stochastic downward momentum s3 = (RSIind < 55)//RSI downward momentum s5 = (average[10](STOCH)>55)//Stochastic not yet oversold if useNOTonmarket=1 then if not onmarket then IF pclong and l1 AND l2 AND l3 AND l5 tHEN buy 1 CONTRACT AT MARKET longtradecounter=longtradecounter + 1 ENDIF IF pcshort and s1 AND s2 AND s3 AND s5 THEN sellshort 1 CONTRACT AT MARKET shorttradecounter=shorttradecounter + 1 ENDIF endif endif if useNOTonmarket=0 then IF pclong and l1 AND l2 AND l3 AND l5 tHEN buy 1 CONTRACT AT MARKET longtradecounter=longtradecounter + 1 ENDIF IF pcshort and s1 AND s2 AND s3 AND s5 THEN sellshort 1 CONTRACT AT MARKET shorttradecounter=shorttradecounter + 1 ENDIF endif // trailing stop if enableTS then trailingstop = (tradeprice/100)*ts if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif if TSsuggestion then if onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif endif if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=trailingstop*pointsize then priceexit = MINPRICE+trailingstop*pointsize endif endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif if displayTS then graphonprice priceexit COLOURED(0,0,255,255) as "trailingstop" endif endif // break even stop if enableBE then if not onmarket then newsl=0 endif if BEsuggestion then if onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif endif if longonmarket and close-tradeprice(1)>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)+((tradeprice/100)*besl)*pipsize endif if shortonmarket and tradeprice(1)-close>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)-((tradeprice/100)*besl)*pipsize endif if newsl>0 then sell at newsl stop exitshort at newsl stop endif if displayBE then graphonprice newsl COLOURED(244,102,27,255) as "breakevenstop" endif endif // to set & display stop loss if enableSL then set stop %loss sl if displaySL then if not onmarket then sloss=0 elsif onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then sloss=0 endif if onmarket then if longonmarket then sloss=tradeprice(1)-((tradeprice(1)*sl)/100)*pointsize endif if shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*sl)/100)*pointsize endif endif graphonprice sloss COLOURED(255,0,0,255) as "stoploss" endif endif // to set & display profittarget if enablePT then set target %profit pt if displayPT then if not onmarket then ptarget=0 elsif onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then ptarget=0 endif if onmarket then if longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*pt)/100)*pointsize endif if shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*pt)/100)*pointsize endif endif graphonprice ptarget COLOURED(121,141,35,255) as "profittarget" endif endif //graph 0 coloured(300,0,0) as "zeroline" graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

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  //tested on dax // The goal is use notonmarket=0 with correct TS and BE values // If useNOTonmarket=1 then everything is correct   //i.e. dax 10 min //everything 1, exept ONCE useNOTonmarket = 0 //problem example 23 january 2019 16:20   DEFPARAM CumulateOrders = false   ONCE enableSL           = 1 // stop loss ONCE enablePT           = 1 // profit target ONCE enableBE           = 1 // breakeven stop ONCE enableTS           = 1 // trailing stop   ONCE displaySL          = 1 // stop loss ONCE displayPT          = 1 // profit target ONCE displayBE          = 1 // breakeven stop ONCE displayTS          = 1 // trailing stop   ONCE TSsuggestion=1 //optimize 0 and 1 to see difference ONCE BEsuggestion=1 //optimize 0 and 1 to see difference   //test what's it is all about. ONCE useNOTonmarket = 0 //with entry criteria   sl   = 2.00 // % stop loss pt   = 1.50 // % profit target ts   = 0.50 // % trailing stop besg = 0.25 // % break even stop gain besl = 0.00 // % break even stop level   // reset at start if intradaybarindex  = 0 then longtradecounter  = 0 shorttradecounter = 0 endif   pclong  = longtradecounter  < 1 pcshort = shorttradecounter < 1   SMA5 = Average[5](close) SMA10 = Average[10](close) STOCH = Stochastic[14,3](close) indicator4 = Average[5](STOCH) RSIind = RSI[14](close)   // Conditions to enter long positions l1 = (SMA5 CROSSES OVER SMA10) l2 = (STOCH - indicator4 >10)//Stochastic upward momentum l3 = (RSIind > 45)//RSI upward momentum l5 = (average[10](STOCH)<45)// Stochastic not yet overbought   //Conditions to enter short s1 = (SMA5 CROSSES UNDER SMA10) s2 = (STOCH - indicator4 <-10)//Stochastic downward momentum s3 = (RSIind < 55)//RSI downward momentum s5 = (average[10](STOCH)>55)//Stochastic not yet oversold   if useNOTonmarket=1 then if not onmarket then IF pclong and l1 AND l2 AND l3 AND l5 tHEN buy 1 CONTRACT AT MARKET longtradecounter=longtradecounter + 1 ENDIF IF pcshort and s1 AND s2 AND s3 AND s5 THEN sellshort 1 CONTRACT AT MARKET shorttradecounter=shorttradecounter + 1 ENDIF endif endif   if useNOTonmarket=0 then IF pclong and l1 AND l2 AND l3 AND l5 tHEN buy 1 CONTRACT AT MARKET longtradecounter=longtradecounter + 1 ENDIF IF pcshort and s1 AND s2 AND s3 AND s5 THEN sellshort 1 CONTRACT AT MARKET shorttradecounter=shorttradecounter + 1 ENDIF endif   // trailing stop if enableTS then trailingstop = (tradeprice/100)*ts if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif if TSsuggestion then if onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif endif if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=trailingstop*pointsize then priceexit = MINPRICE+trailingstop*pointsize endif endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pointsize then priceexit = MAXPRICE-trailingstop*pointsize endif endif if onmarket and priceexit>0 then EXITSHORT AT priceexit STOP SELL AT priceexit STOP endif if displayTS then graphonprice priceexit COLOURED(0,0,255,255) as "trailingstop" endif endif   // break even stop if enableBE then if not onmarket then newsl=0 endif if BEsuggestion then if onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif endif if longonmarket and close-tradeprice(1)>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)+((tradeprice/100)*besl)*pipsize endif if shortonmarket and tradeprice(1)-close>=((tradeprice/100)*besg)*pipsize then newsl = tradeprice(1)-((tradeprice/100)*besl)*pipsize endif if newsl>0 then sell at newsl stop exitshort at newsl stop endif if displayBE then graphonprice newsl COLOURED(244,102,27,255) as "breakevenstop" endif endif   // to set &  display stop loss if enableSL then set stop %loss sl if displaySL then if not onmarket then sloss=0 elsif onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then sloss=0 endif if onmarket then if longonmarket then sloss=tradeprice(1)-((tradeprice(1)*sl)/100)*pointsize endif if shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*sl)/100)*pointsize endif endif graphonprice sloss COLOURED(255,0,0,255) as "stoploss" endif endif   // to set & display profittarget if enablePT then set target %profit pt if displayPT then if not onmarket then ptarget=0 elsif onmarket[1] and ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then ptarget=0 endif if onmarket then if longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*pt)/100)*pointsize endif if shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*pt)/100)*pointsize endif endif graphonprice ptarget COLOURED(121,141,35,255) as "profittarget" endif endif   //graph 0 coloured(300,0,0) as "zeroline" graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

   

  

  Paul

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  02/03/2019 at 1:50 AM #90338
  Paul

  It seems that adding the code from Nicolas and also splitsing the newsl and priceexit exits for long and short criteria worked.

  Thanks for the tips.

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  Paul

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  02/04/2019 at 11:08 AM #90391
  Nicolas

  Thank you Paul, do you have the complete code to share here, in order to have it for future reference please?

  

  Nicolas

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  02/04/2019 at 5:44 PM #90441
  Paul

  Here’s my final test code on the dax with working breakeven- and trailing stops in every scenario.

  It does matter that a trailing stop code is above the breakeven code.

  // test trailingstop and breakeven on the dax defparam cumulateorders = false once enableSL = 1 // stop loss once enablePT = 1 // profit target once enableTS = 1 // trailing stop once enableBE = 1 // breakeven stop once displaySL = 1 // stop loss once displayPT = 1 // profit target once displayTS = 1 // trailing stop once displayBE = 1 // breakeven stop SL = 0.75 // % stop loss PT = 1.00 // % profit target TS = 0.35 // % trailing stop BESG = 0.25 // % break even stop gain BESL = 0.00 // % break even stop level // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 endif pclong= longtradecounter<1 pcshort = shorttradecounter<1 shortma = average[25](close) longma = average[50](close) // conditions to enter long positions l1 = (shortma crosses over longma) // conditions to enter short s1 = (shortma crosses under longma) if pclong and l1 then buy 1 contract at market longtradecounter=longtradecounter+1 endif if pcshort and s1 then sellshort 1 contract at market shorttradecounter=shorttradecounter+1 endif // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pointsize then priceexit=maxprice-trailingstop*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pointsize then priceexit=minprice+trailingstop*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif if displayTS then graphonprice priceexit coloured(0,0,255,255) as "trailingstop" endif endif // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)+((tradeprice/100)*BESL)*pipsize endif endif if shortonmarket then if tradeprice(1)-close>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)-((tradeprice/100)*BESL)*pipsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif if displayBE then graphonprice newsl coloured(244,102,27,255) as "breakevenstop" endif endif // to set & display profittarget if enablePT then set target %profit PT if displaypt then if not onmarket then ptarget=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then ptarget=0 endif if onmarket then if longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*PT)/100)*pointsize endif if shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*PT)/100)*pointsize endif endif graphonprice ptarget coloured(121,141,35,255) as "profittarget" endif endif // to set & display stoploss if enableSL then set stop %loss SL if displaysl then if not onmarket then sloss=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then sloss=0 endif if onmarket then if longonmarket then sloss=tradeprice(1)-((tradeprice(1)*SL)/100)*pointsize endif if shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*SL)/100)*pointsize endif endif graphonprice sloss coloured(255,0,0,255) as "stoploss" endif endif graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

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  // test trailingstop and breakeven on the dax   defparam cumulateorders = false   once enableSL = 1 // stop loss once enablePT = 1 // profit target once enableTS = 1 // trailing stop once enableBE = 1 // breakeven stop   once displaySL = 1 // stop loss once displayPT = 1 // profit target once displayTS = 1 // trailing stop once displayBE = 1 // breakeven stop   SL   = 0.75 // % stop loss PT   = 1.00 // % profit target TS   = 0.35 // % trailing stop BESG = 0.25 // % break even stop gain BESL = 0.00 // % break even stop level   // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 endif   pclong= longtradecounter<1 pcshort = shorttradecounter<1   shortma = average[25](close) longma = average[50](close)   // conditions to enter long positions l1 = (shortma crosses over longma) // conditions to enter short s1 = (shortma crosses under longma) if pclong and l1 then buy 1 contract at market longtradecounter=longtradecounter+1 endif if pcshort and s1 then sellshort 1 contract at market shorttradecounter=shorttradecounter+1 endif   // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pointsize then priceexit=maxprice-trailingstop*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pointsize then priceexit=minprice+trailingstop*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif if displayTS then graphonprice priceexit coloured(0,0,255,255) as "trailingstop" endif endif   // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)+((tradeprice/100)*BESL)*pipsize endif endif if shortonmarket then if tradeprice(1)-close>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)-((tradeprice/100)*BESL)*pipsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif if displayBE then graphonprice newsl coloured(244,102,27,255) as "breakevenstop" endif endif   // to set & display profittarget if enablePT then set target %profit PT if displaypt then if not onmarket then ptarget=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then ptarget=0 endif if onmarket then if longonmarket then ptarget=tradeprice(1)+((tradeprice(1)*PT)/100)*pointsize endif if shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*PT)/100)*pointsize endif endif graphonprice ptarget coloured(121,141,35,255) as "profittarget" endif endif   // to set & display stoploss if enableSL then set stop %loss SL if displaysl then if not onmarket then sloss=0 elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then sloss=0 endif if onmarket then if longonmarket then sloss=tradeprice(1)-((tradeprice(1)*SL)/100)*pointsize endif if shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*SL)/100)*pointsize endif endif graphonprice sloss coloured(255,0,0,255) as "stoploss" endif endif   graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

   

  

  Paul

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  02/04/2019 at 11:08 PM #90462
  GraHal

  How can I Forward Test the code immediately above.

  I get the results attached so it’s well worth a Fwd Test, but I can’t // Rem out all the GRAPH entries without screwing the code up.

  Am I reading this all wrong and it’s not meant to run as an Auto-System??

  

  GraHal

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  02/04/2019 at 11:58 PM #90466
  Vonasi

  Try this:

  // test trailingstop and breakeven on the dax defparam cumulateorders = false once enableSL = 1 // stop loss once enablePT = 1 // profit target once enableTS = 1 // trailing stop once enableBE = 1 // breakeven stop //once displaySL = 1 // stop loss //once displayPT = 1 // profit target //once displayTS = 1 // trailing stop //once displayBE = 1 // breakeven stop SL = 0.75 // % stop loss PT = 1.00 // % profit target TS = 0.35 // % trailing stop BESG = 0.25 // % break even stop gain BESL = 0.00 // % break even stop level // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 endif pclong= longtradecounter<1 pcshort = shorttradecounter<1 shortma = average[25](close) longma = average[50](close) // conditions to enter long positions l1 = (shortma crosses over longma) // conditions to enter short s1 = (shortma crosses under longma) if pclong and l1 then buy 1 contract at market longtradecounter=longtradecounter+1 endif if pcshort and s1 then sellshort 1 contract at market shorttradecounter=shorttradecounter+1 endif // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pointsize then priceexit=maxprice-trailingstop*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pointsize then priceexit=minprice+trailingstop*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif //if displayTS then //graphonprice priceexit coloured(0,0,255,255) as "trailingstop" //endif endif // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)+((tradeprice/100)*BESL)*pipsize endif endif if shortonmarket then if tradeprice(1)-close>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)-((tradeprice/100)*BESL)*pipsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif //if displayBE then //graphonprice newsl coloured(244,102,27,255) as "breakevenstop" //endif endif // to set & display profittarget if enablePT then set target %profit PT //if displaypt then //if not onmarket then //ptarget=0 //elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then //ptarget=0 //endif //if onmarket then //if longonmarket then //ptarget=tradeprice(1)+((tradeprice(1)*PT)/100)*pointsize //endif //if shortonmarket then //ptarget=tradeprice(1)-((tradeprice(1)*PT)/100)*pointsize //endif //endif //graphonprice ptarget coloured(121,141,35,255) as "profittarget" //endif endif // to set & display stoploss if enableSL then set stop %loss SL //if displaysl then //if not onmarket then //sloss=0 //elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then //sloss=0 //endif //if onmarket then //if longonmarket then //sloss=tradeprice(1)-((tradeprice(1)*SL)/100)*pointsize //endif //if shortonmarket then //sloss=tradeprice(1)+((tradeprice(1)*SL)/100)*pointsize //endif //endif //graphonprice sloss coloured(255,0,0,255) as "stoploss" //endif endif //graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

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  // test trailingstop and breakeven on the dax   defparam cumulateorders = false   once enableSL = 1 // stop loss once enablePT = 1 // profit target once enableTS = 1 // trailing stop once enableBE = 1 // breakeven stop   //once displaySL = 1 // stop loss //once displayPT = 1 // profit target //once displayTS = 1 // trailing stop //once displayBE = 1 // breakeven stop   SL   = 0.75 // % stop loss PT   = 1.00 // % profit target TS   = 0.35 // % trailing stop BESG = 0.25 // % break even stop gain BESL = 0.00 // % break even stop level   // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 endif   pclong= longtradecounter<1 pcshort = shorttradecounter<1   shortma = average[25](close) longma = average[50](close)   // conditions to enter long positions l1 = (shortma crosses over longma) // conditions to enter short s1 = (shortma crosses under longma) if pclong and l1 then buy 1 contract at market longtradecounter=longtradecounter+1 endif if pcshort and s1 then sellshort 1 contract at market shorttradecounter=shorttradecounter+1 endif   // trailing stop if enableTS then trailingstop = (tradeprice/100)*TS if not onmarket then maxprice=0 minprice=close priceexit=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close priceexit=0 endif if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=trailingstop*pointsize then priceexit=maxprice-trailingstop*pointsize endif endif if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=trailingstop*pointsize then priceexit=minprice+trailingstop*pointsize endif endif if longonmarket and priceexit>0 then sell at priceexit stop endif if shortonmarket and priceexit>0 then exitshort at priceexit stop endif //if displayTS then //graphonprice priceexit coloured(0,0,255,255) as "trailingstop" //endif endif   // break even stop if enableBE then if not onmarket then newsl=0 endif if ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl=0 endif if longonmarket then if close-tradeprice(1)>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)+((tradeprice/100)*BESL)*pipsize endif endif if shortonmarket then if tradeprice(1)-close>=((tradeprice/100)*BESG)*pipsize then newsl=tradeprice(1)-((tradeprice/100)*BESL)*pipsize endif endif if longonmarket and newsl>0 then sell at newsl stop endif if shortonmarket and newsl>0 then exitshort at newsl stop endif //if displayBE then //graphonprice newsl coloured(244,102,27,255) as "breakevenstop" //endif endif   // to set & display profittarget if enablePT then set target %profit PT //if displaypt then //if not onmarket then //ptarget=0 //elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then //ptarget=0 //endif //if onmarket then //if longonmarket then //ptarget=tradeprice(1)+((tradeprice(1)*PT)/100)*pointsize //endif //if shortonmarket then //ptarget=tradeprice(1)-((tradeprice(1)*PT)/100)*pointsize //endif //endif //graphonprice ptarget coloured(121,141,35,255) as "profittarget" //endif endif   // to set & display stoploss if enableSL then set stop %loss SL //if displaysl then //if not onmarket then //sloss=0 //elsif ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then //sloss=0 //endif //if onmarket then //if longonmarket then //sloss=tradeprice(1)-((tradeprice(1)*SL)/100)*pointsize //endif //if shortonmarket then //sloss=tradeprice(1)+((tradeprice(1)*SL)/100)*pointsize //endif //endif //graphonprice sloss coloured(255,0,0,255) as "stoploss" //endif endif   //graph (positionperf*100)coloured(0,0,0,255) as "positionperformance"

   

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  Vonasi

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  02/05/2019 at 3:42 AM #90467
  Paul

  You can’t exclude graph by //.  But you can set display to 0 for each one to disable lines or try Vonasi suggestion.

  The lines are a bit annoying since they start at the bottom as vertical lines. As alternative you can set them to points.

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  Paul

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  02/05/2019 at 9:56 AM #90475
  GraHal

  haha spot on Vonasi, works now, thank you!

  I had tried same / similar. but I can see now I was // out 3 lines too many in each code section with a GRAPH function.

  Also I’ve now noticed that I was optimising over 10k bars only!

  I was watching a good film at same time, but maybe I need to get my glasses from Australia! 🙂

  Actually below are what I wear on the computer when my eyes are tired!  Pinhole glasses (£4 or £1 from china!) ,,, think physics in school and pinhole cameras and that’s how they work!  Well worth checking out for anybody who’s eyesight is not what it used to be!

   

  

  GraHal

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