Breakeven- en trailingstop on different securities & indexes & forex

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04/16/2020 at 6:10 PM #126439 quote

Participant

Master

I understand your interest in other markets. You will have to start excluding parameters to the point where it starts taking trades. But it breaks the coherence of the parameters. Not sure it’s worth the effort though.

04/16/2020 at 9:31 PM #126454 quote

Dr Manhattan

Participant

Senior

>> meant to quote GraHal here but something happened…

1st is for set up of what to use, the 2nd is the bread and butter if you dont make the home run, the third is the execution of it all if I can understand it correctly. I will try to apply this when standard deviation of range goes outside of a regular day. Usually there is a small profit to be collected there on both sides, but it is usually a quick one and needs a really good trailing to make it before a reversal. Maybe this can do it. 🙂

05/02/2020 at 12:15 PM #129380 quote

GraHal

Participant

Master

I am clearing the decks of loads of Systems … off PRT and onto my PC.

I came across attached … good results so I thought I’d add to this Topic! I did not optimise at all, just backtested today!

Paul you put so much hard work … I hope this Topic might be revived.

I will put on Forward Test on Monday and report back … and if I forget to report back, please remind me at some stage anybody!? 🙂

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05/12/2020 at 7:15 PM #131367 quote

deleted23092025

Participant

New

@grahal im just here to remind you hehe 😀

05/12/2020 at 8:44 PM #131385 quote

GraHal

Participant

Master

Ha and I needed reminding too … I had put it in my ‘4Test folder’ and then forgot to put it on test!

I’ve been doing very well this week on manual trades and it’s taken my eye off the Auto-Systems!

I’ve just set it going on Forward Test.

Thanks

05/13/2020 at 11:15 PM #131573 quote

nonetheless

Participant

Master

Hi @Paul, I’ve been playing with the ATR TS code you used on the new Vectorial DAX and the results are fantastic – just wanted to say a big thanks for that!

Looking at this section of it,

once tsincrements = 0.5          // set to 0 to ignore tsincrements
once tsminatrdist = 4.0

once tsatrperiod    = 14         // ts atr parameter
once tsminstop      = 10         // ts minimum stop distance

once tssensitivity        = 0    // [0]close;[1]high/low

if trailingstoptype then
if barindex=tradeindex then
trailingstoplong     = 8   // ts atr distance
trailingstopshort    = 8   // ts atr distance

I tend to leave tsatrperiod and tsminstop as they are, as those values seem to work on any instrument and TF. But changes to ts atr distance, tsminatrdist, and tsincrements all have a huge effect. I’m still a bit unclear as to how these 3 work together. A lower ts atr distance, 3 to 6 for example, def gives a higher win % and seems better for scalping.

Do you have any basic rule of thumb as to how you select values for those on different instruments or TFs?

At the moment I’m working on a 2m TF with atr distance =5, tsminatrdist=2 and increments=0, seems to get good results overall.

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05/14/2020 at 7:56 AM #131601 quote

bertrandpinoy

Participant

Veteran

what do you mean by ATR = 5
I put the screen copy for more understanding

Sans-titre-2.png

05/14/2020 at 8:48 AM #131614 quote

nonetheless

Participant

Master

i mean trailingstoplong / short = 5

ts atr distance is rem’d out

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05/14/2020 at 2:44 PM #131671 quote

Paul

Participant

Master

Hi Nonetheless. Thanks for your comment!

I do the same with the tsatrperiod, leaving it at 14 regardless instrument.

the tsminstop is different. For this it’s best to have the correct value from IG.

It means if the current price is too close to the ts exit stop price, it will reject the exit when using the wrong value. (not visible in a backtest)

Because of this I added an extra exit criteria, if index crosses over/under the tsnewsl it still exits next bar at open on market. My purpose was for fast timeframes, because if the stop is rejected, the next bar will be fast. On a hourly timeframe it doesn’t bring much.

Then there’s tssensitivity. If you have often a spike and a close considerably away from the new high/low, the system originally only use the close. With some algo’s I thought might be interesting to calculate from the real high/low instead of close.

The trailingstop long/short is used to set the atr distance when the gains are sufficient. I do not have a basic rule on this, but when the trailing stop starts working, it has to have gains which makes sense compared to a loss on stoploss or average losses.

In the old situation, with tsincrements at 0 and tssensitivity at 0, it means a fixed (besides the round difference) number of points for the trailing stop. Those points are calculated from the highest/lowest close.

In the other situation, it starts working when the atr distance trailingstoplong/short is reached.

From that moment on it starts reducing the atr distance to the tsminatrdist with he increments set. Values which make sense normally are 0-0.25 with increments of 0.05. At the vectorial dax I’ve put them even higher.

In other words, if the trailing stop value in points was originally +/- 80, it starts reducing it to +/- 40 points quickly once it kicks in (using values in vectorial dax)

To have a better visual, try to use graph tgl/tgs and graphonprice tsnewsl and see the difference using increments at zero and higher.

The trailingstop doesn’t do completely what I had in mind though, but for me it’s good.

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05/14/2020 at 4:24 PM #131681 quote

nonetheless

Participant

Master

Thanks very much for the explanation, that makes a lot of things clearer. ATR TS is so much more sophisticated than the standard version where all you really have is the start and the step. Yours does a much better job of catching a bigger piece of the MFE for trades that don’t ever get to the TP.

It’s a brilliant contribution, consider me a convert. 👍

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05/15/2020 at 6:10 PM #131809 quote

swedshare

Participant

Senior

I have a “trailing challenge” for anyone up to it. I would guess that @Paul and @nonetheless might like this.

Attached is the Kama Sma strategy originally posted by robertogozzi. It includes his sophisticated trail. However the gain/loss ratio is about the same (2.6-2.7) with and without the trail. The win-rate is better with trail. But the interesting part is the MFE/MAE ratio at 3.7 (!) meaning there is way more candy to steal. I have tried a lot of trails and breakevens from this forum but can’t find a good one boosting the G/L above 3. Any suggestions on a suitable trail? A side note is that the equity curve will never be straight so don’t get hung up on that.

DEFPARAM CumulateOrders = false
DEFPARAM PreLoadBars    = 2000

//code re-invest
Capital = 1000 // initial capital
Equity = Capital + StrategyProfit
Position = Max(1, Equity * (1/Capital))
Position = Round(Position*100)
Position = Position/100
//********************

ONCE TP            = 4.5
ONCE SL            = 0.3

//code quit strategy
maxequity = max(equity,maxequity)
DrawdownNeededToQuit = 40   // percent drawdown from max equity to stop strategy
if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then
quit
endif
//*****************

////////////////////////////////////////////////////////////////////////
TIMEFRAME (default)
//ONCE nLots         = 1
ONCE LongTrading   = 1                                //1=allowed   0=banned
ONCE ShortTrading  = 1                                //1=allowed   0=banned

TIMEFRAME (1 hour, updateonclose)                                             //h1
IF Not OnMarket THEN
BarCount = 0
ELSE
BarCount = BarCount + 1
ENDIF
//------------------------------------------------------------------------------------
//                         Kama & Sma Strategy
//
//https://www.forexstrategiesresources.com/trend-following-forex-strategies/111-kama-strategy/
//
Period     = 2                                              //2        (standard 10)
FastPeriod = 2                                              //standard
SlowPeriod = 30                                             //standard
//
Fastest  = 2 / (FastPeriod + 1)
Slowest  = 2 / (SlowPeriod + 1)
if barindex >= (Period + 1) then
Num   = abs(close-close[Period])
Den   = summation[Period](abs(close-close[1]))
ER    = Num / Den
Alpha = SQUARE(ER *(Fastest - Slowest )+ Slowest)
Kama  = (Alpha * Close) + ((1 -Alpha)* Kama[1])
else
Kama  = close
endif
//------------------------------------------------------------------------------------
Sma        = average[22,0](close)                           //22
//------------------------------------------------------------------------------------
a1 = Kama CROSSES OVER  Sma
// --- SHORT
b1 = Kama CROSSES UNDER Sma
////////////////////////////////////////////////////////////////////////
TIMEFRAME (default)                                                           //1 min
ONCE TradeON = 1
IF IntraDayBarIndex = 0 THEN
TradeON = 1
ENDIF
TradeBar = BarCount
IF Not OnMarket AND TradeBar <> TradeBar[1] THEN
TradeON = 1
ENDIF
//************************************************************************
//                           LONG  trades
//************************************************************************
IF a1 AND TradeON AND LongTrading and TradeOK THEN
BUY 1 CONTRACT AT MARKET
TradeON = 0
ENDIF
//************************************************************************
//                           SHORT trades
//************************************************************************
IF b1 AND TradeON AND ShortTrading and TradeOK THEN
SELLSHORT 1 CONTRACT AT MARKET
TradeON = 0
ENDIF
//
SET TARGET %PROFIT TP
SET STOP   %LOSS   SL
//////////////////////////////////////////////////////////////////////////////////////////////////////////
//                                Trailing Stop
//------------------------------------------------------------------------------------
IF Not OnMarket THEN
TrailStart    = 50          //50     Start trailing profits from this point
BasePerCent   = 0.07 //0.07       //10.0%  Profit to keep
StepSize      = 6           //6      Pips chunks to increase Percentage
PerCentInc    = 0.1       //10.0%  PerCent increment after each StepSize chunk
RoundTO       = -0.5        //-0.5   rounds to Lower integer,  +0.4 rounds to Higher integer
PriceDistance = 7 * pipsize//8.9    minimun distance from current price
y1            = 0
y2            = 0
ProfitPerCent = BasePerCent
ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG
x1 = (close - tradeprice) / pipsize                            //convert price to pips
IF x1 >= TrailStart THEN                                       //go ahead only if N+ pips
Diff1         = abs(TrailStart - x1)
Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO))
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc))
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))
y1 = max(x1 * ProfitPerCent, y1)                            //y = % of max profit
ENDIF
ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT
x2 = (tradeprice - close) / pipsize                            //convert price to pips
IF x2 >= TrailStart THEN                                       //go ahead only if N+ pips
Diff2         = abs(TrailStart - x2)
Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO))
ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc))
ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent))
y2 = max(x2 * ProfitPerCent, y2)                           //y = % of max profit
ENDIF
ENDIF
IF y1 THEN                                        //Place pending STOP order when y>0
SellPrice = Tradeprice + (y1 * pipsize)        //convert pips to price
IF abs(close - SellPrice) > PriceDistance THEN
IF close >= SellPrice THEN
SELL AT SellPrice STOP
ELSE
SELL AT SellPrice LIMIT
ENDIF
ELSE
SELL AT Market
ENDIF
ENDIF
IF y2 THEN                                        //Place pending STOP order when y>0
ExitPrice = Tradeprice - (y2 * pipsize)        //convert pips to price
IF abs(close - ExitPrice) > PriceDistance THEN
IF close <= ExitPrice THEN
EXITSHORT AT ExitPrice STOP
ELSE
EXITSHORT AT ExitPrice LIMIT
ENDIF
ELSE
EXITSHORT AT Market
ENDIF
ENDIF

// (GER) No trade after friday 16:00:00 (UTC+2 Europe/Berlin) or on holidays
If dayofweek = 5 AND Time > 160000 then
TradeOK = 0
elsif dayofweek = 0 then
TradeOK = 0
elsif dayofweek = 1 AND Time < 000100 then
TradeOK = 0
elsif year = 2019 and month = 12 and day = 24 then //
TradeOK = 0
elsif year = 2019 and month = 12 and day = 25 then //
TradeOK = 0
elsif year = 2019 and month = 12 and day = 26 then //
TradeOK = 0
elsif year = 2019 and month = 12 and day = 31 then //
TradeOK = 0
elsif year = 2020 and month = 1 and day = 1 then // New Year's Day
TradeOK = 0
elsif year = 2020 and month = 4 and day = 9 then // Easter
TradeOK = 0
elsif year = 2020 and month = 4 and day = 10 then // Easter
TradeOK = 0
elsif year = 2020 and month = 4 and day = 13 then // Easter
TradeOK = 0
elsif year = 2020 and month = 5 and day = 1 then //
TradeOK = 0
elsif year = 2020 and month = 6 and day = 1 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 24 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 25 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 26 then //
TradeOK = 0
elsif year = 2020 and month = 12 and day = 31 then //
TradeOK = 0
else
TradeOK = 1
endif
// Add TradeOK to buy condition
//*************

// (GER) Close positions before weekend or day before holiday at 17:15:00 (UTC+2 Europe/Berlin)
if dayofweek = 5 and time = 171500 THEN
Endbeforeholiday = 1
elsif year = 2019 and month = 12 and day = 23 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2019 and month = 12 and day = 30 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 4 and day = 8 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 4 and day = 30 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 12 and day = 23 and time = 171500 then
Endbeforeholiday = 1
elsif year = 2020 and month = 12 and day = 30 and time = 171500 then
Endbeforeholiday = 1
else
Endbeforeholiday = 0
endif
IF Endbeforeholiday THEN
SELL AT MARKET
EXITSHORT AT MARKET
ENDIF
//*************

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