Breakeven- en trailingstop on different securities & indexes & forex

Paul · 2019-02-05T03:25:26+00:00

Use breakeven- en trailingstop on different securities & indexes & forex I want it to work well in every scenario, regardless of forex, shares etc. So i’am testing one variable extra and called it underlaying. It seems I got it to work for SL & PT & BE. Underlaying1 is not meant to optimize. It’s either 0.01 0.1 1 10 100 depending on forex, index etc. With the right value the lines match the SL and PT. If that’s correct the BE value is correct too. i.e. use for gdpusd underlaying1=0.01 but for the dax underlaying1=100 and for shares 1. And so far no need to touch underlaying2 I’am open for suggestions, for a cleaner code and a solution for the TS. // test trailingstop and breakeven on the dax defparam cumulateorders = false once enableSL = 1 // stop loss once enablePT = 1 // profit target once enableTS = 0 // trailing stop once enableBE = 1 // breakeven stop once displaySL = 1 // stop loss once displayPT = 1 // profit target once displayTS = 0 // trailing stop once displayBE = 1 // breakeven stop SL = 0.75 // % stop loss PT = 0.50 // % profit target TS = 0.35 // % trailing stop BESG = 0.25 // % break even stop gain BESL = 0.00 // % break even stop level // underlaying security / index / forex // profittargets and stoploss have to match the lines // 0.01 FOREX [i.e. GBPUSD=0.01] // 1.00 SECURITIES [i.e. aapl=1 ; // 100.00 INDEXES [i.e. dax=100] // XAUUSD = 100 // CL US Crude = 100 underlaying1=1 // SL & PT underlaying2=underlaying1/100 // BE [ don't change] //underlaying3=1 // reset at start if intradaybarindex=0 then longtradecounter=0 shorttradecounter=0 endif pclong = longtradecounter<1 pcshort = shorttradecounter<1 shortma = average[sm](close) longma = average[lm](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*pointsize 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(1)/100)*BESG)/underlaying2)*pointsize then newsl=tradeprice(1)+(((tradeprice(1)/100)*BESL)/underlaying2)*pointsize endif endif if shortonmarket then if tradeprice(1)-close>=(((tradeprice(1)/100)*BESG)/underlaying2)*pointsize then newsl=tradeprice(1)-(((tradeprice(1)/100)*BESL)/underlaying2)*pointsize 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)/underlaying1)*pointsize endif if shortonmarket then ptarget=tradeprice(1)-((tradeprice(1)*PT)/underlaying1)*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)/underlaying1)*pointsize endif if shortonmarket then sloss=tradeprice(1)+((tradeprice(1)*SL)/underlaying1)*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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07/08/2020 at 8:55 AM #138710 quote

zilliq
Participant

Master

Hi Paul,

In my experience (I work a lot on MAE and MFE), as you can see on the french forum, I didn’t find something interestring, but I could be wrong

Ok, let’s try with trailing/BE and not as promise

07/08/2020 at 9:06 AM #138711 quote

zilliq
Participant

Master

Well it’s on the run,

I use a simple crossing average strategy

f is the number of step before closing the trade

f=1 then R/R=1

f>1 then we have a trailing stop and on the first step=BE R/R>1

c= the step in pip (EUR/USD 1 mn 100 000 units 3000 comb).

Of course no partial exist = only ONE exit

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07/08/2020 at 9:22 AM #138713 quote

zilliq
Participant

Master

Done !

It confirms what I said previsously

See the pictures

As you see : The total gain is quite the same between f=1=No BE or f>1 with Trailing stop and BE

When f=1 the % of winning trade is higher compare when f>1

But when f=1 the average gain is less important = you win more / trade when f>1 (but remember we have less winning trades)

In conclusion, as I said before and to reduce my stress notably…I use generally f=1 with No Trailing Stop and No Breakeven who seems to be unuseful

This is MY experience and MY tests, may be you can do yours to compare

Have a nice day

Zilliq

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07/08/2020 at 12:49 PM #138747 quote

zilliq
Participant

Master

One another important thing @paul

The more f is high, less transaction you have, and for a better optimization we need a lot of transactions (The more is better)

One other reason for f=R/R=1

Bye

07/08/2020 at 1:09 PM #138748 quote

Paul
Participant

Master

hi zilliq

if you have 1% stoploss & 1% profittarget and being long, there’s no action on the same signals for long in that 2% range, which could be very poor.

it’s likely more curvefitted and less robust, but depends how the code is written.

With my little project I’ve made progress & is compleet, but it’s not good enough to use it.

I like the idea to use support & resistance in a strategy so that it being more dynamic with smaller losses & faster profits & reversals on tops or bottoms optional.

Have not used breakeven in my codes but a percentage trailingstop I do use atm.

Take care

Paul
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