Looking for help in Conversion of “Volatility Stop” Indicator from TOS to PRT.
Indicator Code for TOS attached as file and below as text.
Thanks for your help!
Volatility Trailing Stop
## Version 1.1
## By Steve Coombs
## This ATR Trailing Stop is calculated using the Highest Close in an uptrend or
## the Lowest Close in a downtrend, rather than just the Close that is used
## in the standard TOS ATRTrailing Stop
#input StopLabel = yes; #ATRStop Label is Stop value from yesterdays ATR calculation
input ATRPeriod = 10;
input ATRFactor = 1.5;
input firstTrade = {default long, short};
input averageType = AverageType.SIMPLE;
Assert(ATRFactor > 0, “‘atr factor’ must be positive: ” + ATRFactor);
def trueRange = TrueRange(high, close, low);
def loss = ATRFactor * MovingAverage(averageType, trueRange, ATRPeriod);
def state = {default init, long, short};
def trail;
def mclose;
switch (state[1]) {
case init:
if (!IsNaN(loss)) {
switch (firstTrade) {
case long:
state = state.long;
mclose = close;
trail = close – loss;
case short:
state = state.short;
mclose = close;
trail = close + loss;
}
} else {
state = state.init;
trail = Double.NaN;
mclose = Double.NaN;
}
case long:
if (close > trail[1]) {
state = state.long;
mclose = Max(mclose[1], close);
trail = Max (trail[1], mclose – loss);
} else {
state = state.short;
mclose = close;
trail = mclose + loss;
}
case short:
if (close < trail[1]) {
state = state.short;
mclose = Min(mclose[1], close);
trail = Min(trail[1], mclose + loss);
} else {
state = state.long;
mclose = close + 0;
trail = mclose – loss;
}
}
#AddLabel(StopLabel, “ATR Stop =” + Round(trail[1], 2), color = Color.BLUE);
plot TrailingStop = trail;
TrailingStop.SetPaintingStrategy(PaintingStrategy.POINTS);
TrailingStop.SetLineWeight(lineWeight = 3);
TrailingStop.DefineColor(“Buy”, GetColor(5));
TrailingStop.DefineColor(“Sell”, GetColor(1));
TrailingStop.AssignValueColor(if state == state.long
then TrailingStop.Color(“Sell”)
else TrailingStop.Color(“Buy”));
.
