Dynamic Stop Loss – ATR Based

• 03/21/2018 at 10:50 PM #66027
  GraHal

  Can anybody see how to get this code to work for an ExistShort please? I’ve tried for an hour / several changes, but I can’t get it to work.

  I need the full code for an Exit Long and an ExitShort please.

  The original code came from a Nicolas post here

  https://www.prorealcode.com/blog/learning/moving-stoploss-dynamic-informations-proorder/

  Many Thanks
  GraHal

  defparam preloadbars = 150 defparam cumulateorders = false mm = average[100](close) ATRsl = mm - highest[50](averagetruerange[100](close)*2) condition = close crosses over mm if condition then buy 1 lot at market //first stoploss: SL = close-ATRsl set stop ploss SL dynamicSL = SL endif //dynamicSL if longonmarket then if(ATRsl>dynamicSL) then dynamicSL=ATRsl endif sell at dynamicSL stop endif GRAPH dynamicSL as "dyn"

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  defparam preloadbars = 150 defparam cumulateorders = false mm = average[100](close) ATRsl = mm - highest[50](averagetruerange[100](close)*2) condition = close crosses over mm if condition then buy 1 lot at market //first stoploss: SL = close-ATRsl set stop ploss SL dynamicSL = SL endif //dynamicSL if longonmarket then if(ATRsl>dynamicSL) then   dynamicSL=ATRsl endif sell at dynamicSL stop endif GRAPH dynamicSL as "dyn"

   

  

  GraHal

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  03/22/2018 at 1:45 AM #66035
  verdi55

  line 13 should read :

  sell at SL stop

  1	sell at SL stop

  because SL is a large number, in the vicinity of close.

   

  In total, for shorts, maybe like this ?

  defparam preloadbars = 150 defparam cumulateorders = false mm = average[100](close) ATRsl = mm + highest[50](averagetruerange[100](close)*2) condition = close crosses under mm if condition then sellshort 1 lot at market //first stoploss: SL = close+ATRsl exitshort at SL stop dynamicSL = SL endif //dynamicSL if shortonmarket then if(ATRsl<dynamicSL) then dynamicSL=ATRsl endif exitshort at dynamicSL stop endif GRAPH dynamicSL as "dyn"

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  defparam preloadbars = 150 defparam cumulateorders = false mm = average[100](close) ATRsl = mm + highest[50](averagetruerange[100](close)*2) condition = close crosses under mm if condition then sellshort 1 lot at market //first stoploss: SL = close+ATRsl exitshort at SL stop dynamicSL = SL endif //dynamicSL if shortonmarket then if(ATRsl<dynamicSL) then dynamicSL=ATRsl endif exitshort at dynamicSL stop endif GRAPH dynamicSL as "dyn"

   

  

  verdi55

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  03/22/2018 at 9:18 AM #66047
  BC

  Hi Verdi

  I think line 13 should be

  SL = ATRsl-Close

  1	SL = ATRsl-Close

  

  BC

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  03/22/2018 at 9:53 AM #66059
  Nicolas

  set stop ploss SL

  1	set stop ploss SL

  is ok as long as the instrument has a pointsize = 1 , because SL variable is calculated in price format, the best way would be to use ‘set stop loss’ to be completely compatible with any security.

   

  

  Nicolas

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  03/22/2018 at 1:17 PM #66084
  verdi55

  Nicolas wrote:

  set stop ploss SL

  1	set stop ploss SL

  is ok as long as the instrument has a pointsize = 1 , because SL variable is calculated in price format, the best way would be to use ‘set stop loss’ to be completely compatible with any security.

   

  Yes, that’s right. Maybe I shouldn’t code at 1:45 in the night in order to get sleepy…

  I did not realize that ATRsl is an absolute price quantity in the region of the current price. Not an ATR quantity (a small stop distance).

   

  Now, let’s recall what is intended with this code :

  The absolute stop price of a position shall be ATRsl, right from the beginning. When this moves closer to positionprice, it shall be adapted in the way of a trailing stop.

  So, why don’t we use ATRsl as an absolute stop (exit) price all of the time ? We then do not need the quantities dynamicSL and SL anymore (which have caused the whole confusion), we just look in every bar whether ATRsl has moved closer to positionprice or not.

  We have to add “and (not shortonmarket)” in line 9, because do not want these commands to be executed onve again when a position is already open, which could reset the current dynamic stop to a higher value (we only want lower values for shorts).

   

  Therefore, revised version for shorts :

  defparam preloadbars = 150 defparam cumulateorders = false mm = average[100](close) ATRsl = mm + highest[50](averagetruerange[100](close)*2) condition = close crosses under mm if condition and (not shortonmarket) then sellshort 1 lot at market //first stoploss: exitshort at ATRsl stop currentdynamicstopprice = ATRsl endif //dynamicstopprice if shortonmarket then if (ATRsl < currentdynamicstopprice) then currentdynamicstopprice = ATRsl endif exitshort at currentdynamicstopprice stop endif GRAPH currentdynamicstopprice as "dynamic stop loss"

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  defparam preloadbars = 150 defparam cumulateorders = false   mm = average[100](close) ATRsl = mm + highest[50](averagetruerange[100](close)*2)   condition = close crosses under mm   if condition and (not shortonmarket) then sellshort 1 lot at market //first stoploss: exitshort at ATRsl stop currentdynamicstopprice = ATRsl endif   //dynamicstopprice if shortonmarket then if (ATRsl < currentdynamicstopprice) then currentdynamicstopprice = ATRsl endif exitshort at currentdynamicstopprice stop endif     GRAPH currentdynamicstopprice as "dynamic stop loss"

   

  The long version then also needs a revision :

  defparam preloadbars = 150 defparam cumulateorders = false mm = average[100](close) ATRsl = mm – highest[50](averagetruerange[100](close)*2) condition = close crosses over mm if condition and (not longonmarket) then buy 1 lot at market //first stoploss: sell at ATRsl stop currentdynamicstopprice = ATRsl endif //dynamicstopprice if longonmarket then if (ATRsl > currentdynamicstopprice) then currentdynamicstopprice = ATRsl endif sell at currentdynamicstopprice stop endif GRAPH currentdynamicstopprice as "dynamic stop loss"

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  defparam preloadbars = 150 defparam cumulateorders = false   mm = average[100](close) ATRsl = mm – highest[50](averagetruerange[100](close)*2)   condition = close crosses over mm   if condition and (not longonmarket) then buy 1 lot at market //first stoploss: sell at ATRsl stop currentdynamicstopprice = ATRsl endif   //dynamicstopprice if longonmarket then if (ATRsl > currentdynamicstopprice) then currentdynamicstopprice = ATRsl endif sell at currentdynamicstopprice stop endif   GRAPH currentdynamicstopprice as "dynamic stop loss"

   

  Phew ! Quite a lot of hard thinking. Why complex, when it can be done easily ?

  Everybody agree ?

  

  verdi55

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  03/22/2018 at 2:14 PM #66090
  BC

  Hi Verdi

  U are right! 👍

  

  BC

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  03/22/2018 at 3:32 PM #66093
  verdi55

  The result is about the same as with Nicolas’ original code, although line 19 is not entirely correct there. In the first bar after a position has been opened,

  if(ATRsl>dynamicSL) then

  1	if(ATRsl>dynamicSL) then

  works nevertheless most of time, because the first dynamicSL (only in this bar being a small stop distance) is always very small compared to ATRsl (which is always a large absolute price).

   

  This is also the reason why the “GRAPH dynamicSL ” command in the last line of the original code gives a little strange looking results. There are spikes down to almost 0 each time when a new position is opened or when “condition” is true once again during the course of an open position, because then  “dynamicSL”  switches from an absolute price to a small stop distance and back. 

   

  

  In the new code, there are only “sell at xx stop” and “exitshort at xx stop” commands, which may improve comprehensiblity a little. And the graph commands show nicely the development of the trailing stops. Maybe Nicolas can amend this in his code.

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  GraHal

  

  verdi55

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  03/22/2018 at 3:39 PM #66096
  GraHal

  Thank you @Verdi55, seems I wasn’t doing much wrong last night after all, it just wasn’t making  much difference to my results so I assumed my code for a Short wasn’t correct. 🙂

  Last night I was trying to fit the Dynamic SL into an RSI[2] Strat I am working on.

  Yes I was scratching my head also to understand how it worked, your code seems much simpler.

  This morning, using the complex version (before I saw the easier version) I got a Long and Short working using the simple MA condition. I may as well attach results and an .itf file in case anybody wants to take it further?

  For the hell of it, I will now fit Verdi55 simpler  version into the same simple condition Strat and see what the difference is if any! 🙂

  Cheers
  GraHal

  PS It’s only good over 10k bars, but I am starting to think the market changed so much from early Feb is there any point going back further and thus ending up with a strategy that is not reactive enough for today’s very short up & down zig & zags !? 🙂

  

  GraHal

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