Modified Nicolas' Trailing Stop code

• 06/15/2018 at 10:42 AM #73306
  robertogozzi

  Sometimes it may happen that your target is not reached, but price went in your favour and you want to save some of the profits earned so far, that’s why the Trailing Stop exist!

  But in automated trading (at least until MTF will be supported) and mainly on higher TFs, Nicolas’code to support a good Trailing Stop is executed only when a bar closes, leaving room for price to pullback or even reverse, despite your trailing stop may have been triggered while the bar was forming, simply because when the bar closes price has retraced to a lower point < to your trailing stop treshold and the code is fooled into believing the price never reached that treshold!

  So, while awaiting MTF to come, I replaced CLOSE with HIGH and LOW, respectively, for Long and Short trades. So the code will compare TRADEPRICE with a higher/lower price than before, the price you would use manually when in front of your charts.

  When the bar closes and the code is executed, it will set a new SL according to those new prices in relation with TRADEPRICE and set a new SL where it wouldn’t have been set before, or closing immediately ifa price has fallen below TRADEPRICE!

  //************************************************************************ // trailing stop function trailingstart = 10 //10 trailing will start @trailinstart points profit trailingstep = 5 //5 trailing step to move the "stoploss" // //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND HIGH-tradeprice(1)>=trailingstart*pipsize THEN //close --> HIGH newSL = tradeprice(1)+trailingstep*pipsize // new coding IF newSL > close THEN //if current closing price is < new SL then exit IMMEDIATELY! SELL AT MARKET ENDIF // end new coding ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize // new coding IF newSL > close THEN //if current closing price is < new SL then exit IMMEDIATELY! SELL AT MARKET ENDIF // end new coding ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-LOW>=trailingstart*pipsize THEN //close --> LOW newSL = tradeprice(1)-trailingstep*pipsize // new coding IF newSL < close THEN //if current closing price is > new SL then exit IMMEDIATELY! EXITSHORT AT MARKET ENDIF // end new coding ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize // new coding IF newSL < close THEN //if current closing price is > new SL then exit IMMEDIATELY! EXITSHORT AT MARKET ENDIF // end new coding ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57

  //************************************************************************ // trailing stop function trailingstart = 10   //10   trailing will start @trailinstart points profit trailingstep  = 5    //5    trailing step to move the "stoploss" // //reset the stoploss value IF NOT ONMARKET THEN    newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN    //first move (breakeven)    IF newSL=0 AND HIGH-tradeprice(1)>=trailingstart*pipsize THEN                 //close --> HIGH       newSL = tradeprice(1)+trailingstep*pipsize   //  new coding   IF newSL > close THEN                                                  //if current closing price is < new SL then exit IMMEDIATELY!      SELL AT MARKET   ENDIF    //  end new coding    ENDIF    //next moves    IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN       newSL = newSL+trailingstep*pipsize   //  new coding   IF newSL > close THEN                                                  //if current closing price is < new SL then exit IMMEDIATELY!      SELL AT MARKET   ENDIF   //  end new coding    ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN    //first move (breakeven)    IF newSL=0 AND tradeprice(1)-LOW>=trailingstart*pipsize THEN                 //close --> LOW       newSL = tradeprice(1)-trailingstep*pipsize   //  new coding       IF newSL < close THEN                                                     //if current closing price is > new SL then exit IMMEDIATELY!          EXITSHORT AT MARKET       ENDIF       //  end new coding    ENDIF    //next moves    IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN       newSL = newSL-trailingstep*pipsize   //  new coding       IF newSL < close THEN                                                    //if current closing price is > new SL then exit IMMEDIATELY!          EXITSHORT AT MARKET       ENDIF       //  end new coding    ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN    SELL      AT newSL STOP    EXITSHORT AT newSL STOP ENDIF //************************************************************************

  Should anyone take some further risk of a higher loss and aim at closing at breakeven instead of a loss, in case price has fallen below entry point, lines 17 and 26 can be replaced by:

  SELL AT newSL LIMIT

  1	SELL AT newSL LIMIT

  and lines 38 and 47 with:

  EXITSHORT AT newSL LIMIT

  1	EXITSHORT AT newSL LIMIT

  I tested it a bit and found out that it yields slightly poorer performances, but less losing trades and less drawdown.

  In a few months this post will, hopefully, be superseded by MTF.

  6 users thanked author for this post.

  Midlanddave, Monochrome, Bard, immo_vienna, Nicolas, GraHal

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
  06/15/2018 at 11:07 AM #73311
  robertogozzi

  The last lines to replace some code should be used IF price has fallen below ENTRY POINT, otherwise with the original lines the trade would be closed in profit, as from the screenshot that I attached.

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
  06/15/2018 at 11:52 AM #73318
  GraHal

  That is a very useful improvement Roberto, thank you so much!

  I have added, as row 41, to here Snippet Link Library

  3 users thanked author for this post.

  Midlanddave, Nicolas, robertogozzi

  

  GraHal

  Participant

  Topics: 204

  Replies: 8401

  Been thanked: 2042 times
  07/04/2021 at 4:14 PM #173093
  sulimaster

  Hi and thanks for above trailing stop loss code.

  Is there a multi time frame trailing stop loss code snippet that you can share or direct me to please?

  Thanks

  Sachin

  

  sulimaster

  Participant

  Topics: 15

  Replies: 20

  Been thanked: 0 times
  07/04/2021 at 4:41 PM #173097
  robertogozzi

  To use it in an MTF system, simply add as first line:

  Timeframe(default)

  1	Timeframe(default)

  then use any other TF in your system.
  Usually this snippet is appended to strategies.

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
• Author
  Posts