Normal atr trailingstop

• 04/14/2022 at 9:02 AM #191745
  robertogozzi

  graph AverageTrueRange[atrtrailingperiod](close)

  1	graph AverageTrueRange[atrtrailingperiod](close)

  

  robertogozzi

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  04/14/2022 at 9:03 AM #191746
  robertogozzi

  To plot prices on the chart GRAPHONPRICE is best suited.

  

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  04/14/2022 at 10:26 AM #191752
  Franro

  Alright thanks. Would be nice if someone could answer the question before and explain it. I do not have that understanding about ATR

  

  Franro

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  04/14/2022 at 10:55 AM #191754
  GraHal

  To answer unequivocally, with a Yes or No, we would have to set up the Trailing Stop and the GRAPH in the code.

  We are also, at the same time, trying to get our own code / Systems working robustly (and living our lives etc 🙂 ).

  I like to see things through to a conclusion, so I will set up the TS on XBT / USD later or might be tomorrow and let you know my findings.  Hopefully I will learn something in the process! 🙂

  If anybody wants to contribute in the meantime, feel free.

  1 user thanked author for this post.

  Franro

  

  GraHal

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  04/14/2022 at 11:27 AM #191756
  GraHal

  Right, attached is where I am at so far! 🙂

   

  

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  04/14/2022 at 2:06 PM #191759
  phoentzs

  @Grahal

  What code are you using to have such a good curve with so many trades?

  

  phoentzs

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  04/14/2022 at 2:10 PM #191760
  phoentzs

  @Grahal

  I mean what kind of entries?

  

  phoentzs

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  04/14/2022 at 4:09 PM #191762
  Franro

  This does not graph the distance from ONCE trailingstoplong = 10. As the distance is never in that curve once more than 10 and my algo running on and have active position has a running trailingstop. Which means that does not plot the ATR distance that I was looking for 🙁

  

  Franro

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  04/14/2022 at 4:24 PM #191763
  Franro

  atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong)

  1 2	atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong)

  Well this is explaining how trailing for long is started. My question is, is this part “AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000” affected by market and I guess it is..

  Which means just another %trail is much better to run backtest with when the market have recently went up alot or have most data on the from one other market relation

  

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  04/14/2022 at 4:56 PM #191765
  Franro

  Then optmizing that trailing over 200k bars is just dumb? As for example way back ONCE trailingstoplong = 10 would emean that trailing would start at a MUCH lower amount of latent gain than when market has 2x, 3x or even 10x.

  

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  04/14/2022 at 5:23 PM #191766
  Franro

  Sorry for multiple messages but no edit button 🙁

  With this “Then optmizing that trailing over 200k bars is just dumb” with ATR trailing ofcourse. %trail will allways be more robust than ATR trailing..

  

  Franro

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  04/14/2022 at 5:32 PM #191767
  phoentzs

  Even a %Trail will not work for 10 years. At least I haven’t seen one yet.
  Or Grahal?

  

  phoentzs

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  04/14/2022 at 5:38 PM #191768
  Franro

  Well I like to work with maximum data avalaible. Ofcourse all have there own methods.

   

  But it would be good if ATR would work the same way at all times, that would solve all issues. Is it possible replacing this ((close/10)*pipsize)/1000 with something that would not affect marketprice

  

  Franro

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  04/14/2022 at 6:29 PM #191769
  nonetheless

  This is the ATR trail that I use (coded by Paul). I only use it on 2 or 3 systems but my understanding is that it reads the highs and lows over a certain period (default = 14) and moves the stop in accordance with that range, ie the stop only moves up when a new high is achieved, often to just below the last dip.

  Typical values for the atr distance are between 3 and 10, but this is definitely not the trail start distance. TBH, after years of using it, it is still a mystery to me at what point the trail starts to move. I always use it in conjunction with a breakeven code, so I always know when that kicks in – then some at point the trail moves up, but it’s all very mysterious (to me) .

  I know this doesn’t answer your question, but perhaps you’ll find it helpful anyway. I don’t think the instrument value (ie whether it’s 1000 or 8000) makes any difference; as the name implies, it’s looking at a range, rather than a value.

  // atr trailing stop once trailingstopATR = 1 if trailingstopATR = 1 then //==================== once tsincrements = 0 // set to 0 to ignore tsincrements once tsminatrdist = 3 once tsatrperiod = 14 // ts atr parameter once tsminstop = IG // IG minimum stop distance tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== if barindex=tradeindex then trailingstoplong = 6 // ts atr distance trailingstopshort = 6 // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl else tsnewsl=tsmaxprice-tsminstop endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs else tsnewsl=tsminprice+tsminstop endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice 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 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118

  // atr trailing stop once trailingstopATR  = 1 if trailingstopATR = 1 then //==================== once tsincrements = 0 // set to 0 to ignore tsincrements once tsminatrdist = 3   once tsatrperiod    = 14 // ts atr parameter once tsminstop      = IG // IG minimum stop distance   tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== if barindex=tradeindex then trailingstoplong     = 6 // ts atr distance trailingstopshort    = 6 // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl else tsnewsl=tsmaxprice-tsminstop endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs else tsnewsl=tsminprice+tsminstop endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice endif

   

   

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  GraHal

  

  nonetheless

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  04/14/2022 at 8:30 PM #191773
  GraHal

  Franro wrote:

  ATR distance that I was looking for

  What TF are you running on?

  This Topic is discussing an ATR based Trailing Stop, the ‘ATR distance’ is therefore related to TF.

  

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