Hi everyone,
Have other people had the same problems with trailing stop losses on short time frames (1 second) as I have? When you write a strategy, the strategy cannot ‘see’ the previous level of a stop loss, so instead it reassesses the stop every second. This wouldn’t be a problem, except for the fact that when a new stop loss is placed each second, it is subject to IG’s minimum stop loss threshold. This results in the stop loss being repeatedly pushed back in the opposite direction, thus defeating the whole objective of a trailing stop loss. I completely understand about IG’s minimum, however the previous stop level isn’t being honoured after it’s started trailing. I did put in a technical support request to IG several weeks ago.
I was wondering if I could get round this by rewriting the stop loss conditions as ‘exit conditions’.
Originaly, for long trades (mirror logic for short trades) my trailing stop was to follow the LOWEST of the following which could change throughout the trade:
-
- The SMA 89
- The SMA55
- The SMA 21
- The highest level of the lower Bollinger Band for the lifetime of the trade.
Here’s the code for the trailing stop (below). Does anyone know how I can rewite this code below as an ‘exit condition’? The highest level of each line would have to be ‘remembered’ in the code for the lifetime of the trade in order to trigger the exit. Many thanks in advance.
//trailing stop loss
if longonmarket and go=0 then
ll=min(sma21,min(sma55,min(sma89,bbdn)))
if ll>itradeprice+MinProfitTrailing*pointsize then
buytrailing=max(buystoploss,max(buytrailing,ll))
set stop price buytrailing
endif
else
buytrailing=buystoploss
endif
if shortonmarket and go=0 then
hh=max(sma21,max(sma55,max(sma89,bbdn)))
if hh<itradeprice-MinProfitTrailing*pointsize then
selltrailing=min(sellstoploss,min(selltrailing,hh))
set stop price selltrailing
endif
else
selltrailing=sellstoploss
endif
Maybe this could help you:
sma89=average[89](close)
sma55=average[55](close)
sma21=average[21](close)
if not longonmarket and close>sma21 and close>sma55 and close>sma89 then
stoploss=min(sma21,min(sma55,sma89))
buy 1 contract at market
set stop price stoploss
endif
If longonmarket then
trailingstop=max(stoploss,min(sma21,min(sma55,sma89)))
set stop price trailingstop
endif
graphonprice sma21 coloured("cyan")
graphonprice sma55 coloured("blue")
graphonprice sma89 coloured("darkblue")
graphonprice stoploss coloured("fuchsia")
graphonprice trailingstop coloured("red")
Hi,
A Trailing System which uses a native TF of 1 second, can not exist; there would be no headroom to trail. Think about this carefully and you will give up on it right away.
The solution is using a somewhat larger TF (could be 3 seconds) for the trailing commands (Pending orders !), while using an underlaying 1 second system to apply the other things you want the “speed” for. In functional terms : set the TF of the chart to 1 second as you are used to, but use the TimeFrame command to set an e.g. 3 second TF around that.
This is somewhat more difficult to explain, but if you make a base like this for it, you will automatically start to understand.
In practice you will see that 3 seconds is still not giving you much headroom to trail down, though technically it can work. In other words, you can just as well use 5 seconds or 10 seconds or anything, as long as you re-optimize all.
Think in terms of : the more headroom I give my system to trail down but also to recover from that “dip”, the longer the trailing can last and the more your trade can earn. All to some degree of course and all in the “balance” you foresee or backtest.
Good luck !
@Ivan thanks for looking at this. I’m revisiting my strategy without trailing stop losses because the bug is hard coded into Prorealtime’s platform and it’s a known issue in Prorealtime.
@PeterSt IG’s native stop loss in Prorealtime doesn’t have this problem, even on a one second chart. The problem is due to the fact that the external algorithm cannot ‘see’ the placement of previous stop losses. So it responds by replacing the stop loss every second where each new stop is subject to IG’s minimum. But thanks for looking at this.
I was not talking about a technical problem … (it just works). But functionally you can not do this. No headroom for trailing … So no need to hunt it either. 🙂
