STOP LOSS using ATR

• 07/13/2022 at 12:58 PM #197222
  deltasystem

  Hello,

  I’ve been trying different Stop Loss techniques and I have come up with something using ATR. Ive added it to my code as a trailing stop loss but it seems that it is not be calculated as I want it to be. It seems it is not trailing the highest or lowest price made.I am using a 15 minute time frame. Can anyone help me out here ??

  SET STOP PTRAILING WeightedAverage[14](AverageTrueRange[2](close))*2

  1	SET STOP PTRAILING WeightedAverage[14](AverageTrueRange[2](close))*2

  thankyou !

  

  deltasystem

  Participant

  Topics: 6

  Replies: 13

  Been thanked: 1 time
  07/13/2022 at 2:25 PM #197228
  GraHal

  If you insert below in your code, the value will show you the number of points price needs to move before the TS starts to move.

  When Set Stop PTrailing does start to move, it only moves 1 point for every 1 point change in price.

  GRAPH WeightedAverage[14](AverageTrueRange[2](close))*2

  1	GRAPH WeightedAverage[14](AverageTrueRange[2](close))*2

   

  1 user thanked author for this post.

  deltasystem

  

  GraHal

  Participant

  Topics: 203

  Replies: 8388

  Been thanked: 2034 times
  07/13/2022 at 2:51 PM #197229
  deltasystem

  Hi GraHal,

  thank you. As far as I can see the Stop Loss is not moving up or down correctly with new price highs or lows depending on long or short. Ive attached a screen shot. Am I correct in assuming that the stop loss for this marked 15 minute bar will be 104,67 and will only change after the bar has closed? In this case (I went short on the open of the bar at 12653,3) the price then went down to 12631,5 before rising and I was closed out at 12716,5. From my understanding the StopLoss should have trailed 21 points which means it would have bee 83 points from my entry point so around 12736 but this as not the case since I was closed out at 12716,5. Or am I taking the wrong value for the stop loss? Should i be taking the value on the graph of the 15 minute bar before the trade opens?

  If you look at the 2nd screenshot I did and the marked bar which is also a trade I cannot understand how the trade as stopped out so much lower than I am assuming the Stop Loss should be. How much should the trailing stop loss have been, max 84 right? Or possibly even less if I am reading wrongly and it should be the value from the bar before.

  I really appreciate your help!

  

  deltasystem

  Participant

  Topics: 6

  Replies: 13

  Been thanked: 1 time
  07/13/2022 at 3:33 PM #197233
  robertogozzi

  Replacing SET STOP ?TRAILING with a trailing stop code snippet is usually recommended.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16460

  Been thanked: 3637 times
  07/13/2022 at 4:48 PM #197236
  deltasystem

  I’m sorry I don’t know what a snippet is…

  

  deltasystem

  Participant

  Topics: 6

  Replies: 13

  Been thanked: 1 time
  07/13/2022 at 5:07 PM #197237
  robertogozzi

  It’s a piece of code that replaces the built-in TRAILING instruction.

  It’s quite easy to use, actually you don’t even need to code, just copy & paste lines 17- 56 (at https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/) and append them at the end of your code after removing the SET STOP PTRAILING line.

  This is the code:

  //********************************************************************************* //trailing stop function trailingstart = 20 //trailing will start @trailinstart points profit trailingstep = 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 close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize 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

  //********************************************************************************* //trailing stop function trailingstart = 20   //trailing will start @trailinstart points profit trailingstep  = 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 close-tradeprice(1)>=trailingstart*pipsize THEN   newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN   newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN   newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN   newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //*********************************************************************************

  You only have to set the two values trailingstart and trailingstep to the ones you prefer.

  2 users thanked author for this post.

  deltasystem, GraHal

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16460

  Been thanked: 3637 times
  07/13/2022 at 6:25 PM #197243
  GraHal

  deltasystem wrote:

  what a snippet is

  Click on below and you will have a pleasant surprise! 🙂

  Snippet Link Library

   

  1 user thanked author for this post.

  deltasystem

  

  GraHal

  Participant

  Topics: 203

  Replies: 8388

  Been thanked: 2034 times
  07/13/2022 at 7:07 PM #197245
  deltasystem

  Wow! thanks a million!

  1 user thanked author for this post.

  GraHal

  

  deltasystem

  Participant

  Topics: 6

  Replies: 13

  Been thanked: 1 time
• Author
  Posts