Three stoplosses, in one strategy

• 03/06/2020 at 9:52 AM #121320
  pascaltmn

  Hello,

  I am trying to build a long-only strategy that incorporates three stop-losses in one.

  • First of all, right when the trade is opened, the stop-loss should be 2% below the entry.

  Next, if the price moves > 1% from the entry, the stop needs to become the highest value of the following two:

  • The entry (moving the stop to breakeven)
  • The lowest low in the last 5 candles (a trailing stop)

  If the highest value of the two is hit, the strategy should immediately exit the long.

  I’ve read through all the available posts about stop-losses on the forum and tried several code snippets, but I couldn’t get it to work…

  I would appreciate your help a lot.

  Thank you,

  Pascal

   

  

  pascaltmn

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  03/06/2020 at 11:51 AM #121336
  robertogozzi

  Try this (not tested):

  IF Not OnMarket THEN NewSL = 0 ENDIF IF close CROSSES OVER average[200,0](close) AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET EntryPrice = close MySL = close * 0.02 //2% MyTP = MySL * 3 //TP = 3 times Stop Loss ENDIF SET Stop Loss MySL SET Target Profit MyTP IF (close - TradePrice) > (EntryPrice * 1.01) THEN NewSL = max(NewSL,max(EntryPrice, lowest[5](low))) ENDIF IF NewSL > 0 THEN SELL AT NewSL STOP ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  IF Not OnMarket THEN    NewSL = 0 ENDIF IF close CROSSES OVER average[200,0](close) AND Not OnMarket THEN    BUY 1 CONTRACT AT MARKET    EntryPrice = close    MySL       = close * 0.02   //2%    MyTP       = MySL  * 3      //TP = 3 times Stop Loss ENDIF SET Stop   Loss   MySL SET Target Profit MyTP IF (close - TradePrice) > (EntryPrice * 1.01) THEN    NewSL = max(NewSL,max(EntryPrice, lowest[5](low))) ENDIF IF NewSL > 0 THEN    SELL AT NewSL STOP ENDIF

   

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  robertogozzi

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  03/06/2020 at 12:10 PM #121338
  robertogozzi

  Sorry, line 12 should be replaced by:

  IF close > (EntryPrice * 1.01) THEN

  1	IF close > (EntryPrice * 1.01) THEN

   

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  robertogozzi

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  03/06/2020 at 5:45 PM #121391
  pascaltmn

  That worked. Thank you, Roberto!

  

  pascaltmn

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  03/06/2020 at 6:52 PM #121401
  pascaltmn

  Hmm, I tried to replicate the same code snippet including shorting, and I can’t make it work…

  Here’s what I have:

  Stoploss logic for long and short side

  // SL reset IF Not OnMarket THEN NewLongSL = 0 ENDIF IF Not OnMarket THEN NewShortSL = 0 ENDIF // Conditions To Enter and Exit Long IF expansion AND bull AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET EntryPriceLong = close MyLongSL = close * 0.02 ENDIF SET Stop Loss MyLongSL IF close > (EntryPriceLong * 1.01) THEN NewLongSL = max(NewLongSL,max(EntryPriceLong, lowest[5](low))) ENDIF IF NewLongSL > 0 THEN SELL AT NewLongSL STOP ENDIF // Conditions To Enter and Exit Short IF expansion AND bear AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET EntryPriceShort = close MyShortSL = close * 0.02 ENDIF SET Stop Loss MyShortSL IF close < (EntryPriceShort * 0.99) THEN NewShortSL = min(NewShortSL,min(EntryPriceShort, highest[5](high))) ENDIF IF NewShortSL > 0 THEN EXITSHORT AT NewShortSL 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

  // SL reset   IF Not OnMarket THEN NewLongSL = 0 ENDIF   IF Not OnMarket THEN NewShortSL = 0 ENDIF   // Conditions To Enter and Exit Long IF expansion AND bull AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET EntryPriceLong = close MyLongSL       = close * 0.02 ENDIF   SET Stop Loss MyLongSL IF close > (EntryPriceLong * 1.01) THEN NewLongSL = max(NewLongSL,max(EntryPriceLong, lowest[5](low))) ENDIF   IF NewLongSL > 0 THEN SELL AT NewLongSL STOP ENDIF   // Conditions To Enter and Exit Short IF expansion AND bear AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET EntryPriceShort = close MyShortSL    = close * 0.02 ENDIF   SET Stop Loss MyShortSL IF close < (EntryPriceShort * 0.99) THEN NewShortSL = min(NewShortSL,min(EntryPriceShort, highest[5](high))) ENDIF   IF NewShortSL > 0 THEN EXITSHORT AT NewShortSL STOP ENDIF

  Do you have any ideas about what the issue could be?

  

  pascaltmn

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  03/06/2020 at 7:10 PM #121402
  robertogozzi

  1. line  18 must be moved just before line 16, otherwise it will ALWAYS be overridden by line 34

  2. line 34 must be moved just before line 32, otherwise il will ALWAYS override line 18

   

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  robertogozzi

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  03/06/2020 at 9:30 PM #121414
  pascaltmn

  Thank you, just made the above changes.

  However, unfortunately, the trailing stop for the short side is still not working.

  Here is the code with the changes you suggested:

  Updated long/short entry and exit rules

  // SL reset IF Not OnMarket THEN NewLongSL = 0 ENDIF IF Not OnMarket THEN NewShortSL = 0 ENDIF // Conditions To Enter and Exit Long IF expansion AND bull AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET EntryPriceLong = close MyLongSL = close * 0.02 SET Stop Loss MyLongSL ENDIF IF close > (EntryPriceLong * 1.01) THEN NewLongSL = max(NewLongSL,max(EntryPriceLong, lowest[5](low))) ENDIF IF NewLongSL > 0 THEN SELL AT NewLongSL STOP ENDIF // Conditions To Enter and Exit Short IF expansion AND bear AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET EntryPriceShort = close MyShortSL = close * 0.02 SET Stop Loss MyShortSL ENDIF IF close < (EntryPriceShort * 0.99) THEN NewShortSL = min(NewShortSL,min(EntryPriceShort, highest[5](high))) ENDIF IF NewShortSL > 0 THEN EXITSHORT AT NewShortSL 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

  // SL reset   IF Not OnMarket THEN NewLongSL = 0 ENDIF   IF Not OnMarket THEN NewShortSL = 0 ENDIF   // Conditions To Enter and Exit Long IF expansion AND bull AND Not OnMarket THEN BUY 1 CONTRACT AT MARKET EntryPriceLong = close MyLongSL       = close * 0.02 SET Stop Loss MyLongSL ENDIF   IF close > (EntryPriceLong * 1.01) THEN NewLongSL = max(NewLongSL,max(EntryPriceLong, lowest[5](low))) ENDIF   IF NewLongSL > 0 THEN SELL AT NewLongSL STOP ENDIF   // Conditions To Enter and Exit Short IF expansion AND bear AND Not OnMarket THEN SELLSHORT 1 CONTRACT AT MARKET EntryPriceShort = close MyShortSL    = close * 0.02 SET Stop Loss MyShortSL ENDIF   IF close < (EntryPriceShort * 0.99) THEN NewShortSL = min(NewShortSL,min(EntryPriceShort, highest[5](high))) ENDIF   IF NewShortSL > 0 THEN EXITSHORT AT NewShortSL STOP ENDIF

  Is there anything else that I am missing?

  

  pascaltmn

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  03/06/2020 at 9:56 PM #121415
  robertogozzi

  Try replacing line 19 and 35 with:

  IF close > (EntryPriceLong * 1.01) and LongOnMarket THEN IF close < (EntryPriceShort * 0.99) and ShortOnMarket THEN

  1 2	IF close > (EntryPriceLong * 1.01) and LongOnMarket THEN IF close < (EntryPriceShort * 0.99) and ShortOnMarket THEN

  

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  03/07/2020 at 7:17 AM #121426
  pascaltmn

  Made the addition. Still not working, unfortunately.

  

  pascaltmn

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  03/07/2020 at 10:36 AM #121430
  robertogozzi

  The error concerns trailing SHORT stop loss is in line 8, which should be a high number when reset:

  NewShortSL = 999999

  1	NewShortSL = 999999

  if it’s zero, then there will never be a price less than that (line 36).

  You can add these lines (less, or more, according to your needs) to spot errors by monitoring values candle by candle (see pic):

  graphonprice TradePrice - MyLongSL coloured(0,255,0,255) AS "SL long" graphonprice TradePrice + MyShortSL coloured(255,0,0,255) AS "SL short" graphonprice NewShortSL coloured(0,0,0,255) AS "Short TS" graphonprice NewLongSL coloured(0,0,0,64) AS "Long TS" graphonprice EntryPriceShort * 0.99 coloured(255,0,0,64) AS "Start TS Short" graphonprice EntryPriceLong * 1.01 coloured(0,255,0,64) AS "Start TS Long"

  1 2 3 4 5 6

  graphonprice TradePrice - MyLongSL  coloured(0,255,0,255) AS "SL long" graphonprice TradePrice + MyShortSL coloured(255,0,0,255) AS "SL short" graphonprice NewShortSL             coloured(0,0,0,255)   AS "Short TS" graphonprice NewLongSL              coloured(0,0,0,64)    AS "Long  TS" graphonprice EntryPriceShort * 0.99 coloured(255,0,0,64)  AS "Start TS Short" graphonprice EntryPriceLong  * 1.01 coloured(0,255,0,64)  AS "Start TS Long"

   

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  robertogozzi

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  03/07/2020 at 2:19 PM #121437
  pascaltmn

  That worked! Thank you so much, Roberto!!!

  

  pascaltmn

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