Trailing stop fails to move

• 10/28/2020 at 2:46 PM #148790
  nonetheless

  Actually I’ve got another problem with that TS (as posted above). It moves to breakeven then stops, doesn’t trail with the price movement. Obviously it’s working correctly in backtest, but in live trading it gets stuck. Have you seen this as well?

  

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  10/28/2020 at 3:25 PM #148793
  Paul

  no not yet, it never stops 😉 Your dj 5m mod v5 stopped suddenly with a strange message but I think unrelated to this.

  On the 10s frame I use 2 trailingstops in demo and they seem to work alright, but because of using 2 I don’t know which was triggered. I will check.

  Can you provide a pic?

  

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  10/28/2020 at 3:30 PM #148795
  Paul

  those exits were because the atr trialingstop. I will run it without.

  

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  10/28/2020 at 3:41 PM #148796
  nonetheless

  I haven’t got a pic, when I realised it was stuck I closed the position manually. That was with NAS 5m Mod v4S

  

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  10/28/2020 at 3:57 PM #148798
  Paul

  Interested in testing your mod with the atr trailingstop instead to see if it behaves the same live?

  I updated that one, and the breakeven too, both to use cumulative positions, it’s included in de maex strategy

  

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  10/28/2020 at 6:22 PM #148806
  nonetheless

  yeah, I’ll def check it out when I get a minute, it’s either that or go back to the old %TS I had been using. It’s a bit basic but does the job. The big advantage to yours is the separate values for long/short, so maybe I can build that in to the other one (of Nicolas)

  

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  10/28/2020 at 6:37 PM #148809
  Paul

  Thought of another way if you take that trailingstop (it’s all based on the original)

  Duplicate the code and make sure both not overlap each other.

  1st one for long and remove all short code, and the second one for short with all long removed.

  Should be the same effect (besides the accelerator and sensitivity) but still the advantage for separate values.

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  josef1604

  

  Paul

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  10/28/2020 at 6:52 PM #148811
  nonetheless

  My thoughts exactly. Does this look right to you? Seems to test ok

  //%trailing stop function trailingpercentlong = tst // % trailingpercentshort = tss // % stepPercentlong = st stepPercentshort = st2 if onmarket then trailingstartlong = tradeprice(1)*(trailingpercentlong/100) //trailing will start @trailingstart points profit trailingstartshort = tradeprice(1)*(trailingpercentshort/100) //trailing will start @trailingstart points profit trailingsteplong = tradeprice(1)*(stepPercentlong/100) //% step to move the stoploss trailingstepshort = tradeprice(1)*(stepPercentshort/100) //% step to move the stoploss endif //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)>=trailingstartlong THEN newSL = tradeprice(1)+trailingsteplong ENDIF //next moves IF newSL>0 AND close-newSL>trailingsteplong THEN newSL = newSL+trailingsteplong ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstartshort THEN newSL = tradeprice(1)-trailingstepshort ENDIF //next moves IF newSL>0 AND newSL-close>trailingstepshort THEN newSL = newSL-trailingstepshort ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  //%trailing stop function trailingpercentlong  = tst // % trailingpercentshort = tss // % stepPercentlong = st stepPercentshort = st2 if onmarket then trailingstartlong = tradeprice(1)*(trailingpercentlong/100) //trailing will start @trailingstart points profit trailingstartshort = tradeprice(1)*(trailingpercentshort/100) //trailing will start @trailingstart points profit trailingsteplong = tradeprice(1)*(stepPercentlong/100) //% step to move the stoploss trailingstepshort = tradeprice(1)*(stepPercentshort/100) //% step to move the stoploss endif   //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)>=trailingstartlong THEN newSL = tradeprice(1)+trailingsteplong ENDIF //next moves IF newSL>0 AND close-newSL>trailingsteplong THEN newSL = newSL+trailingsteplong ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstartshort THEN newSL = tradeprice(1)-trailingstepshort ENDIF //next moves IF newSL>0 AND newSL-close>trailingstepshort THEN newSL = newSL-trailingstepshort ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  Not sure about tradeprice(1), whereas you have positionprice. I know the difference, it’s more the (1) I’m unsure of

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  10/28/2020 at 7:03 PM #148814
  Paul

  looks good. Tradeprice as written is correct.  Only the reset is off when reversing a position, but most of the time the difference is smal to nothing.

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  josef1604, nonetheless

  

  Paul

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  10/28/2020 at 7:26 PM #148821
  nonetheless

  Thanks Paul. I added

  sensitivity = (low+high+close)/3

  1	sensitivity = (low+high+close)/3

  instead of close and the performance is back to where it was using your TS – at least in backtest it is. Let’s see how it runs live.

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  11/11/2020 at 6:31 PM #150172
  nonetheless

  Hi @Paul, I’ve got more problems with this cumulative orders TS. This is the code I’m using:

  // %trailing stop function incl. cumulative positions once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong = 0.26 // % trailingpercentshort = 0.26 // % once acceleratorlong = 0.003 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= 0.023 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity = 4 // [1] default [2] hl [3] lh [4] typicalprice (not use once) //==================== once steppercentlong = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif

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  // %trailing stop function incl. cumulative positions   once trailingstoptype = 1 if trailingstoptype then //==================== trailingpercentlong  = 0.26 // % trailingpercentshort = 0.26 // % once acceleratorlong = 0.003 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= 0.023 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity  = 4 // [1] default [2] hl [3] lh [4] typicalprice (not use once) //==================== once steppercentlong  = (trailingpercentlong/10)*acceleratorlong once steppercentshort = (trailingpercentshort/10)*acceleratorshort if onmarket then trailingstartlong = positionprice*(trailingpercentlong/100) trailingstartshort = positionprice*(trailingpercentshort/100) trailingsteplong = positionprice*(steppercentlong/100) trailingstepshort = positionprice*(steppercentshort/100) endif if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then newsl           = 0 mypositionprice = 0 endif positioncount = abs(countofposition) if newsl > 0 then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) else newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif if ts2sensitivity=1 then ts2sensitivitylong=close ts2sensitivityshort=close elsif ts2sensitivity=2 then ts2sensitivitylong=high ts2sensitivityshort=low elsif ts2sensitivity=3 then ts2sensitivitylong=low ts2sensitivityshort=high elsif ts2sensitivity=4 then ts2sensitivitylong=(typicalprice) ts2sensitivityshort=(typicalprice) endif if longonmarket then if newsl=0 and ts2sensitivitylong-positionprice>=trailingstartlong*pipsize then newsl = positionprice+trailingsteplong*pipsize endif if newsl>0 and ts2sensitivitylong-newsl>=trailingsteplong*pipsize then newsl = newsl+trailingsteplong*pipsize endif endif if shortonmarket then if newsl=0 and positionprice-ts2sensitivityshort>=trailingstartshort*pipsize then newsl = positionprice-trailingstepshort*pipsize endif if newsl>0 and newsl-ts2sensitivityshort>=trailingstepshort*pipsize then newsl = newsl-trailingstepshort*pipsize endif endif if barindex-tradeindex>1 then if longonmarket then if newsl>0 then sell at newsl stop endif if newsl>0 then if low crosses under newsl then sell at market endif endif endif if shortonmarket then if newsl>0 then exitshort at newsl stop endif if newsl>0 then if high crosses over newsl then exitshort at market endif endif endif endif mypositionprice = positionprice endif

  It goes to breakeven exactly as expected but then stops, doesn’t trail. In the attached image, the breakeven was at the circled candle. 6 candles later the stop is still at 11835.2. the step is .003% so it should move .35 per candle = 11837. Any thoughts on this?

  

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  11/11/2020 at 6:57 PM #150176
  nonetheless

  Ok, never mind – I just realized that acceleratorlong = .003 does not mean .003%

  I forgot because the other TS I use has a straight % value for trailingstep

  This one does trail but sooooo slowly – effectively just holds the position open with the hope of getting to the target. With a setting of .003 I might as well just use the breakeven code.

  

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  11/11/2020 at 7:29 PM #150180
  Paul

  Hi Nonetheless good you found the reason.

  I might still mention a few things.

  Probably it misses *pointsize at the end, this is the part I changed

  trailingstartlong = (tradeprice(countpos)*(trailingpercentlong/100))*pointsize trailingstartshort = (tradeprice(countpos)*(trailingpercentshort/100))*pointsize trailingsteplong = (tradeprice(countpos)*(steppercentlong/10000))*pointsize trailingstepshort = (tradeprice(countpos)*(steppercentshort/10000))*pointsize

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  trailingstartlong = (tradeprice(countpos)*(trailingpercentlong/100))*pointsize trailingstartshort = (tradeprice(countpos)*(trailingpercentshort/100))*pointsize trailingsteplong = (tradeprice(countpos)*(steppercentlong/10000))*pointsize trailingstepshort = (tradeprice(countpos)*(steppercentshort/10000))*pointsize

  I also changed /100 to /10000 so steps are better manageable.  Doesn’t change results, but the *pointsize might give different results on i.e 1 euro or 2 dollar DJ charts. (the countpos needs to be changed).

  In the past I noticed that using if newsl>0 without defining longonmarket or shortonmarket sometimes, but not always, gave  a few strange results, that why I at the end of the code had it specified.

  Anyway for this part you could test 2 variations. Should have the same results.

  if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif

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  if (shortonmarket and newsl > 0) or (longonmarket and newsl>0) then if positioncount > positioncount[1] then if longonmarket then newsl = max(newsl,positionprice * newsl / mypositionprice) endif if shortonmarket then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif endif

  or

  positioncount = abs(countofposition) if longonmarket and newsl > 0 then if positioncount > positioncount[1] then newsl = max(newsl,positionprice * newsl / mypositionprice) endif endif if shortonmarket and newsl > 0 then if positioncount > positioncount[1] then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif

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  positioncount = abs(countofposition)   if longonmarket and newsl > 0 then if positioncount > positioncount[1] then newsl = max(newsl,positionprice * newsl / mypositionprice) endif endif   if shortonmarket and newsl > 0 then if positioncount > positioncount[1] then newsl = min(newsl,positionprice * newsl / mypositionprice) endif endif

  Maybe you can keep above as backup if you still find strange things trading live.

   

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  nonetheless

  

  Paul

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  11/11/2020 at 8:32 PM #150189
  nonetheless

  That’s great, I’ll try both those options – thanks again!

  

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  09/17/2021 at 6:04 PM #177823
  murre87

  Do we have a final version of this.

  Add to the snippet library?

  

  murre87

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