Trailing stop loss that advances when a new swing high or low are made

• 08/10/2019 at 4:42 PM #104533
  Thally

  Hi all,

  another post from me. Thanks for all the help thus far, really appreciate it while I’m learning. Hope to be able to give back in due course.

  I am trying to code a trailing stop loss that places stops above recent swing highs (shoreside) and swing lows (longside). I have utilised some code I found that calculates recent fractals. It works ok but there is on key missing ingredient that I am not sure how to code.

  If we are following the trend then we should only move the stop up/down when a previous swing point is closed through, at which point the trailing stop would move to the closes swing high or low.

  Right now using the below code the trailing stop will simply move to the next identified fractal regardless of whether price has moved in our direction and closed above (uptrend) or below (downtrend) the current swing high/low. I only want the trailing stop to advance when price closes through the current swing high/low in our direction.

  Does that make sense? This is what I typically do manually when trend following intraday and works a treat. Would be awesome to automate it. Here’s the trailing stop code I currently have which is adapted from a few other sources.

  Any help gratefully received
  Roj

  // calculate swing points PivotBAR = 2 LookBack = 4 // Swing low BarLookBack = PivotBAR + 1 IF low[PivotBAR] < lowest[LookBack](low)[BarLookBack] THEN IF low[PivotBAR] = lowest[BarLookBack](low) THEN SupportPrice = low[PivotBAR] ENDIF ENDIF // Swing high IF high[PivotBAR] > highest[LookBack](high)[BarLookBack] THEN IF high[PivotBAR] = highest[BarLookBack](high) THEN ResistancePrice = high[PivotBAR]//high[BarIndex - MyResistance] ENDIF ENDIF // Parameters for determining when BE stop kicks in TrailingStart = 1*AverageTrueRange[10] * pipsize //trailing will start @trailinstart points profit TrailingStep = 0 * pipsize // Longside IF LONGONMARKET THEN // move to breakeven IF newSL = 0 AND CLOSE - TRADEPRICE(1) >= TrailingStart THEN newSL = TRADEPRICE(1) + TrailingStep ENDIF // next moves IF newSL > 0 AND close > ResistancePrice AND SupportPrice > newSL THEN newSL = SupportPrice[1] ENDIF ENDIF //Shortside IF SHORTONMARKET THEN // move to breakeven IF newSL = 0 AND TRADEPRICE(1) - CLOSE >= TrailingStart THEN newSL = TRADEPRICE(1) - TrailingStep ENDIF // next moves IF newSL > 0 AND close < SupportPrice AND ResistancePrice < newSL THEN newSL = ResistancePrice[1] 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 41 42 43 44 45 46 47 48 49 50 51 52

  // calculate swing points PivotBAR     = 2 LookBack     = 4   // Swing low BarLookBack  = PivotBAR + 1 IF low[PivotBAR] < lowest[LookBack](low)[BarLookBack] THEN IF low[PivotBAR] = lowest[BarLookBack](low) THEN SupportPrice  = low[PivotBAR] ENDIF ENDIF   // Swing high IF high[PivotBAR] > highest[LookBack](high)[BarLookBack] THEN IF high[PivotBAR]  = highest[BarLookBack](high) THEN ResistancePrice = high[PivotBAR]//high[BarIndex - MyResistance] ENDIF ENDIF   // Parameters for determining when BE stop kicks in TrailingStart = 1*AverageTrueRange[10] * pipsize //trailing will start @trailinstart points profit TrailingStep = 0 * pipsize   // Longside IF LONGONMARKET THEN // move to breakeven IF newSL = 0 AND CLOSE - TRADEPRICE(1) >= TrailingStart THEN newSL = TRADEPRICE(1) + TrailingStep ENDIF // next moves IF newSL > 0 AND close > ResistancePrice AND SupportPrice > newSL  THEN newSL = SupportPrice[1] ENDIF ENDIF //Shortside IF SHORTONMARKET THEN // move to breakeven IF newSL = 0 AND TRADEPRICE(1) - CLOSE >= TrailingStart THEN newSL = TRADEPRICE(1) - TrailingStep ENDIF // next moves IF newSL > 0 AND close < SupportPrice AND ResistancePrice < newSL THEN newSL = ResistancePrice[1] ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

  

  Thally

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  12/18/2020 at 3:41 PM #154307
  ligand

  Hi,

  have you been able to solve your problem? Im looking for exactly the same solution, but I am far less gifted regarding programming than you. Would be very thankful if you could show the complete code, if you have one.

  Greetings from the alps!

  

  ligand

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  12/18/2020 at 4:03 PM #154312
  robertogozzi

  Line 32 should read:

  newSL = max(newSL,SupportPrice[1])

  1	newSL = max(newSL,SupportPrice[1])

  and line 44 should read:

  newSL = min(newSL,ResistancePrice[1])

  1	newSL = min(newSL,ResistancePrice[1])

   

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  ligand

  

  robertogozzi

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  12/19/2020 at 11:48 AM #154407
  ligand

  Thank you very much!!!

   

  

  ligand

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  12/19/2020 at 6:34 PM #154445
  ligand

  Can I please ask another question which I can’t find the answer to, but I think is simple.

  I have programmed a screener and manually select the instruments it suggests. Then I start the trade with a stop below the last swing extreme.

  Afterwards the program should kick in to draw the stop automatically.

  But an automatic trading system says it needs a buy and sell order. How can I make the algorithm work on an already existing trade?

  I think if I try to make an indicator and link the stop-sell (or -buy) order to it, then this will be only pssible intra-day. But my trades normally last longer.

  I’d be very thankful for a hint, how to solve this problem.

  

  ligand

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  12/19/2020 at 7:00 PM #154449
  ligand

  Perhaps it would work if the last lines are changed from:

  IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

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  IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF

   

  to

  IF newSL > 0 THEN SELLSHORT AT newSL STOP BUY AT newSL STOP ENDIF

  1 2 3 4

  IF newSL > 0 THEN SELLSHORT AT newSL STOP BUY AT newSL STOP ENDIF

   

  ?

  MODERATORS EDIT: Your post has been edited. please use the ‘Insert PRT Code’ button when putting code in your posts.

  

  ligand

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  12/19/2020 at 7:25 PM #154454
  robertogozzi

  Your solution would do a Stop & Reverse OR accumulate positions.

  Manual and Automatic trading cannot be combined.

  You can only alter trades opened automatically, though this will shut your strategy.

   

   

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  ligand

  

  robertogozzi

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  12/19/2020 at 9:14 PM #154474
  ligand

  Thanks again Roberto,

  and it wouldn’t be possible to construct an indicator based on the swing-extreme trailing stop (which would exceed my abilities) and then link this indicator to an alarm and this alarm to a sell trigger?

  

  ligand

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  12/19/2020 at 10:07 PM #154482
  robertogozzi

  Indicators can only return numeric values.

  Alerts can only be set manually according to what indicators return.

   

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  ligand

  

  robertogozzi

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  12/20/2020 at 9:57 AM #154535
  ligand

  Thanks again, Roberto. But I don’t really understand your sentence: Indicators can only return numeric values.

  Is it not the case, that this indicator would return numeric, albeit distinct stop-loss levels?

  I’m really thankful for your time and knowledge but I would really love to solve this problem As an amateur I would think that there has to be a way to automate this, since it doesn’t seem to be to complex. Do you please have any idea if I could ask somewhere or if there any other way?

  Sorry for bothering you, best regards, Michael

   

  

  ligand

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  12/20/2020 at 11:11 AM #154550
  robertogozzi

  I mean it cannot set nor trigger alerts.

   

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  ligand

  

  robertogozzi

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  12/20/2020 at 11:48 AM #154553
  GraHal

  Try what you want to do using the Alert Function with it’s integral Trade Open function.

  Try above using a stnadard Indcator … e.g Bollinger using the Close Crosses Over BollDown on the Alert Function.

  If above does what you want then you are half way there?

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  ligand

  

  GraHal

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  12/20/2020 at 6:27 PM #154622
  ligand

  Hello Grahal, thank you! I think your suggestion may be the same I mentioned above (to construct an indicator based on the swing-extreme trailing stop (which would exceed my abilities) and then link this indicator to an alarm and this alarm to a sell trigger)?

  If this works, the code has to be changed from trading advice to definition of a indicator and I must say that above my abilities. Could someone of you perhaps help – if this way makes sense?

  Another different solution might be to do it completely via an automated trading approach using a simple trade entry advice after the screener suggested a good candidate at bar “[1]”, i.g. for a long trade:

  defparam cumulateorder=false once nbbarlimit=1 if close>close[1] and close< close[1]+0.3*atr[10] then buy x shares at market endif

  1 2 3 4 5 6 7

  defparam cumulateorder=false   once nbbarlimit=1   if close>close[1] and close< close[1]+0.3*atr[10] then buy x shares at market endif

   

  

  ligand

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  12/20/2020 at 6:43 PM #154624
  Vonasi

  ligand  – Please always use the ‘Insert PRT Code’ button when putting code in your posts. I have edited your last post.

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  ligand

  

  Vonasi

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  12/22/2020 at 10:07 PM #154923
  ligand

  1. The code line starting with defparam gives an error , but why?

  2. Roberto, I thought you gave a hint to another error in the code from Thally besides “max(newSL,SupportPrice[1])”, but I can’t find it anymore. Did you erase this post?

  Thanks, Michael

  

  ligand

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