Trailing stop non funziona

• 08/29/2023 at 10:12 AM #219988
  Stanko

  Buongiorno a tutti, ho postato da poco un sistema sul CAC40 (https://www.prorealcode.com/prorealtime-trading-strategies/box-7-oclock-cac40-intraday/) e mi è stato evidenziato da un membro della community che il trailing stop non funziona.

  Chiedo cortesemente se potete aiutarmi nel correggere il problema:

  in pratica la posizione, se in profitto, dovrebbe aggiornarsi ogni 10 pips per poi incrementare ogni 6 pips, ma questo non avviene mai.

  Allego codice versione Long:

  BOX ore 7 Long

  DEFPARAM CumulateOrders = False DEFPARAM FLATAFTER = 220000 Timeframe (1 Hour, Updateonclose) //Once $MAXI[0] = High //Once $mini[0] = Low Once COMPRA = High //Timeframe (1 Hour, Updateonclose) Timeframe (1 Hour, Updateonclose) IF Time = 080000 AND not OnMarket THEN COMPRA = Highest[7](high[1]) + 5*pipsize BUY 1 CONTRACT AT COMPRA STOP ENDIF //ENDIF Timeframe (30 minutes, Updateonclose) SET STOP pLOSS 70 ////////////////////////////////////////////////////////////////////////////////////////////////////////// // Trailing Stop //------------------------------------------------------------------------------------ IF Not OnMarket THEN TrailStart = 10 //10 Start trailing profits from this point BasePerCent = 0.100 //10.0% Profit to keep StepSize = 6 //6 Pips chunks to increase Percentage PerCentInc = 0.100 //10.0% PerCent increment after each StepSize chunk RoundTO = -0.5 //-0.5 rounds to Lower integer, +0.4 rounds to Higher integer PriceDistance = 7 * pipsize//8.9 minimun distance from current price y1 = 0 y2 = 0 ProfitPerCent = BasePerCent ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize //convert price to pips IF x1 >= TrailStart THEN //go ahead only if N+ pips Diff1 = abs(TrailStart - x1) Chunks1 = max(0,round((Diff1 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y1 = max(x1 * ProfitPerCent, y1) //y = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT x2 = (tradeprice - close) / pipsize //convert price to pips IF x2 >= TrailStart THEN //go ahead only if N+ pips Diff2 = abs(TrailStart - x2) Chunks2 = max(0,round((Diff2 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y2 = max(x2 * ProfitPerCent, y2) //y = % of max profit ENDIF ENDIF IF y1 THEN //Place pending STOP order when y>0 SellPrice = Tradeprice + (y1 * pipsize) //convert pips to price IF abs(close - SellPrice) > PriceDistance THEN IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE SELL AT Market ENDIF ENDIF IF y2 THEN //Place pending STOP order when y>0 ExitPrice = Tradeprice - (y2 * pipsize) //convert pips to price IF abs(close - ExitPrice) > PriceDistance THEN IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE EXITSHORT AT Market ENDIF ENDIF SET STOP pLOSS 70

  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 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76

  DEFPARAM CumulateOrders = False DEFPARAM FLATAFTER = 220000 Timeframe (1 Hour, Updateonclose) //Once $MAXI[0] = High //Once $mini[0] = Low Once COMPRA = High   //Timeframe (1 Hour, Updateonclose)   Timeframe (1 Hour, Updateonclose) IF Time = 080000 AND not OnMarket THEN COMPRA = Highest[7](high[1]) + 5*pipsize BUY 1 CONTRACT AT COMPRA STOP ENDIF //ENDIF     Timeframe (30 minutes, Updateonclose) SET STOP pLOSS 70 ////////////////////////////////////////////////////////////////////////////////////////////////////////// //                                Trailing Stop //------------------------------------------------------------------------------------ IF Not OnMarket THEN TrailStart    = 10          //10     Start trailing profits from this point BasePerCent   = 0.100       //10.0%  Profit to keep StepSize      = 6           //6      Pips chunks to increase Percentage PerCentInc    = 0.100       //10.0%  PerCent increment after each StepSize chunk RoundTO       = -0.5        //-0.5   rounds to Lower integer,  +0.4 rounds to Higher integer PriceDistance = 7 * pipsize//8.9    minimun distance from current price y1            = 0 y2            = 0 ProfitPerCent = BasePerCent ELSIF LongOnMarket AND close > (TradePrice + (y1 * pipsize)) THEN //LONG x1 = (close - tradeprice) / pipsize                            //convert price to pips IF x1 >= TrailStart THEN                                       //go ahead only if N+ pips Diff1         = abs(TrailStart - x1) Chunks1       = max(0,round((Diff1 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks1 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y1 = max(x1 * ProfitPerCent, y1)                            //y = % of max profit ENDIF ELSIF ShortOnMarket AND close < (TradePrice - (y2 * pipsize)) THEN//SHORT x2 = (tradeprice - close) / pipsize                            //convert price to pips IF x2 >= TrailStart THEN                                       //go ahead only if N+ pips Diff2         = abs(TrailStart - x2) Chunks2       = max(0,round((Diff2 / StepSize) + RoundTO)) ProfitPerCent = BasePerCent + (BasePerCent * (Chunks2 * PerCentInc)) ProfitPerCent = max(ProfitPerCent[1],min(100,ProfitPerCent)) y2 = max(x2 * ProfitPerCent, y2)                           //y = % of max profit ENDIF ENDIF IF y1 THEN                                        //Place pending STOP order when y>0 SellPrice = Tradeprice + (y1 * pipsize)        //convert pips to price IF abs(close - SellPrice) > PriceDistance THEN IF close >= SellPrice THEN SELL AT SellPrice STOP ELSE SELL AT SellPrice LIMIT ENDIF ELSE SELL AT Market ENDIF ENDIF IF y2 THEN                                        //Place pending STOP order when y>0 ExitPrice = Tradeprice - (y2 * pipsize)        //convert pips to price IF abs(close - ExitPrice) > PriceDistance THEN IF close <= ExitPrice THEN EXITSHORT AT ExitPrice STOP ELSE EXITSHORT AT ExitPrice LIMIT ENDIF ELSE EXITSHORT AT Market ENDIF ENDIF SET STOP pLOSS 70

  Grazie e buona giornata.

   

  

  Stanko

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  08/30/2023 at 10:32 AM #220051
  robertogozzi

  Che cosa non funziona?

   

  

  robertogozzi

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  08/30/2023 at 3:50 PM #220066
  Stanko

  Da prove in demo il codice non aggiorna mai la posizione anche quando il profitto supera abbondantemente i 10 pips (target minimo di “azionamento” del trailing stop) e non è una questione di timeframe (in questo esempio 30 minuti).

  Il codice di trailing l’ho copiato dal forum ma probabilmente l’ho modificato erroneamente: forse tu riesci a vedere subito un eventuale errore.

  Le righe dalla nr. 23 alla nr. 31 probabilmente sono quelle da valutare.

  Grazie

  

  Stanko

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  08/30/2023 at 4:52 PM #220079
  robertogozzi

  E’ solo un problema di parametri, sono troppo stretti per funzionare, per le righe 24-26 usa questi:

  TrailStart = 30 //10 Start trailing profits from this point BasePerCent = 0.100 //10.0% Profit to keep StepSize = 10 //6 Pips chunks to increase Percentage

  1 2 3

  TrailStart    = 30          //10     Start trailing profits from this point BasePerCent   = 0.100       //10.0%  Profit to keep StepSize      = 10           //6      Pips chunks to increase Percentage

  Lo stop loss indicalo solo una volta, alla riga 19, con questo valore:

  SET STOP pLOSS 270

  1	SET STOP pLOSS 270

  infine aggiungi queste quattro righe alla fine del codice, in modo da vedere i prezzi ed il profitto/perdita in corso, candela per candela:

  graphonprice TradePrice AS "Entrata" graphonprice SellPrice coloured("Green") AS "Trailing Stop LONG" graphonprice ExitPrice coloured("Red") AS "Trailing Stop SHORT" graph PositionPerf * TradePrice / PipSize AS "Pips di guadagno/perdita"

  1 2 3 4

  graphonprice TradePrice                   AS "Entrata" graphonprice SellPrice  coloured("Green") AS "Trailing Stop LONG" graphonprice ExitPrice  coloured("Red")   AS "Trailing Stop SHORT" graph PositionPerf * TradePrice / PipSize AS "Pips di guadagno/perdita"

  In realtà funziona anche con i tuoi parametri originali, ma esce quasi sempre subito, perché appena arriva a 10, ne mette in salvo 6 e basta che ritracci 4 pip che esce!

   

   

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  Stanko

  

  robertogozzi

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  08/30/2023 at 5:22 PM #220083
  Stanko

  Molte grazie Roberto.

  Ciao.

   

  

  Stanko

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