trailing stop not working as expected

• 07/20/2021 at 9:26 AM #173848
  nonetheless

  The attached shows a position I have open at the moment on a 1 hour TF.

  Opened at 8:00 15209 with the trail to start after a high of 0.56% (15294.8)

  In the first bar it hits a high of 15301 and at the start of the 9:00 bar it should have moved to breakeven … but it didn’t.

  This is the trail that I’m using (courtesy of Paul):

  once trailingstoptype1= 1 if trailingstoptype1 then //==================== trailingpercentlong = 0.56 // % trailingpercentshort = 0.49 // % once acceleratorlong = 0.08 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= 0.09 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 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

  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 77 78 79 80 81 82 83 84 85 86

  once trailingstoptype1= 1 if trailingstoptype1 then //==================== trailingpercentlong  = 0.56 // % trailingpercentshort = 0.49 // % once acceleratorlong = 0.08 // [1] default; always > 0 (i.e. 0.5-3) once acceleratorshort= 0.09 // 1 = default; always > 0 (i.e. 0.5-3) ts2sensitivity  = 2 // 1 = close 2 = High/Low 3 = Low/High 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

  Any thoughts on this?

  

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  07/20/2021 at 10:06 AM #173853
  robertogozzi

  Because in lines 13, 48 and 51 (the same for the Short direction) you are using a reference to a price (trailingstartlong), but in lines 48 and 51 you added *PIPSIZE, which is not correct, both are prices so no conversion is needed.

  Simply remove it.

   

   

  

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  07/20/2021 at 10:14 AM #173857
  nonetheless

  Thanks Roberto, i’ll try that 👍👍👍

  

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  07/20/2021 at 10:21 AM #173858
  nonetheless

  Just to clarify, I should remove *pipsize from this entire section (8 occurrences) ?

  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

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

  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

   

  

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  07/20/2021 at 10:34 AM #173859
  robertogozzi

  Yes, since at the beginning all started with a PRICE, not PIPS.

   

  

  robertogozzi

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  07/20/2021 at 10:36 AM #173860
  robertogozzi

  You can use GRAPH to monitor newsl, trailingstartlong, etc…

  Actually NEWSL can be better monitored with GRAPHONPRICE.

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  robertogozzi

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  07/20/2021 at 10:45 AM #173861
  nonetheless

  Ok, what about this one, should i remove *pointsize at lines 78, 80, 82 and 88, 90, 92 ?

  once trailingstopATR = 0 if trailingstopATR = 1 then //==================== once tsincrements = 0 // set to 0 to ignore tsincrements once tsminatrdist = 0 once tsatrperiod = 14 // ts atr parameter once tsminstop = 5 // ts minimum stop distance tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== if barindex=tradeindex then trailingstoplong = 6 // ts atr distance trailingstopshort = 6 // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl*pointsize then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs*pointsize then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice 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 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117

  once trailingstopATR  = 0 if trailingstopATR = 1 then //==================== once tsincrements = 0 // set to 0 to ignore tsincrements once tsminatrdist = 0   once tsatrperiod    = 14 // ts atr parameter once tsminstop      = 5 // ts minimum stop distance   tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== if barindex=tradeindex then trailingstoplong     = 6 // ts atr distance trailingstopshort    = 6 // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl*pointsize then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl*pointsize else tsnewsl=tsmaxprice-tsminstop*pointsize endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs*pointsize then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs*pointsize else tsnewsl=tsminprice+tsminstop*pointsize endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice endif

  

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  07/20/2021 at 11:14 AM #173862
  robertogozzi

  Yes, because tsatr is a price (range) as well as all the other variables.

  The code is based on PRICE, not on PIPS, so all that refers to pips is incorrect.

  Lines 13 and 14 are a bit subtle, they are set as prices (as from their comments), but that is fine for indices where the price-to-pips ratio is 1:1 (Dax, SP, ….) but when used with FX pirs it wouldn’t be correct. In This case you should multiply 6 by PIPSIZE to make sure the numeric constant is converted to a price (divide by PIPSIZE, or POINTSIZE, the other way round that is when converting a price to pips, instead).

   

   

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  nonetheless

  

  robertogozzi

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  07/20/2021 at 11:26 AM #173863
  nonetheless

  Thanks loads Roberto, I think that explains a lot of odd behaviour. I never trade Forex so I’ll leave lines 13, 14 as they are.

  😎

  

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  07/20/2021 at 12:51 PM #173870
  robertogozzi

  Actually if you’re using it with Dax, PIPSIZE should make no difference.

  I need to test it more, to monitor HIGH and LOW more in depth.

   

   

  

  robertogozzi

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  07/20/2021 at 3:29 PM #173882
  robertogozzi

  I think it’s because it takes one candle for any system status constant to be updated, so the HIGH at 08:00 could not be detected, while the high at 09:00 was.

  From your pic I cannot see any detail and I could not replicate your trades, but I think this can be the sole reason.

  I suggest that you add these lines to your code, to better debug it:

  graph steppercentlong GraphOnPrice trailingstartlong + positionprice coloured(255,0,0,255) GraphOnPrice trailingstartlong + positionprice coloured(255,0,0,255) GraphOnPrice NewSL coloured(0,128,0,140)

  1 2 3 4

  graph        steppercentlong GraphOnPrice trailingstartlong + positionprice coloured(255,0,0,255) GraphOnPrice trailingstartlong + positionprice coloured(255,0,0,255) GraphOnPrice NewSL                             coloured(0,128,0,140)

  

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  07/20/2021 at 4:02 PM #173888
  nonetheless

  The high of 15301.5 was hit at 08:14 (having opened at 08:00).

  Running a backtest (having removed *pipsize) shows a loss for that trade, but it has the entry at 15215.7

  The graph shows “trailingstartlong + positionprice = 15300.9” which would be correct (15215.7 + .56%) and allowing for spread, the high of 15301.5 doesn’t clear it.

  But that doesn’t explain why my live trade (actually 15209.6) failed to breakeven after a high of 15294.7

  With or without *pipsize seems to make no difference to backtests.

  

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  07/20/2021 at 6:10 PM #173906
  robertogozzi

  I could only guess, as I could not replicate your trades without the code.

   

  

  robertogozzi

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  07/20/2021 at 7:26 PM #173918
  nonetheless

  Non fa niente, I’ve decided not to continue with that algo anyway. The other places I’m using it seem to work fine – all shorter TFs, 2m, 5m etc, so may be just a blip with the 1 hour TF.

  Maybe by the time it got to the next candle it had ‘forgotten’ that the high had been reached 😁

  

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  07/20/2021 at 7:50 PM #173920
  Franro

  Actually this happend to me with the same trail code. I got the same algo on different accounts and the trailing did move on one account but not the other. The price went the profitable way and it still did not move. Then the position got held over the weekend and when markets  reopened on monday the algo updated its stop on both accounts. I dont think there was a visual bug (never happend before atleast?). It was with the *pointsize trailing.

  This has happend 2 times before (this time explained here and one more time). So if I remove *pointsize the issue should be solved?

  

  Franro

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