Trailing stops remaining static when there are multiple positions

• 05/09/2019 at 8:30 AM #98019
  Vonasi

  The question on maximum trailing stop reminds me that we really should add a minimum stop distance to that trailing stop code that I wrote just in case there is a big price move (big high or low) that then brings the stop level too close to the close price. This would prevent us sending orders to the market that get rejected and possibly leave us with no stop loss at all.

  

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  05/09/2019 at 9:00 AM #98031
  Vonasi

  I had a quick look at it and this should now prevent our stop loss getting too close. Not tested so if anyone can confirm it works as it should then please let me know.

  //Vonasi Trailing Stop v3 //20190509 sl = 144 //Stop loss distance slmove = 5 //Price move needed to move stop minstop = 10 //Minimum stop distance allowed sl = max(sl, minstop) if longonmarket and sladj then slprice = positionprice - sl sladj = 0 endif if shortonmarket and sladj then slprice = positionprice + sl sladj = 0 endif if not onmarket and (your long entry conditions) then buy 1 contract at market slprice = close - sl sell at slprice stop sladj = 1 endif if not onmarket and (your short entry conditions) then sellshort 1 contract at market slprice = close + sl exitshort at slprice stop sladj = 1 endif if longonmarket and high - sl > slprice + slmove then slprice = min(high - sl, close - minstop) endif if shortonmarket and low + sl < slprice - slmove then slprice = max(low + sl, close + minstop) endif sell at slprice stop exitshort at slprice stop

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  //Vonasi Trailing Stop v3 //20190509   sl = 144 //Stop loss distance slmove = 5 //Price move needed to move stop minstop = 10 //Minimum stop distance allowed   sl = max(sl, minstop)   if longonmarket and sladj then slprice = positionprice - sl sladj = 0 endif   if shortonmarket and sladj then slprice = positionprice + sl sladj = 0 endif   if not onmarket and (your long entry conditions) then buy 1 contract at market slprice = close - sl sell at slprice stop sladj = 1 endif   if not onmarket and (your short entry conditions) then sellshort 1 contract at market slprice = close + sl exitshort at slprice stop sladj = 1 endif   if longonmarket and high - sl > slprice + slmove then slprice = min(high - sl, close - minstop) endif   if shortonmarket and low + sl < slprice - slmove then slprice = max(low + sl, close + minstop) endif   sell at slprice stop exitshort at slprice stop

   

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  05/09/2019 at 9:10 AM #98034
  GraHal

  I’ve changed the link on here

  Snippet Link Library to the latest version immediately above.

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  05/09/2019 at 9:57 AM #98041
  Mike Boorman

  Vonasi wrote:

  I had a quick look at it and this should now prevent our stop loss getting too close. Not tested so if anyone can confirm it works as it should then please let me know.

  Thanks again for the code. I’ve found that the new version produces the right results in backtesting. I’ll let you know if it works in real time the next time I’m in a trading session.

   

  

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  05/09/2019 at 2:17 PM #98082
  Vonasi

  I spotted a error in my adjustment of the stop loss price relative to position price at the close of the first bar. I have edited the code for v3 in my previous post. If you are using it already then you might want to change to this new version or change lines 11 and 16 which are the ones I have edited.

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  05/09/2019 at 2:36 PM #98084
  Vonasi

  For fun (yes I know I’m sad) I decided to create a version that has a trailing take profit as well as a trailing stop loss. So as price moves against you your take profit expectations decrease. Not tested!

  sl = 20 //Stop loss distance slmove = 3 //Price move needed to move stop loss slminstop = 5 //Minimum stop loss distance allowed tp = 20 //Take profit distance tpmove = 3 //Price move needed to move take profit tpminstop = 5 //Minimum take profit distance allowed sl = max(sl, slminstop) tp = max(tp, tpminstop) if longonmarket and adj then slprice = positionprice - sl tpprice = positionprice + tp adj = 0 endif if shortonmarket and adj then slprice = positionprice + sl tpprice = positionprice - tp adj = 0 endif if not onmarket and (your long entry conditions) then buy 1 contract at market slprice = close - sl tpprice = close + tp adj = 1 endif if not onmarket and (your short entry conditions) then sellshort 1 contract at market slprice = close + sl tpprice = close - tp adj = 1 endif if longonmarket and high - sl > slprice + slmove then slprice = min(high - sl, close - slminstop) endif if longonmarket and low + tp < tpprice - tpmove then tpprice = max(low + tp, close + tpminstop) endif if shortonmarket and low + sl < slprice - slmove then slprice = max(low + sl, close + slminstop) endif if shortonmarket and high - tp > tpprice + tpmove then tpprice = min(high - tp, close - tpminstop) endif sell at slprice stop exitshort at slprice stop sell at tpprice limit exitshort at tpprice limit

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  sl = 20 //Stop loss distance slmove = 3 //Price move needed to move stop loss slminstop = 5 //Minimum stop loss distance allowed   tp = 20 //Take profit distance tpmove = 3 //Price move needed to move take profit tpminstop = 5 //Minimum take profit distance allowed   sl = max(sl, slminstop) tp = max(tp, tpminstop)   if longonmarket and adj then slprice = positionprice - sl tpprice = positionprice + tp adj = 0 endif   if shortonmarket and adj then slprice = positionprice + sl tpprice = positionprice - tp adj = 0 endif   if not onmarket and (your long entry conditions) then buy 1 contract at market slprice = close - sl tpprice = close + tp adj = 1 endif   if not onmarket and (your short entry conditions) then sellshort 1 contract at market slprice = close + sl tpprice = close - tp adj = 1 endif   if longonmarket and high - sl > slprice + slmove then slprice = min(high - sl, close - slminstop) endif   if longonmarket and low + tp < tpprice - tpmove then tpprice = max(low + tp, close + tpminstop) endif   if shortonmarket and low + sl < slprice - slmove then slprice = max(low + sl, close + slminstop) endif   if shortonmarket and high - tp > tpprice + tpmove then tpprice = min(high - tp, close - tpminstop) endif   sell at slprice stop exitshort at slprice stop sell at tpprice limit exitshort at tpprice limit

   

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  05/09/2019 at 6:11 PM #98102
  GraHal

  Great idea Vonasi – Big Thanks!

  Added to here

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  05/10/2019 at 4:04 AM #98116
  Paul

  Thanks Vonasi

  A question though;

  If a code takes reserve positions based on signal. How does your code handle that situation? (long goes straight short).

  In the closed positions list I got a number of trades with zero bars if I have no “not onmarket”.

  If I do as your example, with not onmarket, all is good. But doesn’t such code need to cover both  scenarios?

   

   

   

   

  

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  05/10/2019 at 7:01 AM #98117
  Vonasi

  Yes as the code is it does not allow for reversing of a position. If a trade is opened it is allowed to play out until either the stop loss or the take profit is hit. I generally prefer to have separate long and short strategies. I think that by changing lines 24 and 31 to the following then it should allow for reversal of position – not tested and still on first cup of tea!

  if (not onmarket or shortonmarket) and (your long entry conditions) then if (not onmarket or longonmarket) and (your short entry conditions) then

  1 2 3

  if (not onmarket or shortonmarket) and (your long entry conditions) then   if (not onmarket or longonmarket) and (your short entry conditions) then

  Having a NOT ONMARKET at minimum is required otherwise if you are on market and the conditions are met again then the stop loss and take profit are adjusted to the starting trailing stop again. For this reason it is not possible to use the code as it is with cumulating positions. Maybe later if I have time I’ll try to re-work it for all possibilities.

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  05/10/2019 at 9:03 AM #98152
  GraHal

  I’ve added a note of clarification (re not for cum positions) to here

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  05/13/2019 at 8:08 AM #98303
  Mike Boorman

  Vonasi wrote:

  For fun (yes I know I’m sad) I decided to create a version that has a trailing take profit as well as a trailing stop loss. So as price moves against you your take profit expectations decrease. Not tested!

  Thanks very much for this, Vonasi. The profit take avails better backtest results for my system on the DOW (I assume because of the volatility) but not for the DAX. I’ll watch the trades live this week and will confirm that it works as it should in real time.

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  06/03/2019 at 10:52 AM #99862
  Mike Boorman

  I’ve just attempted to activate a series of bots using some of the code in this thread and I’ve been given an error message (see attached screengrab).

  This code has worked perfectly fine in bots in the ProRealTime version that is linked to my IG demo account, but they won’t work when I use the version of ProRealTime that is linked to my “real money” platform in IG.

  Does anyone know what might be going on here?

  As a reminder, here is the code (it’s the version without the profit take)

  DEFPARAM CumulateOrders = False // Cumulating positions deactivated StartTime = 133000 //timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time LimitEntryTime = 163000 //timeEnterAfter = time < noEntryAfterTime daysForbiddenEntry= OpenDayOfWeek=2 OR OpenDayOfWeek=3 OR OpenDayOfWeek=4 OR OpenDayOfWeek=5 OR OpenDayOfWeek=6 OR OpenDayOfWeek=0 sl= 75 slmove = 5 indicator1 = SAR[0.02,0.02,0.2] c1 = (open > indicator1) indicator2 = Average[20](close)+std[20](close) c2 = (open > indicator2) indicator4 = BollingerDown[20](close) c3 = (indicator1 > indicator4) indicator5 = ExponentialAverage[13](close) indicator6 = ExponentialAverage[13](close) c5 = (indicator5 >= indicator6[1]) indicator7 = ExponentialAverage[8](close) indicator8 = ExponentialAverage[8](close) c7 = (indicator7 >= indicator8[1]) IF not onmarket and c2 and c1 and c3 and c5 and c7 and time >=StartTime and time <=LimitEntrytime and not daysForbiddenEntry THEN BUY 1 PERPOINT AT MARKET slprice = close - sl sell at slprice stop ENDIF c11 = (open < indicator1) indicator12 = Average[20](close)-std[20](close) c12 = (open < indicator12) indicator14 = BollingerUp[20](close) c13 = (indicator1 < indicator14) c15 = (indicator5 <= indicator6[1]) c17 = (indicator7 <= indicator8[1]) IF not onmarket and c12 and c11 and c13 and c15 and c17 and time >=StartTime and time <=LimitEntrytime and not daysForbiddenEntry THEN SELLSHORT 1 PERPOINT AT MARKET slprice = close + sl exitshort at slprice stop ENDIF if longonmarket and high - sl > slprice + slmove then slprice = high - sl endif if shortonmarket and low + sl < slprice - slmove then slprice = low + sl endif sell at slprice stop exitshort at slprice stop

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  DEFPARAM CumulateOrders = False // Cumulating positions deactivated       StartTime = 133000 //timeEnterBefore = time >= noEntryBeforeTime   // Prevents the system from placing new orders to enter the market or increase position size after the specified time LimitEntryTime = 163000 //timeEnterAfter = time < noEntryAfterTime     daysForbiddenEntry= OpenDayOfWeek=2 OR OpenDayOfWeek=3 OR OpenDayOfWeek=4 OR OpenDayOfWeek=5 OR OpenDayOfWeek=6 OR OpenDayOfWeek=0   sl= 75 slmove = 5   indicator1 = SAR[0.02,0.02,0.2] c1 = (open > indicator1) indicator2 = Average[20](close)+std[20](close) c2 = (open > indicator2) indicator4 = BollingerDown[20](close) c3 = (indicator1 > indicator4) indicator5 = ExponentialAverage[13](close) indicator6 = ExponentialAverage[13](close) c5 = (indicator5 >= indicator6[1]) indicator7 = ExponentialAverage[8](close) indicator8 = ExponentialAverage[8](close) c7 = (indicator7 >= indicator8[1])       IF not onmarket and c2 and c1 and c3 and c5 and c7 and time >=StartTime and time <=LimitEntrytime and not daysForbiddenEntry THEN BUY 1 PERPOINT AT MARKET slprice = close - sl sell at slprice stop ENDIF   c11 = (open < indicator1) indicator12 = Average[20](close)-std[20](close) c12 = (open < indicator12) indicator14 = BollingerUp[20](close) c13 = (indicator1 < indicator14) c15 = (indicator5 <= indicator6[1]) c17 = (indicator7 <= indicator8[1])       IF not onmarket and c12 and c11 and c13 and c15 and c17 and time >=StartTime and time <=LimitEntrytime and not daysForbiddenEntry THEN SELLSHORT 1 PERPOINT AT MARKET slprice = close + sl exitshort at slprice stop ENDIF   if longonmarket and high - sl > slprice + slmove then slprice = high - sl endif   if shortonmarket and low + sl < slprice - slmove then slprice = low + sl endif   sell at slprice stop exitshort at slprice stop

   

  

  Mike Boorman

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  06/03/2019 at 11:18 AM #99864
  Vonasi

  That’s interesting. I guess that it is due to the value of SLPRICE being zero until a trade has opened. Weird that it errors only when live. Try changing the last two lines to this:

  if onmarket then sell at slprice stop exitshort at slprice stop endif

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  if onmarket then sell at slprice stop exitshort at slprice stop endif

   

  

  Vonasi

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  06/03/2019 at 11:40 AM #99865
  Mike Boorman

  Thanks very much for the suggestion. It looks like this works (or at least, it hasn’t rejected the bot in the 5 minutes since I made it live).

  It really is very strange that this happened! Firstly, as discussed, it worked fine in demo mode. But secondly, none of the bots in question are supposed to be trading this morning, so it makes no sense that they were attempting to execute any orders.

  Crazy!

  

  Mike Boorman

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  06/03/2019 at 1:17 PM #99881
  Vonasi

  Mike Boorman wrote:

  none of the bots in question are supposed to be trading this morning, so it makes no sense that they were attempting to execute any orders.

  Even though your code has restrictions that stop it trading at certain times it does not stop the code from being read through at every bar close. So it reads it through and acts on any necessary instructions and the only two would be to set stop losses and take profits at zero. By adding the condition IF ONMARKET we have stopped it acting on these instruction.

  The demo engine it seems has several differences compared to the live engine. It would be better if it didn’t and was in fact exactly the same as we all test on demo to build confidence that we can go live without any issues – but instead our confidence is knocked as the strategy stops when we put it live with an error that we never saw in demo.

  

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