Updated version of trailing SL

• 08/18/2017 at 11:44 AM #44175
  tob107

  Hi,

  I tried to post a comment here in another thread (https://www.prorealcode.com/blog/trading/complete-trailing-stop-code-function/) but could add code, so I’ll post it here instead.

  This has been in the back of my mind for quite some time, and I finally got around to work on it.

  I have changed the way that the SL is updated after first being initialized. Instead of moving in increments of TrailingStep, the newSL is now based on the close of the highest candle since the trade was entered.

  So imagine if a trade goes our way, with 5 30 pip candles (!) after the SL was first initialized. Then, to use TrailingStep of 5 (as above), the SL would move 5*5 (=25) pips in the original version. If we instead base the SL on the previously closed candle and we use the TrailingStart of 20 as above, we lock in 130 out of the 150 pips.

  Since I’m working on pretty short time frames, this suits me better. Hopefully someone else can make use of it as well.

  I had to introduce the variable CAND to find the highest/lowest close from the time the trade was entered, instead of simply use higher/lower close since there can be spikes and dips. And, like I mentioned before  – TrailingStart is now the difference between the highest/lowest close and the SL (aka how much leg room you’ll allow price) and the TrailingStep is how much you’d like to lock in when price have gone TrailingStart in your way.

  No offence, Nicolas – I’m just trying to improve it!

  Comments are more than welcome!

  Tobias

  IF TSL = 1 THEN //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) >= TrailingStart*PipSize THEN newSL = TRADEPRICE(1) + TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] > HIGHEST[CAND](CLOSE) THEN newSL = CLOSE[1] - TrailingStart*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL = 0 AND TRADEPRICE(1) - CLOSE[1] >= TrailingStart*PipSize THEN newSL = TRADEPRICE(1) - TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] < LOWEST[CAND](CLOSE) THEN newSL = CLOSE[1] + TrailingStart*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF SET STOP pLOSS SL ENDIF

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  IF TSL = 1 THEN //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) >= TrailingStart*PipSize THEN newSL = TRADEPRICE(1) + TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] > HIGHEST[CAND](CLOSE) THEN newSL = CLOSE[1] - TrailingStart*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL = 0 AND TRADEPRICE(1) - CLOSE[1] >= TrailingStart*PipSize THEN newSL = TRADEPRICE(1) - TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] < LOWEST[CAND](CLOSE) THEN newSL = CLOSE[1] + TrailingStart*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF SET STOP pLOSS SL ENDIF

   

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  tob107

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  08/18/2017 at 2:59 PM #44188
  Nicolas

  No offence at all 🙂 Thanks a lot for sharing this improvement!

  

  Nicolas

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  08/21/2017 at 1:01 PM #44305
  tob107

  Here’s an slightly updated version:

  SL = 20 // Initial SL TP = 30 TSL = 1 // Use TSL? TrailingDistance = 20 // Distance from close to TSL TrailingStep = 3 // Pips locked at start of TSL //************************************************************************ IF TSL = 1 THEN //reset the stoploss value IF NOT ONMARKET THEN newSL = 0 CAND = 0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL = 0 AND CLOSE - TRADEPRICE(1) >= TrailingDistance*PipSize THEN newSL = TRADEPRICE(1) + TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] >= HIGHEST[CAND](CLOSE) THEN newSL = CLOSE[1] - TrailingDistance*PipSize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL = 0 AND TRADEPRICE(1) - CLOSE[1] >= TrailingDistance*PipSize THEN newSL = TRADEPRICE(1) - TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] <= LOWEST[CAND](CLOSE) THEN newSL = CLOSE[1] + TrailingDistance*PipSize ENDIF ENDIF //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF SET STOP pLOSS SL ENDIF

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  SL = 20 // Initial SL TP = 30 TSL = 1 // Use TSL? TrailingDistance = 20 // Distance from close to TSL TrailingStep = 3 // Pips locked at start of TSL   //************************************************************************ IF TSL = 1 THEN   //reset the stoploss value IF NOT ONMARKET THEN newSL = 0 CAND = 0 ENDIF   //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL = 0 AND CLOSE - TRADEPRICE(1) >= TrailingDistance*PipSize THEN newSL = TRADEPRICE(1) + TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] >= HIGHEST[CAND](CLOSE) THEN newSL = CLOSE[1] - TrailingDistance*PipSize ENDIF ENDIF   //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL = 0 AND TRADEPRICE(1) - CLOSE[1] >= TrailingDistance*PipSize THEN newSL = TRADEPRICE(1) - TrailingStep*PipSize ENDIF //next moves CAND = BarIndex - TradeIndex IF newSL > 0 AND CLOSE[1] <= LOWEST[CAND](CLOSE) THEN newSL = CLOSE[1] + TrailingDistance*PipSize ENDIF ENDIF   //stop order to exit the positions IF newSL > 0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF SET STOP pLOSS SL ENDIF

  Enjoy!

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  tob107

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  12/05/2017 at 11:24 PM #54834
  Gianluca

  Hi, is it working like the Nicholas Version? We just need to insert at the end of any of ourt trade system?

  

  Gianluca

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  12/07/2017 at 12:58 PM #54979
  Leo

  I rewrite it

  instead of

  SELL AT newSL STOP

  1	SELL AT newSL STOP

  I use:

  SET STOP pLOSS abs(Close-newSL )/pipsize

  1	SET STOP pLOSS abs(Close-newSL )/pipsize

  Someone knows Why for me is not working your codes?

  thanks in advance

   

   

  

  Leo

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  12/09/2017 at 1:29 PM #55214
  Juan Salas

  Hi,

  I understand that this type of trailing does not work in a 4h candle, if all the action occurs within those four hours. I am backtesting and seeing that big candles do not read trailing information if everything happens in one candle.

  I understand that the code reads the changes at the CLOSE, so if everything happens in just one candle nothing happens.

  EXAMPLE: trailingstart = 20, trailingstep=10, TF:H4, LONG candle, open 1,1310, close 1,1329, maximum 1,1360…..nothing happens, the operation continue in the next candle and goes wrong…

  Can anyone confirm this??? 

  Thanks,

  Juan

   

  

  Juan Salas

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  01/06/2018 at 10:40 PM #57547
  Pere

  Hi Juan. I also have similar problems: I understand that the important value of the candle is the low value (for long trades). That means that, if in some moment of the candle (4H or day candle, as I use) the price touches the already activated newSL, the trade should stop immediately because this is the given instruction code: IF xxx SELL AT newSL STOP.

  But also in my case, there are many candles where the trailing stop doesn’t work properly, and the problem is that I don’t know the reason.

  Could anyone help us?

  

  Pere

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  01/07/2018 at 12:20 AM #57551
  AVT

  A general remark how I set my trailing stops (as a highspeed scalper I do not allow ANY kind of retracements):

  Base: a long trend is defined as higher highs and higher lows.

  Going long: first a security stop (1 Min. DAX 10 points).

  Second step: Break even, if in profit (caculated with 2*spread+2*slippage expressed in Euro).

  Third step: Set absolute stop at low of previous candle-(spread+slippage).

  Repeat each minute until getting stopped out.

  A violation of the previous bars low means no longer a long trend by definition, hard but simple.

  I understand that for a H4 or daily that would be sometimes a lot of points – that’s why I am no longtermer – but with this I do not have to play with such things as “after how many points to start for how many points”. It just trails each bar with the low of the previous bar. // Remark: during PRT using time I did not robot, but I do with MT.

  

  AVT

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  04/20/2018 at 10:51 PM #68891
  AlgoAlex

  Hi AVT,

  could you share your code for this kind of SL you use?

  Thanks

  

  AlgoAlex

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  05/22/2019 at 10:55 AM #99145
  Luce

  Hi AVN – I’m using a similar strategy, would you be able to share the code you use so I can add this change into mine…?

  

  Luce

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  04/15/2024 at 8:56 PM #231558
  Acivi90

  Is it possible to code this stop with percentage, like always move the stopp 0.6% from the highest candel while trade are active?

  

  Acivi90

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  04/16/2024 at 6:41 PM #231591
  JS

  Hi,

  You can change these lines in the trailing stop…

  (There are a number of errors in this trailing stop)

   

  IF newSL > 0 and Close[1] >= Highest[CAND](Close) THEN

  newSL = Close[1] – (0.006*Close[1])

   

  IF newSL > 0 and Close[1] <= Lowest[CAND](Close) THEN

  newSL = Close[1] +  (0.006*Close[1])

  

  JS

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  04/17/2024 at 8:49 PM #231633
  Acivi90

  Thanks for your answer, one question more. Iam not that good att this codeing.

  If i want a trailing stopp that start when i am 0.1% profit and it should trailing 0.3% from tradingprice, this will work as i want for a long position?

  TrailingPercent = 0.1
  Trailingdistans = 0.003
  if onmarket then
  trailingstart = tradeprice(1)*(trailingpercent/100)
  endif

  //Reset the trailing value
  IF NOT ONMARKET THEN
  newSL=0
  CAND = 0
  ENDIF

  //Manage long positions
  IF LONGONMARKET THEN
  IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN
  newSL = Close[1] – (trailingdistans*Close[1])
  ENDIF
  //next moves
  CAND = BarIndex – TradeIndex
  IF newSL > 0 and Close[1] >= Highest[CAND](Close) THEN
  newSL = Close[1] – (trailingdistans*Close[1])
  ENDIF
  ENDIF

  IF newSL>0 THEN
  SELL AT newSL STOP
  ENDIF

  

  Acivi90

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  04/17/2024 at 9:12 PM #231634
  JS

  Hi

  Yes, looks good (long only)…

  What you might need to pay attention to is that when the trailing stop has started, the new stop loss (newSL) is placed immediately, below the previous close… So there is no bar in between…

  

  JS

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  04/17/2024 at 9:30 PM #231635
  Acivi90

  Yes this was just a exampel on the percentage, i am going to look into what value i will use when the code is done.

  I was doing a research on a algo with backtest and useing “SET STOP %TRAILING” but when i as going to start on demo that code wasnt okey to use.

  The code i write above  had a hole, if the trade goes up 0.05% i have now stop so now i am rewrite it to below.

  And a again, really Appreciate your time into this.

  // Stops and targets
  SET STOP %LOSS 0.6
  SET TARGET %PROFIT 1.2
  //%trailing stop function
  trailingPercent = 0.1
  Trailingdistans = 0.005
  if onmarket then
  trailingstart = tradeprice(1)*(trailingpercent/100) //trailing will start @trailingstart points profit
  endif

  //reset the stoploss value
  IF NOT ONMARKET THEN
  newSL=0
  CAND = 0
  ENDIF

  //manage long positions
  IF LONGONMARKET THEN
  //first move (breakeven)
  IF newSL=0 AND close-tradeprice(1)>=trailingstart THEN
  newSL = Close[1] – (trailingdistans*Close[1])
  ENDIF
  //next moves
  CAND = BarIndex – TradeIndex
  IF newSL > 0 and Close[1] >= Highest[CAND](Close) THEN
  newSL = Close[1] – (trailingdistans*Close[1])
  ENDIF
  ENDIF

  //stop order to exit the positions
  IF newSL>0 AND CLOSE < NEWSL THEN
  SELL AT MARKET
  ENDIF

  

  Acivi90

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